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

VIX TrendFollower
(100729151)

Created by: JamesFrazer JamesFrazer
Started: 02/2016
Stocks
Last trade: 18 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 $49.00 per month.

28.3%
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.

(37.1%)
Max Drawdown
75
Num Trades
44.0%
Win Trades
1.5 : 1
Profit Factor
59.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +4.6%+25.3%(2.6%)+10.5%(22.3%)+18.9%+3.6%(8.5%)+12.7%+6.6%+5.1%+55.8%
2017+23.2%(2.2%)+2.9%+12.7%(7.9%)(4.5%)+3.4%(19.9%)+10.3%+3.4%+1.5%+7.7%+27.0%
2018+7.2%+31.5%(5.4%)(2.9%)+2.3%+13.4%(6.2%)(12%)(4.6%)+29.2%(12.6%)+6.7%+42.8%
2019(8.9%)(2.3%)(17.8%)+7.0%                                                (21.8%)

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 168 hours.

Trading Record

This strategy has placed 79 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/25/19 9:34 VXXB IPATH SER B S&P 500 VIX SHOR LONG 790 32.28 3/29 14:53 29.23 10.43%
Trade id #123056596
Max drawdown($2,413)
Time3/29/19 14:53
Quant open0
Worst price29.23
Drawdown as % of equity-10.43%
($2,418)
Includes Typical Broker Commissions trade costs of $5.00
3/12/19 9:34 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 485 51.56 3/25 9:32 49.73 3.48%
Trade id #122876862
Max drawdown($888)
Time3/25/19 9:32
Quant open0
Worst price49.73
Drawdown as % of equity-3.48%
($898)
Includes Typical Broker Commissions trade costs of $9.70
3/6/19 15:48 VXXB IPATH SER B S&P 500 VIX SHOR LONG 790 31.77 3/12 9:33 30.59 4.69%
Trade id #122809393
Max drawdown($1,240)
Time3/11/19 19:49
Quant open790
Worst price30.20
Drawdown as % of equity-4.69%
($937)
Includes Typical Broker Commissions trade costs of $5.00
2/21/19 9:31 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 490 51.13 3/6 15:48 50.69 1.88%
Trade id #122618117
Max drawdown($509)
Time2/27/19 10:29
Quant open490
Worst price50.09
Drawdown as % of equity-1.88%
($226)
Includes Typical Broker Commissions trade costs of $9.80
2/19/19 9:31 VXXB IPATH SER B S&P 500 VIX SHOR LONG 750 33.26 2/21 9:30 31.52 6.2%
Trade id #122583713
Max drawdown($1,694)
Time2/21/19 7:08
Quant open750
Worst price31.00
Drawdown as % of equity-6.20%
($1,309)
Includes Typical Broker Commissions trade costs of $5.00
1/24/19 15:48 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 540 46.05 2/19 9:30 49.70 1.4%
Trade id #122166488
Max drawdown($383)
Time1/28/19 12:04
Quant open540
Worst price45.34
Drawdown as % of equity-1.40%
$1,966
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 15:48 VXX IPATH S&P 500 VIX ST FUTURES E LONG 620 40.57 1/24 15:48 39.01 4.29%
Trade id #122118291
Max drawdown($1,153)
Time1/24/19 15:17
Quant open620
Worst price38.71
Drawdown as % of equity-4.29%
($972)
Includes Typical Broker Commissions trade costs of $5.00
1/8/19 15:48 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 560 44.57 1/22 15:47 45.21 0.3%
Trade id #121855618
Max drawdown($84)
Time1/10/19 9:56
Quant open560
Worst price44.42
Drawdown as % of equity-0.30%
$353
Includes Typical Broker Commissions trade costs of $5.00
12/10/18 9:31 VXX IPATH S&P 500 VIX ST FUTURES E LONG 620 40.35 1/8/19 15:48 42.05 4.99%
Trade id #121421877
Max drawdown($1,258)
Time12/12/18 11:18
Quant open620
Worst price38.32
Drawdown as % of equity-4.99%
$1,049
Includes Typical Broker Commissions trade costs of $5.00
11/23/18 9:32 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 530 47.07 12/10 9:30 45.90 4.04%
Trade id #121134047
Max drawdown($1,113)
Time12/6/18 11:29
Quant open530
Worst price44.97
Drawdown as % of equity-4.04%
($625)
Includes Typical Broker Commissions trade costs of $5.00
11/19/18 15:45 VXX IPATH S&P 500 VIX ST FUTURES E LONG 670 37.34 11/23 9:30 39.16 1.02%
Trade id #121057921
Max drawdown($261)
Time11/19/18 16:07
Quant open670
Worst price36.95
Drawdown as % of equity-1.02%
$1,214
Includes Typical Broker Commissions trade costs of $5.00
11/16/18 15:51 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 500 49.82 11/19 15:42 48.36 2.98%
Trade id #121020711
Max drawdown($780)
Time11/19/18 14:17
Quant open500
Worst price48.26
Drawdown as % of equity-2.98%
($740)
Includes Typical Broker Commissions trade costs of $10.00
11/13/18 9:40 VXX IPATH S&P 500 VIX ST FUTURES E LONG 700 35.92 11/16 15:50 35.25 2.29%
Trade id #120904199
Max drawdown($630)
Time11/16/18 15:46
Quant open700
Worst price35.02
Drawdown as % of equity-2.29%
($474)
Includes Typical Broker Commissions trade costs of $5.00
