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Volatility Rider Plus
(115138006)

Created by: RobertPeterson RobertPeterson
Started: 12/2017
Stocks
Last trade: 5 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 $199.00 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.

29.8%
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.

(26.6%)
Max Drawdown
103
Num Trades
48.5%
Win Trades
1.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                             +22.0%+22.0%
2018(3.1%)+13.6%(5.5%)+16.5%(0.3%)(9.1%)+2.1%(3.9%)(1.1%)(2.5%)(2.6%)(2.2%)(1%)
2019+4.5%+0.7%(0.7%)+2.7%+2.6%(0.9%)+3.6%+7.0%+9.5%                  +32.4%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

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

Trading Record

This strategy has placed 143 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/5/19 11:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,362 25.17 9/9 12:02 24.43 1.93%
Trade id #125233739
Max drawdown($1,412)
Time9/5/19 13:08
Quant open3,362
Worst price25.59
Drawdown as % of equity-1.93%
$2,483
Includes Typical Broker Commissions trade costs of $5.00
8/29/19 10:08 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,200 26.81 8/30 11:00 27.04 3.61%
Trade id #125140355
Max drawdown($2,656)
Time8/30/19 0:00
Quant open3,200
Worst price27.64
Drawdown as % of equity-3.61%
($741)
Includes Typical Broker Commissions trade costs of $5.00
8/26/19 15:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,410 28.25 8/27 9:31 27.77 3.77%
Trade id #125091136
Max drawdown($2,747)
Time8/27/19 0:00
Quant open2,410
Worst price29.39
Drawdown as % of equity-3.77%
$1,152
Includes Typical Broker Commissions trade costs of $5.00
8/19/19 11:40 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,533 26.57 8/22 10:30 25.86 0.77%
Trade id #124989241
Max drawdown($557)
Time8/20/19 0:00
Quant open2,533
Worst price26.79
Drawdown as % of equity-0.77%
$1,793
Includes Typical Broker Commissions trade costs of $5.00
8/13/19 12:27 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,515 26.90 8/13 13:44 27.17 1.09%
Trade id #124910823
Max drawdown($779)
Time8/13/19 12:27
Quant open2,515
Worst price27.21
Drawdown as % of equity-1.09%
($684)
Includes Typical Broker Commissions trade costs of $5.00
8/9/19 10:01 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,355 26.93 8/9 13:27 26.46 1.58%
Trade id #124855787
Max drawdown($1,153)
Time8/9/19 10:01
Quant open2,355
Worst price26.44
Drawdown as % of equity-1.58%
($1,112)
Includes Typical Broker Commissions trade costs of $5.00
8/7/19 14:46 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,355 28.01 8/8 15:58 26.06 6.25%
Trade id #124821065
Max drawdown($4,521)
Time8/8/19 15:58
Quant open-2,355
Worst price26.09
Drawdown as % of equity-6.25%
$4,587
Includes Typical Broker Commissions trade costs of $5.00
7/23/19 13:47 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,029 22.44 7/30 12:52 22.30 0.71%
Trade id #124582433
Max drawdown($484)
Time7/23/19 13:47
Quant open3,029
Worst price22.60
Drawdown as % of equity-0.71%
$419
Includes Typical Broker Commissions trade costs of $5.00
7/19/19 12:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,046 22.62 7/19 14:34 22.93 1.41%
Trade id #124538561
Max drawdown($974)
Time7/19/19 12:35
Quant open3,046
Worst price22.94
Drawdown as % of equity-1.41%
($949)
Includes Typical Broker Commissions trade costs of $5.00
7/12/19 9:31 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,983 23.01 7/17 15:07 23.00 1.04%
Trade id #124434441
Max drawdown($715)
Time7/12/19 9:31
Quant open2,983
Worst price23.25
Drawdown as % of equity-1.04%
$25
Includes Typical Broker Commissions trade costs of $5.00
6/27/19 12:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,200 26.38 7/1 9:46 24.60 0.24%
Trade id #124257387
Max drawdown($154)
Time6/27/19 12:34
Quant open2,200
Worst price26.45
Drawdown as % of equity-0.24%
$3,911
Includes Typical Broker Commissions trade costs of $5.00
6/10/19 9:41 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,403 27.51 6/11 11:39 27.95 1.48%
Trade id #124002141
Max drawdown($1,046)
Time6/11/19 11:39
Quant open0
Worst price27.95
Drawdown as % of equity-1.48%
($1,054)
Includes Typical Broker Commissions trade costs of $7.50
5/21/19 14:29 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,258 27.54 5/23 9:40 28.70 3.54%
Trade id #123757754
Max drawdown($2,620)
Time5/23/19 9:40
Quant open1,125
Worst price28.81
Drawdown as % of equity-3.54%
($2,628)
Includes Typical Broker Commissions trade costs of $7.50
5/21/19 10:43 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,258 27.66 5/21 10:49 27.73 0.21%
