Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

VXX Bias
(100707640)

Created by: Jay_Wolberg Jay_Wolberg
Started: 02/2016
Stocks
Last trade: 11 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $50.00 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.

45.5%
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.

(45.6%)
Max Drawdown
114
Num Trades
42.1%
Win Trades
1.4 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +3.2%+25.6%+0.7%+20.0%(6.8%)+34.2%+11.0%(14.7%)(3.2%)+2.7%+7.5%+98.1%
2017+30.6%+4.2%+4.6%+12.5%(12.7%)(17.6%)+6.9%(16.5%)+16.5%+6.5%+6.7%+13.9%+55.2%
2018+8.0%+36.7%+1.5%(0.7%)(3.1%)+5.4%(7.9%)(13%)+3.0%+28.7%(14.5%)+21.6%+67.7%
2019(14.8%)(5%)+0.7%+5.6%+9.3%(9.1%)+1.1%(13.6%)(0.4%)                  (25.7%)

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 80 hours.

Trading Record

This strategy has placed 114 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/3/19 15:58 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 6,220 28.23 9/4 15:58 26.46 5.86%
Trade id #125203452
Max drawdown($11,196)
Time9/4/19 0:00
Quant open6,220
Worst price26.43
Drawdown as % of equity-5.86%
($11,014)
Includes Typical Broker Commissions trade costs of $5.00
9/3/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,482 49.68 9/3 15:58 49.38 0.85%
Trade id #125193473
Max drawdown($1,636)
Time9/3/19 10:07
Quant open3,482
Worst price49.21
Drawdown as % of equity-0.85%
($1,050)
Includes Typical Broker Commissions trade costs of $5.00
8/23/19 15:58 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 6,390 29.20 8/30 14:55 27.15 8.46%
Trade id #125066594
Max drawdown($16,741)
Time8/29/19 0:00
Quant open6,390
Worst price26.58
Drawdown as % of equity-8.46%
($13,105)
Includes Typical Broker Commissions trade costs of $5.00
8/23/19 10:31 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,950 51.89 8/23 15:58 48.54 6.79%
Trade id #125058989
Max drawdown($14,180)
Time8/23/19 15:56
Quant open3,950
Worst price48.30
Drawdown as % of equity-6.79%
($13,238)
Includes Typical Broker Commissions trade costs of $5.00
8/19/19 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,960 51.93 8/22 10:42 51.69 1.51%
Trade id #124993392
Max drawdown($3,326)
Time8/20/19 0:00
Quant open3,960
Worst price51.09
Drawdown as % of equity-1.51%
($955)
Includes Typical Broker Commissions trade costs of $5.00
8/1/19 15:58 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,763 25.34 8/19 15:58 25.93 0.25%
Trade id #124727857
Max drawdown($531)
Time8/2/19 0:00
Quant open7,763
Worst price25.27
Drawdown as % of equity-0.25%
$4,587
Includes Typical Broker Commissions trade costs of $5.00
7/22/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,620 57.16 8/1 15:58 54.10 6.37%
Trade id #124569310
Max drawdown($14,407)
Time7/22/19 15:57
Quant open3,620
Worst price53.18
Drawdown as % of equity-6.37%
($11,082)
Includes Typical Broker Commissions trade costs of $5.00
7/19/19 15:31 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,700 57.02 7/22 9:30 56.63 0.75%
Trade id #124543936
Max drawdown($1,702)
Time7/19/19 15:31
Quant open3,700
Worst price56.56
Drawdown as % of equity-0.75%
($1,448)
Includes Typical Broker Commissions trade costs of $5.00
7/18/19 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 9,137 23.13 7/19 9:30 22.67 2.14%
Trade id #124523273
Max drawdown($4,933)
Time7/18/19 15:57
Quant open9,137
Worst price22.59
Drawdown as % of equity-2.14%
($4,208)
Includes Typical Broker Commissions trade costs of $5.00
6/28/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,768 53.94 7/18 15:57 56.94 0.15%
Trade id #124272226
Max drawdown($339)
Time6/28/19 15:57
Quant open3,768
Worst price53.85
Drawdown as % of equity-0.15%
$11,299
Includes Typical Broker Commissions trade costs of $5.00
6/26/19 14:42 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 8,400 26.96 6/28 15:57 25.93 3.81%
Trade id #124243739
Max drawdown($8,736)
Time6/26/19 14:42
Quant open8,400
Worst price25.92
Drawdown as % of equity-3.81%
($8,657)
Includes Typical Broker Commissions trade costs of $5.00
6/6/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,958 52.08 6/24 9:30 53.45 0.7%
Trade id #123968672
Max drawdown($1,583)
Time6/6/19 15:57
Quant open3,958
Worst price51.68
Drawdown as % of equity-0.70%
$5,417