11/7/18 14:42 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 480 51.87 11/13 9:39 49.43 4.8%
Trade id #120805142
Max drawdown($1,291)
Time11/12/18 19:57
Quant open480
Worst price49.18
Drawdown as % of equity-4.80%
($1,181)
Includes Typical Broker Commissions trade costs of $9.60
10/4/18 15:13 VXX IPATH S&P 500 VIX ST FUTURES E LONG 900 27.78 11/7 14:40 32.78 n/a $4,495
Includes Typical Broker Commissions trade costs of $5.00
10/3/18 9:31 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 59.67 10/4 15:12 57.63 5.37%
Trade id #120157905
Max drawdown($1,284)
Time10/4/18 14:22
Quant open400
Worst price56.46
Drawdown as % of equity-5.37%
($824)
Includes Typical Broker Commissions trade costs of $8.00
10/1/18 9:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 420 59.81 10/2 10:01 59.18 1.82%
Trade id #120115693
Max drawdown($445)
Time10/2/18 5:04
Quant open420
Worst price58.75
Drawdown as % of equity-1.82%
($273)
Includes Typical Broker Commissions trade costs of $8.40
9/25/18 15:47 VXX IPATH S&P 500 VIX ST FUTURES E LONG 930 26.85 10/1 9:50 25.92 3.6%
Trade id #120031203
Max drawdown($911)
Time10/1/18 9:48
Quant open930
Worst price25.87
Drawdown as % of equity-3.60%
($870)
Includes Typical Broker Commissions trade costs of $5.00
9/13/18 15:43 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 425 57.68 9/25 15:47 58.80 74.09%
Trade id #119851026
Max drawdown($18,487)
Time9/17/18 19:15
Quant open425
Worst price14.18
Drawdown as % of equity-74.09%
$468
Includes Typical Broker Commissions trade costs of $8.50
9/6/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 850 29.44 9/13 15:43 28.02 5.23%
Trade id #119743309
Max drawdown($1,343)
Time9/13/18 9:46
Quant open850
Worst price27.86
Drawdown as % of equity-5.23%
($1,212)
Includes Typical Broker Commissions trade costs of $5.00
8/28/18 15:46 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,750 14.23 9/6 9:30 14.08 2.34%
Trade id #119633503
Max drawdown($612)
Time9/5/18 10:24
Quant open1,750
Worst price13.88
Drawdown as % of equity-2.34%
($268)
Includes Typical Broker Commissions trade costs of $5.00
8/14/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 800 31.01 8/28 15:45 28.92 8.06%
Trade id #119427694
Max drawdown($2,128)
Time8/27/18 6:03
Quant open800
Worst price28.35
Drawdown as % of equity-8.06%
($1,677)
Includes Typical Broker Commissions trade costs of $5.00
8/6/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,780 14.04 8/14 9:30 13.76 2.97%
Trade id #119294166
Max drawdown($836)
Time8/13/18 16:37
Quant open1,780
Worst price13.57
Drawdown as % of equity-2.97%
($503)
Includes Typical Broker Commissions trade costs of $5.00
7/31/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 780 31.50 8/6 9:30 30.11 4.07%
Trade id #119201385
Max drawdown($1,166)
Time8/3/18 14:00
Quant open780
Worst price30.00
Drawdown as % of equity-4.07%
($1,089)
Includes Typical Broker Commissions trade costs of $5.00
7/26/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,780 13.99 7/31 9:30 13.73 3.05%
Trade id #119133867
Max drawdown($907)
Time7/30/18 12:51
Quant open1,780
Worst price13.48
Drawdown as % of equity-3.05%
($468)
Includes Typical Broker Commissions trade costs of $5.00
7/23/18 15:48 VXX IPATH S&P 500 VIX ST FUTURES E LONG 800 31.03 7/26 9:30 30.51 2.24%
Trade id #119078534
Max drawdown($680)
Time7/25/18 15:51
Quant open800
Worst price30.18
Drawdown as % of equity-2.24%
($421)
Includes Typical Broker Commissions trade costs of $5.00
7/6/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,880 13.24 7/23 15:48 13.85 0.25%
Trade id #118810367
Max drawdown($75)
Time7/6/18 18:00
Quant open1,880
Worst price13.20
Drawdown as % of equity-0.25%
$1,142
Includes Typical Broker Commissions trade costs of $5.00
6/20/18 9:55 VXX IPATH S&P 500 VIX ST FUTURES E LONG 720 31.75 7/6 15:58 34.29 0.25%
Trade id #118534685
Max drawdown($68)
Time6/20/18 10:08
Quant open720
Worst price31.66
Drawdown as % of equity-0.25%
$1,824
Includes Typical Broker Commissions trade costs of $5.00
6/4/18 15:47 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,500 13.47 6/20 9:30 13.81 0.75%
Trade id #118258303
Max drawdown($210)
Time6/19/18 4:36
Quant open1,500
Worst price13.33
Drawdown as % of equity-0.75%
$505
Includes Typical Broker Commissions trade costs of $5.00
5/30/18 9:31 VXX IPATH S&P 500 VIX ST FUTURES E LONG 255 37.38 6/4 15:47 34.00 3.24%
Trade id #118165617
Max drawdown($882)
Time6/4/18 15:21
Quant open255
Worst price33.92
Drawdown as % of equity-3.24%
($867)
Includes Typical Broker Commissions trade costs of $5.10