Trade id #123753417
Max drawdown($158)
Time5/21/19 10:49
Quant open0
Worst price27.73
Drawdown as % of equity-0.21%
($163)
Includes Typical Broker Commissions trade costs of $5.00
5/16/19 9:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,314 28.83 5/16 15:45 28.36 0.13%
Trade id #123693357
Max drawdown($92)
Time5/16/19 9:36
Quant open-2,314
Worst price28.87
Drawdown as % of equity-0.13%
$1,083
Includes Typical Broker Commissions trade costs of $5.00
5/15/19 10:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,217 30.21 5/15 12:15 29.89 0.53%
Trade id #123680278
Max drawdown($376)
Time5/15/19 11:06
Quant open-2,217
Worst price30.38
Drawdown as % of equity-0.53%
$704
Includes Typical Broker Commissions trade costs of $5.00
5/14/19 11:42 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,200 30.57 5/14 14:07 30.57 0.29%
Trade id #123665297
Max drawdown($209)
Time5/14/19 12:33
Quant open-1,100
Worst price30.78
Drawdown as % of equity-0.29%
($8)
Includes Typical Broker Commissions trade costs of $7.50
5/9/19 14:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,068 30.70 5/10 15:58 28.55 2.82%
Trade id #123596724
Max drawdown($1,933)
Time5/10/19 10:42
Quant open-2,068
Worst price31.64
Drawdown as % of equity-2.82%
$4,450
Includes Typical Broker Commissions trade costs of $7.50
5/1/19 14:07 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,539 25.31 5/1 15:35 26.00 2.54%
Trade id #123495500
Max drawdown($1,752)
Time5/1/19 15:35
Quant open0
Worst price26.00
Drawdown as % of equity-2.54%
($1,757)
Includes Typical Broker Commissions trade costs of $5.00
4/29/19 12:04 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,719 25.36 4/30 11:04 26.27 3.55%
Trade id #123465344
Max drawdown($2,474)
Time4/30/19 11:04
Quant open0
Worst price26.27
Drawdown as % of equity-3.55%
($2,479)
Includes Typical Broker Commissions trade costs of $5.00
4/18/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 3,440 26.02 4/25 15:57 26.36 2.92%
Trade id #123356645
Max drawdown($2,129)
Time4/25/19 9:46
Quant open-2,505
Worst price26.65
Drawdown as % of equity-2.92%
($1,172)
Includes Typical Broker Commissions trade costs of $12.50
4/16/19 9:37 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,672 25.69 4/16 15:58 25.76 0.77%
Trade id #123326782
Max drawdown($561)
Time4/16/19 15:37
Quant open-2,672
Worst price25.90
Drawdown as % of equity-0.77%
($192)
Includes Typical Broker Commissions trade costs of $5.00
4/10/19 14:47 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,277 28.28 4/12 15:23 26.45 0.13%
Trade id #123272239
Max drawdown($91)
Time4/10/19 14:49
Quant open-2,277
Worst price28.32
Drawdown as % of equity-0.13%
$4,162
Includes Typical Broker Commissions trade costs of $5.00
4/2/19 12:03 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,109 28.65 4/3 9:30 28.16 0.28%
Trade id #123170489
Max drawdown($188)
Time4/2/19 16:14
Quant open-1,109
Worst price28.82
Drawdown as % of equity-0.28%
$544
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,950 29.47 4/1 15:59 28.72 0.25%
Trade id #123125143
Max drawdown($165)
Time3/29/19 13:21
Quant open-975
Worst price29.81
Drawdown as % of equity-0.25%
$1,456
Includes Typical Broker Commissions trade costs of $7.50
3/28/19 9:34 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,061 30.61 3/28 11:30 30.83 0.35%
Trade id #123111944
Max drawdown($237)
Time3/28/19 11:30
Quant open580
Worst price31.03
Drawdown as % of equity-0.35%
($247)
Includes Typical Broker Commissions trade costs of $9.81
3/27/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,051 30.30 3/27 11:15 31.40 1.72%
Trade id #123094798
Max drawdown($1,156)
Time3/27/19 11:15
Quant open-1,051
Worst price31.40
Drawdown as % of equity-1.72%
($1,161)
Includes Typical Broker Commissions trade costs of $5.00
3/20/19 11:11 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,123 28.90 3/20 12:32 29.34 0.75%
Trade id #122991640
Max drawdown($516)
Time3/20/19 11:58
Quant open-1,123
Worst price29.36
Drawdown as % of equity-0.75%
($499)
Includes Typical Broker Commissions trade costs of $5.00
3/15/19 15:42 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,285 28.48 3/18 11:24 28.87 1.35%
Trade id #122933591
Max drawdown($936)
Time3/18/19 9:19
Quant open-2,285
Worst price28.89
Drawdown as % of equity-1.35%
($896)
Includes Typical Broker Commissions trade costs of $5.00
3/14/19 9:31 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,255 29.43 3/15 13:56 28.46 0.1%
Trade id #122909194
Max drawdown($64)
Time3/14/19 9:33
Quant open-1,605
Worst price29.70
Drawdown as % of equity-0.10%
$2,185
Includes Typical Broker Commissions trade costs of $11.50