Includes Typical Broker Commissions trade costs of $5.00
5/24/19 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,336 28.31 6/6 15:57 27.90 1.74%
Trade id #123818780
Max drawdown($4,034)
Time5/28/19 9:43
Quant open7,336
Worst price27.76
Drawdown as % of equity-1.74%
($3,013)
Includes Typical Broker Commissions trade costs of $5.00
5/23/19 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,349 29.12 5/24 9:30 28.17 3.57%
Trade id #123802940
Max drawdown($8,451)
Time5/24/19 4:05
Quant open7,349
Worst price27.97
Drawdown as % of equity-3.57%
($6,987)
Includes Typical Broker Commissions trade costs of $5.00
5/6/19 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,287 26.88 5/17 9:30 29.24 0.36%
Trade id #123547795
Max drawdown($801)
Time5/6/19 16:02
Quant open7,287
Worst price26.77
Drawdown as % of equity-0.36%
$17,192
Includes Typical Broker Commissions trade costs of $5.00
4/18/19 11:16 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,699 55.57 5/6 15:57 54.29 5.33%
Trade id #123359927
Max drawdown($12,058)
Time5/6/19 4:57
Quant open3,699
Worst price52.31
Drawdown as % of equity-5.33%
($4,740)
Includes Typical Broker Commissions trade costs of $5.00
4/17/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 7,888 25.84 4/18 9:30 25.80 0.42%
Trade id #123349157
Max drawdown($952)
Time4/18/19 9:29
Quant open7,888
Worst price25.72
Drawdown as % of equity-0.42%
($327)
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,699 52.36 4/17 15:57 55.57 0.27%
Trade id #123134349
Max drawdown($583)
Time3/29/19 17:26
Quant open3,699
Worst price52.20
Drawdown as % of equity-0.27%
$11,877
Includes Typical Broker Commissions trade costs of $5.00
3/21/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 6,564 28.83 3/29 15:57 29.24 0.62%
Trade id #123020183
Max drawdown($1,306)
Time3/21/19 16:27
Quant open6,564
Worst price28.63
Drawdown as % of equity-0.62%
$2,692
Includes Typical Broker Commissions trade costs of $5.00
3/11/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,840 51.47 3/21 15:57 53.07 0.21%
Trade id #122868994
Max drawdown($420)
Time3/12/19 7:47
Quant open3,840
Worst price51.36
Drawdown as % of equity-0.21%
$6,141
Includes Typical Broker Commissions trade costs of $5.00
3/6/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 5,975 31.74 3/11 15:57 30.72 2.81%
Trade id #122809543
Max drawdown($6,177)
Time3/11/19 15:56
Quant open5,975
Worst price30.71
Drawdown as % of equity-2.81%
($6,123)
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,731 51.07 3/6 15:57 50.72 1.73%
Trade id #122608835
Max drawdown($3,656)
Time2/27/19 10:29
Quant open3,731
Worst price50.09
Drawdown as % of equity-1.73%
($1,311)
Includes Typical Broker Commissions trade costs of $5.00
2/14/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 6,058 33.70 2/20 15:57 31.45 6.71%
Trade id #122532907
Max drawdown($14,222)
Time2/20/19 15:25
Quant open6,058
Worst price31.35
Drawdown as % of equity-6.71%
($13,636)
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 13:09 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 2,300 47.80 2/14 15:57 49.38 0.12%
Trade id #122296639
Max drawdown($276)
Time1/31/19 13:30
Quant open2,300
Worst price47.68
Drawdown as % of equity-0.12%
$3,629
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 12:35 VXXB IPATH SER B S&P 500 VIX SHOR LONG 2,650 36.22 1/31 13:06 36.10 0.15%
Trade id #122295286
Max drawdown($344)
Time1/31/19 12:40
Quant open2,650
Worst price36.09
Drawdown as % of equity-0.15%
($323)
Includes Typical Broker Commissions trade costs of $5.00
1/28/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 5,174 38.96 1/29 9:30 38.31 2.16%
Trade id #122226719
Max drawdown($4,863)
Time1/29/19 8:53
Quant open5,174
Worst price38.02
Drawdown as % of equity-2.16%
($3,368)
Includes Typical Broker Commissions trade costs of $5.00
1/24/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,465 46.22 1/28 15:57 46.00 1.76%
Trade id #122166687
Max drawdown($3,929)
Time1/28/19 12:04
Quant open4,465
Worst price45.34
Drawdown as % of equity-1.76%
($987)
Includes Typical Broker Commissions trade costs of $5.00
1/23/19 13:06 VXXB IPATH SER B S&P 500 VIX SHOR LONG 5,318 41.71 1/24 15:57 38.69 7.01%
Trade id #122137083
Max drawdown($16,060)
Time1/24/19 15:56
Quant open5,318
Worst price38.69
Drawdown as % of equity-7.01%