Statistics

  • Strategy began
    2/19/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1154.8
  • Age
    39 months ago
  • What it trades
    Stocks
  • # Trades
    75
  • # Profitable
    33
  • % Profitable
    44.00%
  • Avg trade duration
    14.3 days
  • Max peak-to-valley drawdown
    37.06%
  • drawdown period
    Oct 29, 2018 - April 04, 2019
  • Annual Return (Compounded)
    28.3%
  • Avg win
    $1,404
  • Avg loss
    $760.81
  • Model Account Values (Raw)
  • Cash
    $63
  • Margin Used
    $0
  • Buying Power
    $1,507
  • Ratios
  • W:L ratio
    1.45:1
  • Sharpe Ratio
    0.931
  • Sortino Ratio
    1.452
  • Calmar Ratio
    0.959
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.01600
  • Return Statistics
  • Ann Return (w trading costs)
    28.3%
  • Ann Return (Compnd, No Fees)
    32.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.50%
  • Chance of 20% account loss
    38.00%
  • Chance of 30% account loss
    12.50%
  • Chance of 40% account loss
    4.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    535
  • Popularity (Last 6 weeks)
    835
  • C2 Score
    57.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    14
  • Win / Loss
  • Avg Loss
    $761
  • Avg Win
    $1,405
  • # Winners
    33
  • # Losers
    42
  • % Winners
    44.0%
  • Frequency
  • Avg Position Time (mins)
    20636.10
  • Avg Position Time (hrs)
    343.94
  • Avg Trade Length
    14.3 days
  • Last Trade Ago
    18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32735
  • SD
    0.44037
  • Sharpe ratio (Glass type estimate)
    0.74336
  • Sharpe ratio (Hedges UMVUE)
    0.72775
  • df
    36.00000
  • t
    1.30530
  • p
    0.10004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39086
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85652
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36414
  • Upside Potential Ratio
    3.13317
  • Upside part of mean
    0.75187
  • Downside part of mean
    -0.42451
  • Upside SD
    0.37420
  • Downside SD
    0.23997
  • N nonnegative terms
    22.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.11121
  • Mean of criterion
    0.32735
  • SD of predictor
    0.12702
  • SD of criterion
    0.44037
  • Covariance
    -0.01851
  • r
    -0.33087
  • b (slope, estimate of beta)
    -1.14708
  • a (intercept, estimate of alpha)
    0.45493
  • Mean Square Error
    0.17763
  • DF error
    35.00000
  • t(b)
    -2.07426
  • p(b)
    0.97726
  • t(a)
    1.83605
  • p(a)
    0.03743
  • Lowerbound of 95% confidence interval for beta
    -2.26975
  • Upperbound of 95% confidence interval for beta
    -0.02441
  • Lowerbound of 95% confidence interval for alpha
    -0.04808
  • Upperbound of 95% confidence interval for alpha
    0.95793
  • Treynor index (mean / b)
    -0.28538
  • Jensen alpha (a)
    0.45493
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23488
  • SD
    0.42270
  • Sharpe ratio (Glass type estimate)
    0.55567
  • Sharpe ratio (Hedges UMVUE)
    0.54400
  • df
    36.00000
  • t
    0.97572
  • p
    0.16786
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66724
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89964
  • Upside Potential Ratio
    2.64503
  • Upside part of mean
    0.69057
  • Downside part of mean
    -0.45569
  • Upside SD
    0.33208
  • Downside SD
    0.26108
  • N nonnegative terms
    22.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.10253
  • Mean of criterion
    0.23488
  • SD of predictor
    0.12861
  • SD of criterion
    0.42270
  • Covariance
    -0.01739
  • r
    -0.31985
  • b (slope, estimate of beta)
    -1.05127
  • a (intercept, estimate of alpha)
    0.34267
  • Mean Square Error
    0.16498
  • DF error
    35.00000
  • t(b)
    -1.99719
  • p(b)
    0.97319
  • t(a)
    1.44265
  • p(a)