Statistics

  • Strategy began
    12/1/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    653.31
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    103
  • # Profitable
    50
  • % Profitable
    48.50%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    26.62%
  • drawdown period
    May 21, 2018 - Jan 04, 2019
  • Annual Return (Compounded)
    29.8%
  • Avg win
    $1,963
  • Avg loss
    $1,191
  • Model Account Values (Raw)
  • Cash
    $165,819
  • Margin Used
    $161,928
  • Buying Power
    $8,336
  • Ratios
  • W:L ratio
    1.55:1
  • Sharpe Ratio
    1.2
  • Sortino Ratio
    1.99
  • Calmar Ratio
    1.534
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.23080
  • Return Statistics
  • Ann Return (w trading costs)
    29.8%
  • Ann Return (Compnd, No Fees)
    34.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    678
  • Popularity (Last 6 weeks)
    833
  • C2 Score
    902
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,192
  • Avg Win
    $1,964
  • # Winners
    50
  • # Losers
    53
  • % Winners
    48.5%
  • Frequency
  • Avg Position Time (mins)
    3380.60
  • Avg Position Time (hrs)
    56.34
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    0.78
  • Daily leverage (max)
    1.26
  • Regression
  • Alpha
    0.07
  • Beta
    0.27
  • Treynor Index
    0.27
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    3.134
  • Avg(MAE) / Avg(PL) - Winning trades
    0.352
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.210
  • Hold-and-Hope Ratio
    0.326
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26200
  • SD
    0.26710
  • Sharpe ratio (Glass type estimate)
    0.98091
  • Sharpe ratio (Hedges UMVUE)
    0.94159
  • df
    19.00000
  • t
    1.26635
  • p
    0.32472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58085
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48900
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84146
  • Upside Potential Ratio
    4.54325
  • Upside part of mean
    0.41892
  • Downside part of mean
    -0.15692
  • Upside SD
    0.25494
  • Downside SD
    0.09221
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.03755
  • Mean of criterion
    0.26200
  • SD of predictor
    0.09843
  • SD of criterion
    0.26710
  • Covariance
    0.01027
  • r
    0.39078
  • b (slope, estimate of beta)
    1.06048
  • a (intercept, estimate of alpha)
    0.22219
  • Mean Square Error
    0.06381
  • DF error
    18.00000
  • t(b)
    1.80119
  • p(b)
    0.30461
  • t(a)
    1.12838
  • p(a)
    0.37149
  • Lowerbound of 95% confidence interval for beta
    -0.17647
  • Upperbound of 95% confidence interval for beta
    2.29743
  • Lowerbound of 95% confidence interval for alpha
    -0.19150
  • Upperbound of 95% confidence interval for alpha
    0.63587
  • Treynor index (mean / b)
    0.24706
  • Jensen alpha (a)
    0.22219
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22872
  • SD
    0.24608
  • Sharpe ratio (Glass type estimate)
    0.92946
  • Sharpe ratio (Hedges UMVUE)
    0.89220
  • df
    19.00000
  • t
    1.19993
  • p
    0.33304
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46408
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43666
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40296
  • Upside Potential Ratio
    4.09422
  • Upside part of mean
    0.38970
  • Downside part of mean
    -0.16098
  • Upside SD
    0.22984
  • Downside SD
    0.09518
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.03282
  • Mean of criterion
    0.22872
  • SD of predictor
    0.09833
  • SD of criterion
    0.24608
  • Covariance
    0.00966
  • r
    0.39936
  • b (slope, estimate of beta)
    0.99945
  • a (intercept, estimate of alpha)
    0.19592
  • Mean Square Error
    0.05373
  • DF error
    18.00000
  • t(b)
    1.84814
  • p(b)
    0.30032
  • t(a)
    1.08593
  • p(a)
    0.37602
  • Lowerbound of 95% confidence interval for beta
    -0.13670
  • Upperbound of 95% confidence interval for beta
    2.13560
  • Lowerbound of 95% confidence interval for alpha