($16,065)
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 5,318 40.81 1/23 13:06 41.69 3.05%
Trade id #122118529
Max drawdown($7,232)
Time1/23/19 8:05
Quant open5,318
Worst price39.45
Drawdown as % of equity-3.05%
$4,675
Includes Typical Broker Commissions trade costs of $5.00
1/8/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,844 44.50 1/22 15:57 44.98 0.16%
Trade id #121855972
Max drawdown($387)
Time1/10/19 9:56
Quant open4,844
Worst price44.42
Drawdown as % of equity-0.16%
$2,320
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/19/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1304.17
  • Age
    43 months ago
  • What it trades
    Stocks
  • # Trades
    114
  • # Profitable
    48
  • % Profitable
    42.10%
  • Avg trade duration
    10.5 days
  • Max peak-to-valley drawdown
    45.64%
  • drawdown period
    May 16, 2017 - Aug 15, 2017
  • Annual Return (Compounded)
    45.5%
  • Avg win
    $10,520
  • Avg loss
    $5,448
  • Model Account Values (Raw)
  • Cash
    $17,576
  • Margin Used
    $0
  • Buying Power
    $28,872
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.91
  • Sortino Ratio
    1.37
  • Calmar Ratio
    1.096
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.10200
  • Return Statistics
  • Ann Return (w trading costs)
    45.5%
  • Ann Return (Compnd, No Fees)
    46.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    44.50%
  • Chance of 30% account loss
    27.50%
  • Chance of 40% account loss
    10.50%
  • Chance of 50% account loss
    2.50%
  • Popularity
  • Popularity (Today)
    572
  • Popularity (Last 6 weeks)
    958
  • C2 Score
    412
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,449
  • Avg Win
    $10,520
  • # Winners
    48
  • # Losers
    66
  • % Winners
    42.1%
  • Frequency
  • Avg Position Time (mins)
    15132.00
  • Avg Position Time (hrs)
    252.20
  • Avg Trade Length
    10.5 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    0.94
  • Daily leverage (max)
    2.02
  • Regression
  • Alpha
    0.13
  • Beta
    -0.32
  • Treynor Index
    -0.36
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    5.332
  • Avg(MAE) / Avg(PL) - Winning trades
    0.616
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.283
  • Hold-and-Hope Ratio
    0.188
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49783
  • SD
    0.52168
  • Sharpe ratio (Glass type estimate)
    0.95430
  • Sharpe ratio (Hedges UMVUE)
    0.93627
  • df
    40.00000
  • t
    1.76394
  • p
    0.04269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13207
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01628
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93075
  • Upside Potential Ratio
    3.80939
  • Upside part of mean
    0.98223
  • Downside part of mean
    -0.48439
  • Upside SD
    0.46870
  • Downside SD
    0.25784
  • N nonnegative terms
    26.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.10425
  • Mean of criterion
    0.49783
  • SD of predictor
    0.12687
  • SD of criterion
    0.52168
  • Covariance
    -0.00639
  • r
    -0.09653
  • b (slope, estimate of beta)
    -0.39691
  • a (intercept, estimate of alpha)
    0.53921
  • Mean Square Error
    0.27652
  • DF error
    39.00000
  • t(b)
    -0.60563
  • p(b)
    0.72587
  • t(a)
    1.84297
  • p(a)
    0.03647
  • Lowerbound of 95% confidence interval for beta
    -1.72248
  • Upperbound of 95% confidence interval for beta
    0.92867
  • Lowerbound of 95% confidence interval for alpha
    -0.05258
  • Upperbound of 95% confidence interval for alpha
    1.13100
  • Treynor index (mean / b)
    -1.25429
  • Jensen alpha (a)
    0.53921
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36678
  • SD
    0.49442
  • Sharpe ratio (Glass type estimate)
    0.74184
  • Sharpe ratio (Hedges UMVUE)
    0.72783
  • df
    40.00000
  • t
    1.37123
  • p
    0.08897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34445
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80010
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31131
  • Upside Potential Ratio
    3.17133
  • Upside part of mean
    0.88703
  • Downside part of mean
    -0.52025
  • Upside SD
    0.41408
  • Downside SD
    0.27970
  • N nonnegative terms