    0.07900
  • Lowerbound of 95% confidence interval for beta
    -2.11987
  • Upperbound of 95% confidence interval for beta
    0.01733
  • Lowerbound of 95% confidence interval for alpha
    -0.13954
  • Upperbound of 95% confidence interval for alpha
    0.82487
  • Treynor index (mean / b)
    -0.22342
  • Jensen alpha (a)
    0.34267
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16568
  • Expected Shortfall on VaR
    0.20635
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07161
  • Expected Shortfall on VaR
    0.14125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.79538
  • Quartile 1
    0.95109
  • Median
    1.03440
  • Quartile 3
    1.09389
  • Maximum
    1.36034
  • Mean of quarter 1
    0.88262
  • Mean of quarter 2
    1.00206
  • Mean of quarter 3
    1.06892
  • Mean of quarter 4
    1.18116
  • Inter Quartile Range
    0.14280
  • 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
    0.05405
  • Mean of outliers high
    1.35658
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17806
  • VaR(95%) (moments method)
    0.11507
  • Expected Shortfall (moments method)
    0.14581
  • Extreme Value Index (regression method)
    -0.30963
  • VaR(95%) (regression method)
    0.13216
  • Expected Shortfall (regression method)
    0.16143
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.08314
  • Quartile 1
    0.12998
  • Median
    0.19874
  • Quartile 3
    0.24980
  • Maximum
    0.33066
  • Mean of quarter 1
    0.10656
  • Mean of quarter 2
    0.19874
  • Mean of quarter 3
    0.24980
  • Mean of quarter 4
    0.33066
  • Inter Quartile Range
    0.11983
  • 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)
    0.40491
  • Compounded annual return (geometric extrapolation)
    0.30055
  • Calmar ratio (compounded annual return / max draw down)
    0.90893
  • Compounded annual return / average of 25% largest draw downs
    0.90893
  • Compounded annual return / Expected Shortfall lognormal
    1.45647
  • 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
    0.29993
  • SD
    0.32179
  • Sharpe ratio (Glass type estimate)
    0.93205
  • Sharpe ratio (Hedges UMVUE)
    0.93119
  • df
    820.00000
  • t
    1.64990
  • p
    0.04967
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03990
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03931
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45238
  • Upside Potential Ratio
    8.52536
  • Upside part of mean
    1.76054
  • Downside part of mean
    -1.46062
  • Upside SD
    0.24723
  • Downside SD
    0.20651
  • N nonnegative terms
    442.00000
  • N negative terms
    379.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    821.00000
  • Mean of predictor
    0.11247
  • Mean of criterion
    0.29993
  • SD of predictor
    0.12499
  • SD of criterion
    0.32179
  • Covariance
    -0.00140
  • r
    -0.03469
  • b (slope, estimate of beta)
    -0.08932
  • a (intercept, estimate of alpha)
    0.31000
  • Mean Square Error
    0.10355
  • DF error
    819.00000
  • t(b)
    -0.99350
  • p(b)
    0.83962
  • t(a)
    1.70252
  • p(a)
    0.04452
  • Lowerbound of 95% confidence interval for beta
    -0.26579
  • Upperbound of 95% confidence interval for beta
    0.08715
  • Lowerbound of 95% confidence interval for alpha
    -0.04740
  • Upperbound of 95% confidence interval for alpha
    0.66734
  • Treynor index (mean / b)
    -3.35786
  • Jensen alpha (a)
    0.30997
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24886
  • SD
    0.31819
  • Sharpe ratio (Glass type estimate)
    0.78210
  • Sharpe ratio (Hedges UMVUE)
    0.78138
  • df
    820.00000
  • t
    1.38446
  • p
    0.08330
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88971
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88923
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17604