    -0.18312
  • Upperbound of 95% confidence interval for alpha
    0.57496
  • Treynor index (mean / b)
    0.22885
  • Jensen alpha (a)
    0.19592
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09316
  • Expected Shortfall on VaR
    0.11938
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02819
  • Expected Shortfall on VaR
    0.05585
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.91798
  • Quartile 1
    0.98430
  • Median
    1.01434
  • Quartile 3
    1.03477
  • Maximum
    1.28040
  • Mean of quarter 1
    0.95488
  • Mean of quarter 2
    0.99936
  • Mean of quarter 3
    1.02271
  • Mean of quarter 4
    1.11969
  • Inter Quartile Range
    0.05046
  • 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
    0.10000
  • Mean of outliers high
    1.20494
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.19815
  • VaR(95%) (moments method)
    0.04427
  • Expected Shortfall (moments method)
    0.04760
  • Extreme Value Index (regression method)
    -0.30524
  • VaR(95%) (regression method)
    0.07058
  • Expected Shortfall (regression method)
    0.09064
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01823
  • Quartile 1
    0.02975
  • Median
    0.04128
  • Quartile 3
    0.09621
  • Maximum
    0.15115
  • Mean of quarter 1
    0.01823
  • Mean of quarter 2
    0.04128
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15115
  • Inter Quartile Range
    0.06646
  • 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)
    0.32025
  • Compounded annual return (geometric extrapolation)
    0.29257
  • Calmar ratio (compounded annual return / max draw down)
    1.93567
  • Compounded annual return / average of 25% largest draw downs
    1.93567
  • Compounded annual return / Expected Shortfall lognormal
    2.45078
  • 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
    0.29323
  • SD
    0.18367
  • Sharpe ratio (Glass type estimate)
    1.59649
  • Sharpe ratio (Hedges UMVUE)
    1.59386
  • df
    455.00000
  • t
    2.10619
  • p
    0.01787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10639
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10460
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08311
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72824
  • Upside Potential Ratio
    9.19012
  • Upside part of mean
    0.98775
  • Downside part of mean
    -0.69452
  • Upside SD
    0.14979
  • Downside SD
    0.10748
  • N nonnegative terms
    160.00000
  • N negative terms
    296.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    456.00000
  • Mean of predictor
    0.05882
  • Mean of criterion
    0.29323
  • SD of predictor
    0.15701
  • SD of criterion
    0.18367
  • Covariance
    0.00665
  • r
    0.23068
  • b (slope, estimate of beta)
    0.26986
  • a (intercept, estimate of alpha)
    0.27700
  • Mean Square Error
    0.03201
  • DF error
    454.00000
  • t(b)
    5.05141
  • p(b)
    0.00000
  • t(a)
    2.04459
  • p(a)
    0.02074
  • Lowerbound of 95% confidence interval for beta
    0.16487
  • Upperbound of 95% confidence interval for beta
    0.37484
  • Lowerbound of 95% confidence interval for alpha
    0.01077
  • Upperbound of 95% confidence interval for alpha
    0.54394
  • Treynor index (mean / b)
    1.08661
  • Jensen alpha (a)
    0.27736
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27633
  • SD
    0.18276
  • Sharpe ratio (Glass type estimate)
    1.51200
  • Sharpe ratio (Hedges UMVUE)
    1.50950
  • df
    455.00000
  • t
    1.99472
  • p
    0.02333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00009
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99838
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53639
  • Upside Potential Ratio
    8.96459
  • Upside part of mean
    0.97666
  • Downside part of mean
    -0.70032
  • Upside SD
    0.14748
  • Downside SD
    0.10895
  • N nonnegative terms
    160.00000
  • N negative terms
    296.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    456.00000
  • Mean of predictor
    0.04647
  • Mean of criterion