    26.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.09579
  • Mean of criterion
    0.36678
  • SD of predictor
    0.12659
  • SD of criterion
    0.49442
  • Covariance
    -0.00549
  • r
    -0.08774
  • b (slope, estimate of beta)
    -0.34271
  • a (intercept, estimate of alpha)
    0.39961
  • Mean Square Error
    0.24879
  • DF error
    39.00000
  • t(b)
    -0.55008
  • p(b)
    0.70730
  • t(a)
    1.44594
  • p(a)
    0.07809
  • Lowerbound of 95% confidence interval for beta
    -1.60287
  • Upperbound of 95% confidence interval for beta
    0.91746
  • Lowerbound of 95% confidence interval for alpha
    -0.15940
  • Upperbound of 95% confidence interval for alpha
    0.95861
  • Treynor index (mean / b)
    -1.07024
  • Jensen alpha (a)
    0.39961
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18470
  • Expected Shortfall on VaR
    0.23085
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07714
  • Expected Shortfall on VaR
    0.14927
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    41.00000
  • Minimum
    0.80600
  • Quartile 1
    0.94473
  • Median
    1.03340
  • Quartile 3
    1.13283
  • Maximum
    1.41700
  • Mean of quarter 1
    0.86983
  • Mean of quarter 2
    0.99522
  • Mean of quarter 3
    1.07162
  • Mean of quarter 4
    1.25599
  • Inter Quartile Range
    0.18811
  • 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
    0.02439
  • Mean of outliers high
    1.41700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.27706
  • VaR(95%) (moments method)
    0.12815
  • Expected Shortfall (moments method)
    0.13438
  • Extreme Value Index (regression method)
    -0.94408
  • VaR(95%) (regression method)
    0.14010
  • Expected Shortfall (regression method)
    0.15101
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.05990
  • Quartile 1
    0.18640
  • Median
    0.20377
  • Quartile 3
    0.25248
  • Maximum
    0.40679
  • Mean of quarter 1
    0.12208
  • Mean of quarter 2
    0.19285
  • Mean of quarter 3
    0.21468
  • Mean of quarter 4
    0.33593
  • Inter Quartile Range
    0.06608
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.05990
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.40679
  • 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)
    0.83464
  • Compounded annual return (geometric extrapolation)
    0.48392
  • Calmar ratio (compounded annual return / max draw down)
    1.18962
  • Compounded annual return / average of 25% largest draw downs
    1.44053
  • Compounded annual return / Expected Shortfall lognormal
    2.09625
  • 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
    0.44104
  • SD
    0.40063
  • Sharpe ratio (Glass type estimate)
    1.10085
  • Sharpe ratio (Hedges UMVUE)
    1.09994
  • df
    903.00000
  • t
    2.04486
  • p
    0.02058
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15695
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15631
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71493
  • Upside Potential Ratio
    9.07979
  • Upside part of mean
    2.33508
  • Downside part of mean
    -1.89405
  • Upside SD
    0.30811
  • Downside SD
    0.25717
  • N nonnegative terms
    478.00000
  • N negative terms
    426.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    904.00000
  • Mean of predictor
    0.11052
  • Mean of criterion
    0.44104
  • SD of predictor
    0.12647
  • SD of criterion
    0.40063
  • Covariance
    -0.00510
  • r
    -0.10064
  • b (slope, estimate of beta)
    -0.31880
  • a (intercept, estimate of alpha)
    0.47600
  • Mean Square Error
    0.15906
  • DF error
    902.00000
  • t(b)
    -3.03796
  • p(b)
    0.99877
  • t(a)
    2.21503
  • p(a)
    0.01350
  • Lowerbound of 95% confidence interval for beta
    -0.52476
  • Upperbound of 95% confidence interval for beta
    -0.11285
  • Lowerbound of 95% confidence interval for alpha
    0.05428
  • Upperbound of 95% confidence interval for alpha
    0.89826
  • Treynor index (mean / b)
    -1.38341
  • Jensen alpha (a)
    0.47627
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36170
  • SD
    0.39649
  • Sharpe ratio (Glass type estimate)
    0.91227
  • Sharpe ratio (Hedges UMVUE)
    0.91152
  • df
    903.00000
  • t
    1.69457
  • p
    0.04525