  • Upside Potential Ratio
    8.18191
  • Upside part of mean
    1.73134
  • Downside part of mean
    -1.48249
  • Upside SD
    0.23787
  • Downside SD
    0.21161
  • N nonnegative terms
    442.00000
  • N negative terms
    379.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    821.00000
  • Mean of predictor
    0.10462
  • Mean of criterion
    0.24886
  • SD of predictor
    0.12521
  • SD of criterion
    0.31819
  • Covariance
    -0.00125
  • r
    -0.03143
  • b (slope, estimate of beta)
    -0.07988
  • a (intercept, estimate of alpha)
    0.25721
  • Mean Square Error
    0.10127
  • DF error
    819.00000
  • t(b)
    -0.90001
  • p(b)
    0.81581
  • t(a)
    1.42888
  • p(a)
    0.07671
  • Lowerbound of 95% confidence interval for beta
    -0.25409
  • Upperbound of 95% confidence interval for beta
    0.09433
  • Lowerbound of 95% confidence interval for alpha
    -0.09612
  • Upperbound of 95% confidence interval for alpha
    0.61055
  • Treynor index (mean / b)
    -3.11543
  • Jensen alpha (a)
    0.25721
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03090
  • Expected Shortfall on VaR
    0.03880
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01206
  • Expected Shortfall on VaR
    0.02509
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    821.00000
  • Minimum
    0.87780
  • Quartile 1
    0.99389
  • Median
    1.00137
  • Quartile 3
    1.00890
  • Maximum
    1.19748
  • Mean of quarter 1
    0.97955
  • Mean of quarter 2
    0.99854
  • Mean of quarter 3
    1.00466
  • Mean of quarter 4
    1.02237
  • Inter Quartile Range
    0.01501
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.04750
  • Mean of outliers low
    0.95582
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.04263
  • Mean of outliers high
    1.05383
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14263
  • VaR(95%) (moments method)
    0.01730
  • Expected Shortfall (moments method)
    0.02639
  • Extreme Value Index (regression method)
    -0.11230
  • VaR(95%) (regression method)
    0.01899
  • Expected Shortfall (regression method)
    0.02555
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00600
  • Median
    0.02169
  • Quartile 3
    0.05724
  • Maximum
    0.33252
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.01156
  • Mean of quarter 3
    0.04033
  • Mean of quarter 4
    0.21025
  • Inter Quartile Range
    0.05125
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.17857
  • Mean of outliers high
    0.26398
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.17972
  • VaR(95%) (moments method)
    0.18304
  • Expected Shortfall (moments method)
    0.19687
  • Extreme Value Index (regression method)
    -1.24970
  • VaR(95%) (regression method)
    0.27214
  • Expected Shortfall (regression method)
    0.29072
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44051
  • Compounded annual return (geometric extrapolation)
    0.31885
  • Calmar ratio (compounded annual return / max draw down)
    0.95891
  • Compounded annual return / average of 25% largest draw downs
    1.51654
  • Compounded annual return / Expected Shortfall lognormal
    8.21799
  • 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
    -0.24967
  • SD
    0.35126
  • Sharpe ratio (Glass type estimate)
    -0.71079
  • Sharpe ratio (Hedges UMVUE)
    -0.70668
  • df
    130.00000
  • t
    -0.50260
  • p
    0.52202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.48262
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.47982
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06646
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.94773
  • Upside Potential Ratio
    7.57805
  • Upside part of mean
    1.99636
  • Downside part of mean
    -2.24603
  • Upside SD
    0.23082
  • Downside SD