    0.27633
  • SD of predictor
    0.15742
  • SD of criterion
    0.18276
  • Covariance
    0.00661
  • r
    0.22984
  • b (slope, estimate of beta)
    0.26684
  • a (intercept, estimate of alpha)
    0.26393
  • Mean Square Error
    0.03171
  • DF error
    454.00000
  • t(b)
    5.03210
  • p(b)
    0.00000
  • t(a)
    1.95514
  • p(a)
    0.02559
  • Lowerbound of 95% confidence interval for beta
    0.16263
  • Upperbound of 95% confidence interval for beta
    0.37105
  • Lowerbound of 95% confidence interval for alpha
    -0.00136
  • Upperbound of 95% confidence interval for alpha
    0.52922
  • Treynor index (mean / b)
    1.03556
  • Jensen alpha (a)
    0.26393
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01736
  • Expected Shortfall on VaR
    0.02198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00710
  • Expected Shortfall on VaR
    0.01460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    456.00000
  • Minimum
    0.94360
  • Quartile 1
    0.99786
  • Median
    1.00000
  • Quartile 3
    1.00328
  • Maximum
    1.05025
  • Mean of quarter 1
    0.99000
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00062
  • Mean of quarter 4
    1.01461
  • Inter Quartile Range
    0.00542
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.98095
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.11403
  • Mean of outliers high
    1.02411
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25157
  • VaR(95%) (moments method)
    0.00752
  • Expected Shortfall (moments method)
    0.01296
  • Extreme Value Index (regression method)
    0.22940
  • VaR(95%) (regression method)
    0.00859
  • Expected Shortfall (regression method)
    0.01481
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00095
  • Quartile 1
    0.00494
  • Median
    0.00619
  • Quartile 3
    0.05886
  • Maximum
    0.23182
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.00558
  • Mean of quarter 3
    0.02517
  • Mean of quarter 4
    0.12191
  • Inter Quartile Range
    0.05393
  • 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
    0.08333
  • Mean of outliers high
    0.23182
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.60190
  • VaR(95%) (moments method)
    0.14084
  • Expected Shortfall (moments method)
    0.35958
  • Extreme Value Index (regression method)
    5.85742
  • VaR(95%) (regression method)
    0.41566
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40110
  • Compounded annual return (geometric extrapolation)
    0.35559
  • Calmar ratio (compounded annual return / max draw down)
    1.53390
  • Compounded annual return / average of 25% largest draw downs
    2.91675
  • Compounded annual return / Expected Shortfall lognormal
    16.17710
  • 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
    0.42834
  • SD
    0.17936
  • Sharpe ratio (Glass type estimate)
    2.38811
  • Sharpe ratio (Hedges UMVUE)
    2.37431
  • df
    130.00000
  • t
    1.68865
  • p
    0.42675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40334
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.17059
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41248
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.16110
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.56860
  • Upside Potential Ratio
    11.29780
  • Upside part of mean
    1.05925
  • Downside part of mean
    -0.63091
  • Upside SD
    0.15439
  • Downside SD
    0.09376
  • N nonnegative terms
    46.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16192
  • Mean of criterion
    0.42834
  • SD of predictor
    0.14183
  • SD of criterion
    0.17936
  • Covariance
    0.00453
  • r
    0.17801
  • b (slope, estimate of beta)
    0.22511
  • a (intercept, estimate of alpha)
    0.39189
  • Mean Square Error
    0.03139
  • DF error
    129.00000
  • t(b)
    2.05465
  • p(b)
    0.38727
  • t(a)
    1.56008
  • p(a)
    0.41364
  • Lowerbound of 95% confidence interval for beta
    0.00834
  • Upperbound of 95% confidence interval for beta
    0.44188
  • Lowerbound of 95% confidence interval for alpha