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96750
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36933
  • Upside Potential Ratio
    8.66870
  • Upside part of mean
    2.28982
  • Downside part of mean
    -1.92811
  • Upside SD
    0.29623
  • Downside SD
    0.26415
  • N nonnegative terms
    478.00000
  • N negative terms
    426.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    904.00000
  • Mean of predictor
    0.10249
  • Mean of criterion
    0.36170
  • SD of predictor
    0.12666
  • SD of criterion
    0.39649
  • Covariance
    -0.00506
  • r
    -0.10073
  • b (slope, estimate of beta)
    -0.31533
  • a (intercept, estimate of alpha)
    0.39402
  • Mean Square Error
    0.15578
  • DF error
    902.00000
  • t(b)
    -3.04081
  • p(b)
    0.99879
  • t(a)
    1.85207
  • p(a)
    0.03217
  • Lowerbound of 95% confidence interval for beta
    -0.51885
  • Upperbound of 95% confidence interval for beta
    -0.11181
  • Lowerbound of 95% confidence interval for alpha
    -0.02352
  • Upperbound of 95% confidence interval for alpha
    0.81156
  • Treynor index (mean / b)
    -1.14706
  • Jensen alpha (a)
    0.39402
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03816
  • Expected Shortfall on VaR
    0.04792
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01592
  • Expected Shortfall on VaR
    0.03248
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    904.00000
  • Minimum
    0.88876
  • Quartile 1
    0.99142
  • Median
    1.00123
  • Quartile 3
    1.01185
  • Maximum
    1.23269
  • Mean of quarter 1
    0.97375
  • Mean of quarter 2
    0.99760
  • Mean of quarter 3
    1.00614
  • Mean of quarter 4
    1.02967
  • Inter Quartile Range
    0.02044
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.04314
  • Mean of outliers low
    0.94393
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.03761
  • Mean of outliers high
    1.07041
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12906
  • VaR(95%) (moments method)
    0.02320
  • Expected Shortfall (moments method)
    0.03465
  • Extreme Value Index (regression method)
    0.05672
  • VaR(95%) (regression method)
    0.02438
  • Expected Shortfall (regression method)
    0.03516
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00795
  • Median
    0.02666
  • Quartile 3
    0.06436
  • Maximum
    0.43453
  • Mean of quarter 1
    0.00331
  • Mean of quarter 2
    0.01822
  • Mean of quarter 3
    0.04540
  • Mean of quarter 4
    0.23028
  • Inter Quartile Range
    0.05641
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.27090
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.22402
  • VaR(95%) (moments method)
    0.17240
  • Expected Shortfall (moments method)
    0.17302
  • Extreme Value Index (regression method)
    -0.74118
  • VaR(95%) (regression method)
    0.28459
  • Expected Shortfall (regression method)
    0.32532
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.82181
  • Compounded annual return (geometric extrapolation)
    0.47641
  • Calmar ratio (compounded annual return / max draw down)
    1.09639
  • Compounded annual return / average of 25% largest draw downs
    2.06886
  • Compounded annual return / Expected Shortfall lognormal
    9.94207
  • 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
    -0.10269
  • SD
    0.36482
  • Sharpe ratio (Glass type estimate)
    -0.28148
  • Sharpe ratio (Hedges UMVUE)
    -0.27986
  • df
    130.00000
  • t
    -0.19904
  • p
    0.50873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.05302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49216
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.41247
  • Upside Potential Ratio
    7.35421
  • Upside part of mean
    1.83098
  • Downside part of mean
    -1.93367
  • Upside SD
    0.26483
  • Downside SD
    0.24897
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13636
  • Mean of criterion
    -0.10269
  • SD of predictor
    0.13697
  • SD of criterion
    0.36482
  • Covariance
    -0.02105
  • r
    -0.42122
  • b (slope, estimate of beta)
    -1.12192
  • a (intercept, estimate of alpha)
    0.05030
  • Mean Square Error
    0.11033
  • DF error
    129.00000
  • t(b)
    -5.27485
  • p(b)
    0.76000
  • t(a)
    0.10687
  • p(a)
    0.49401