    0.26344
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05545
  • Mean of criterion
    -0.24967
  • SD of predictor
    0.18398
  • SD of criterion
    0.35126
  • Covariance
    -0.01889
  • r
    -0.29228
  • b (slope, estimate of beta)
    -0.55801
  • a (intercept, estimate of alpha)
    -0.21873
  • Mean Square Error
    0.11372
  • DF error
    129.00000
  • t(b)
    -3.47118
  • p(b)
    0.68338
  • t(a)
    -0.45856
  • p(a)
    0.52568
  • Lowerbound of 95% confidence interval for beta
    -0.87606
  • Upperbound of 95% confidence interval for beta
    -0.23995
  • Lowerbound of 95% confidence interval for alpha
    -1.16245
  • Upperbound of 95% confidence interval for alpha
    0.72499
  • Treynor index (mean / b)
    0.44743
  • Jensen alpha (a)
    -0.21873
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31125
  • SD
    0.35229
  • Sharpe ratio (Glass type estimate)
    -0.88350
  • Sharpe ratio (Hedges UMVUE)
    -0.87839
  • df
    130.00000
  • t
    -0.62473
  • p
    0.52736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.65569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.65225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89547
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.15834
  • Upside Potential Ratio
    7.33207
  • Upside part of mean
    1.97016
  • Downside part of mean
    -2.28141
  • Upside SD
    0.22656
  • Downside SD
    0.26871
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03867
  • Mean of criterion
    -0.31125
  • SD of predictor
    0.18383
  • SD of criterion
    0.35229
  • Covariance
    -0.01882
  • r
    -0.29052
  • b (slope, estimate of beta)
    -0.55675
  • a (intercept, estimate of alpha)
    -0.28972
  • Mean Square Error
    0.11452
  • DF error
    129.00000
  • t(b)
    -3.44846
  • p(b)
    0.68232
  • t(a)
    -0.60533
  • p(a)
    0.53387
  • Lowerbound of 95% confidence interval for beta
    -0.87618
  • Upperbound of 95% confidence interval for beta
    -0.23732
  • Lowerbound of 95% confidence interval for alpha
    -1.23667
  • Upperbound of 95% confidence interval for alpha
    0.65723
  • Treynor index (mean / b)
    0.55905
  • Jensen alpha (a)
    -0.28972
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03631
  • Expected Shortfall on VaR
    0.04501
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01884
  • Expected Shortfall on VaR
    0.03580
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93367
  • Quartile 1
    0.98586
  • Median
    1.00187
  • Quartile 3
    1.01120
  • Maximum
    1.06148
  • Mean of quarter 1
    0.97072
  • Mean of quarter 2
    0.99564
  • Mean of quarter 3
    1.00617
  • Mean of quarter 4
    1.02430
  • Inter Quartile Range
    0.02534
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.93795
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05627
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33101
  • VaR(95%) (moments method)
    0.02982
  • Expected Shortfall (moments method)
    0.03537
  • Extreme Value Index (regression method)
    -0.30089
  • VaR(95%) (regression method)
    0.02627
  • Expected Shortfall (regression method)
    0.03067
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00403
  • Quartile 1
    0.08615
  • Median
    0.16827
  • Quartile 3
    0.25039
  • Maximum
    0.33252
  • Mean of quarter 1
    0.00403
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.33252
  • Inter Quartile Range
    0.16424
  • 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)
    -0.26419
  • Compounded annual return (geometric extrapolation)
    -0.24674
  • Calmar ratio (compounded annual return / max draw down)
    -0.74204
  • Compounded annual return / average of 25% largest draw downs
    -0.74204
  • Compounded annual return / Expected Shortfall lognormal
    -5.48239