    -0.10511
  • Upperbound of 95% confidence interval for alpha
    0.88889
  • Treynor index (mean / b)
    1.90278
  • Jensen alpha (a)
    0.39189
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41217
  • SD
    0.17791
  • Sharpe ratio (Glass type estimate)
    2.31669
  • Sharpe ratio (Hedges UMVUE)
    2.30330
  • df
    130.00000
  • t
    1.63815
  • p
    0.42889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47375
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09840
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48261
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08921
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.35410
  • Upside Potential Ratio
    11.06520
  • Upside part of mean
    1.04747
  • Downside part of mean
    -0.63530
  • Upside SD
    0.15198
  • Downside SD
    0.09466
  • N nonnegative terms
    46.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15182
  • Mean of criterion
    0.41217
  • SD of predictor
    0.14245
  • SD of criterion
    0.17791
  • Covariance
    0.00451
  • r
    0.17786
  • b (slope, estimate of beta)
    0.22214
  • a (intercept, estimate of alpha)
    0.37845
  • Mean Square Error
    0.03089
  • DF error
    129.00000
  • t(b)
    2.05282
  • p(b)
    0.38737
  • t(a)
    1.51928
  • p(a)
    0.41584
  • Lowerbound of 95% confidence interval for beta
    0.00804
  • Upperbound of 95% confidence interval for beta
    0.43623
  • Lowerbound of 95% confidence interval for alpha
    -0.11440
  • Upperbound of 95% confidence interval for alpha
    0.87129
  • Treynor index (mean / b)
    1.85550
  • Jensen alpha (a)
    0.37845
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01637
  • Expected Shortfall on VaR
    0.02087
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00646
  • Expected Shortfall on VaR
    0.01310
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96824
  • Quartile 1
    0.99863
  • Median
    1.00000
  • Quartile 3
    1.00409
  • Maximum
    1.05025
  • Mean of quarter 1
    0.99082
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00090
  • Mean of quarter 4
    1.01533
  • Inter Quartile Range
    0.00546
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98400
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.02398
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11086
  • VaR(95%) (moments method)
    0.00603
  • Expected Shortfall (moments method)
    0.00818
  • Extreme Value Index (regression method)
    0.22554
  • VaR(95%) (regression method)
    0.00801
  • Expected Shortfall (regression method)
    0.01389
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00714
  • Median
    0.01247
  • Quartile 3
    0.02309
  • Maximum
    0.09580
  • Mean of quarter 1
    0.00389
  • Mean of quarter 2
    0.00955
  • Mean of quarter 3
    0.01706
  • Mean of quarter 4
    0.05135
  • Inter Quartile Range
    0.01595
  • 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
    0.10000
  • Mean of outliers high
    0.09580
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01371
  • VaR(95%) (moments method)
    0.05334
  • Expected Shortfall (moments method)
    0.07472
  • Extreme Value Index (regression method)
    1.70194
  • VaR(95%) (regression method)
    0.11939
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49225
  • Compounded annual return (geometric extrapolation)
    0.55283
  • Calmar ratio (compounded annual return / max draw down)
    5.77095
  • Compounded annual return / average of 25% largest draw downs
    10.76580
  • Compounded annual return / Expected Shortfall lognormal
    26.48910

Strategy Description

Long and Short volatility with all the funds.

Summary Statistics

Strategy began
2017-12-01
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 9.8%
Rank # 
#59
# Trades
103
# Profitable
50
% Profitable
48.5%
Correlation S&P500
0.231
Sharpe Ratio
1.20
Sortino Ratio
1.99
Beta
0.27
Alpha
0.07
Leverage
0.78 Average
1.26 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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