  • Lowerbound of 95% confidence interval for beta
    -1.54273
  • Upperbound of 95% confidence interval for beta
    -0.70110
  • Lowerbound of 95% confidence interval for alpha
    -0.88088
  • Upperbound of 95% confidence interval for alpha
    0.98147
  • Treynor index (mean / b)
    0.09153
  • Jensen alpha (a)
    0.05030
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16824
  • SD
    0.36278
  • Sharpe ratio (Glass type estimate)
    -0.46376
  • Sharpe ratio (Hedges UMVUE)
    -0.46108
  • df
    130.00000
  • t
    -0.32793
  • p
    0.51438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.23530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30947
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.23345
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31129
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66112
  • Upside Potential Ratio
    7.06195
  • Upside part of mean
    1.79713
  • Downside part of mean
    -1.96537
  • Upside SD
    0.25681
  • Downside SD
    0.25448
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12696
  • Mean of criterion
    -0.16824
  • SD of predictor
    0.13748
  • SD of criterion
    0.36278
  • Covariance
    -0.02071
  • r
    -0.41534
  • b (slope, estimate of beta)
    -1.09601
  • a (intercept, estimate of alpha)
    -0.02909
  • Mean Square Error
    0.10975
  • DF error
    129.00000
  • t(b)
    -5.18588
  • p(b)
    0.75660
  • t(a)
    -0.06198
  • p(a)
    0.50347
  • Lowerbound of 95% confidence interval for beta
    -1.51417
  • Upperbound of 95% confidence interval for beta
    -0.67786
  • Lowerbound of 95% confidence interval for alpha
    -0.95755
  • Upperbound of 95% confidence interval for alpha
    0.89937
  • Treynor index (mean / b)
    0.15350
  • Jensen alpha (a)
    -0.02909
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03681
  • Expected Shortfall on VaR
    0.04576
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01706
  • Expected Shortfall on VaR
    0.03364
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92811
  • Quartile 1
    0.99255
  • Median
    1.00000
  • Quartile 3
    1.00775
  • Maximum
    1.10449
  • Mean of quarter 1
    0.97388
  • Mean of quarter 2
    0.99704
  • Mean of quarter 3
    1.00427
  • Mean of quarter 4
    1.02381
  • Inter Quartile Range
    0.01520
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.95654
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.05442
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24361
  • VaR(95%) (moments method)
    0.02110
  • Expected Shortfall (moments method)
    0.02675
  • Extreme Value Index (regression method)
    -0.13375
  • VaR(95%) (regression method)
    0.02373
  • Expected Shortfall (regression method)
    0.03171
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00855
  • Quartile 1
    0.01662
  • Median
    0.08428
  • Quartile 3
    0.12372
  • Maximum
    0.26684
  • Mean of quarter 1
    0.01258
  • Mean of quarter 2
    0.08428
  • Mean of quarter 3
    0.12372
  • Mean of quarter 4
    0.26684
  • Inter Quartile Range
    0.10710
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13552
  • Compounded annual return (geometric extrapolation)
    -0.13093
  • Calmar ratio (compounded annual return / max draw down)
    -0.49067
  • Compounded annual return / average of 25% largest draw downs
    -0.49067
  • Compounded annual return / Expected Shortfall lognormal
    -2.86141

Strategy Description

This strategy utilizes automated buy and sell signals based on our VXX Bias indicator.
The following are the detailed mechanics of this automated trading system:
- Trades will typically be placed at approximately 3:57pm ET if our indicators detect a change in direction.
- Since our VXX Bias values become official at 4:33pm ET, any discrepancies with the official signal will be resolved at the open on the next trading session.
- This strategy makes ~18 trades per year.

Summary Statistics

Strategy began
2016-02-19
Suggested Minimum Capital
$15,000
# Trades
114
# Profitable
48
% Profitable
42.1%
Correlation S&P500
-0.102
Sharpe Ratio
0.91
Sortino Ratio
1.37
Beta
-0.32
Alpha
0.13
Leverage
0.94 Average
2.02 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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