Strategy Description

Volatility/VIX has recently become a popular asset class amongst sophisticated investors - it has generated large returns, can hedge risk, and acts as a diversification tool for typical portfolios. This strategy provides access to a professionally managed, academically evidenced and thoroughly back-tested strategy, giving the user access to a professional managed volatility system.

VIX TrendFollower is the sister to our other strategy, VIX DayTrader - an active system that is designed to be followed via autotrading:
https://collective2.com/details/98408819

In contrast, VIX TrendFollower is designed to be suitable for those who (for whatever reasons) either can’t autotrade, prefer a longer timeframe, or only like to trade at the open or close. The system is designed to be manually traded with ease (if necessary).

It tends to take around 10-30 trades per year. Whilst the underlying system is entirely mechanistic and backtested, the final judgement is always made by a human and may use some element of discretion (a major news event, for example).

The strategy is predicated on three evidence-based principles – the price trend, the yield curve, and the volatility risk premium. It utilises these three guiding principles to make swing trades that typically last from a few days to a few weeks. Trades can be either “long” (using VXX) or “short” (by going long XIV, so that subscribers do not need to have an account that can short).
Trades are only generated before the open (generally placed around 9.15AM) or at the end of the day (generally placed around 3.50PM. If for some reason you cannot place trades at market close, they can be placed the next day at the open without significant deterioration of system performance. System stops are placed at 10% or closer. All trades are of a fixed below $25,000, so you can easily adjust your risk accordingly.

Summary Statistics

Strategy began
2016-02-19
Suggested Minimum Capital
$15,000
# Trades
75
# Profitable
33
% Profitable
44.0%
Correlation S&P500
-0.016
Sharpe Ratio
0.931

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.