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Trading Volatility 1
(100314882)

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 $70.00 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.

27.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(50.7%)
Max Drawdown
80
Num Trades
43.8%
Win Trades
1.3 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +11.1%+32.7%+1.0%+20.6%(12.2%)+13.9%+10.9%(22.3%)(3.7%)+11.2%+7.3%+77.8%
2017+29.6%+4.1%+10.9%+12.5%(7.7%)(11.8%)+10.1%(11.3%)+16.3%+8.8%+6.0%+13.9%+104.4%
2018+1.7%(12.3%)(13.9%)(3.6%)+0.9%(0.5%)+2.7%(3.4%)+3.1%+11.9%(5.4%)+9.9%(11.6%)
2019(12.6%)+1.1%(3%)+5.7%(6.2%)+1.7%+2.9%(14.8%)+0.1%                  (24%)

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 138 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 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,930 28.27 9/4 15:59 26.46 6%
Trade id #125203477
Max drawdown($14,591)
Time9/4/19 0:00
Quant open7,930
Worst price26.43
Drawdown as % of equity-6.00%
($14,358)
Includes Typical Broker Commissions trade costs of $5.00
8/23/19 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 8,113 29.18 8/30 14:55 27.15 8.4%
Trade id #125066612
Max drawdown($21,071)
Time8/29/19 0:00
Quant open8,113
Worst price26.58
Drawdown as % of equity-8.40%
($16,452)
Includes Typical Broker Commissions trade costs of $5.00
8/21/19 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,604 52.52 8/22 10:42 51.69 2.11%
Trade id #125026601
Max drawdown($5,589)
Time8/22/19 0:00
Quant open4,604
Worst price51.31
Drawdown as % of equity-2.11%
($3,845)
Includes Typical Broker Commissions trade costs of $5.00
8/19/19 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,780 51.92 8/20 15:59 51.27 1.48%
Trade id #124993416
Max drawdown($3,953)
Time8/20/19 0:00
Quant open4,780
Worst price51.09
Drawdown as % of equity-1.48%
($3,098)
Includes Typical Broker Commissions trade costs of $5.00
8/9/19 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 9,426 26.91 8/19 15:59 25.95 3.53%
Trade id #124862538
Max drawdown($9,551)
Time8/19/19 15:49
Quant open9,426
Worst price25.89
Drawdown as % of equity-3.53%
($9,038)
Includes Typical Broker Commissions trade costs of $5.00
7/22/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,649 57.16 8/1 15:59 54.07 6.36%
Trade id #124569305
Max drawdown($18,493)
Time7/22/19 15:57
Quant open4,649
Worst price53.18
Drawdown as % of equity-6.36%
($14,361)
Includes Typical Broker Commissions trade costs of $5.00
7/19/19 15:33 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,700 56.99 7/22 9:30 56.62 0.7%
Trade id #124543964
Max drawdown($2,043)
Time7/19/19 15:33
Quant open4,700
Worst price56.56
Drawdown as % of equity-0.70%
($1,767)
Includes Typical Broker Commissions trade costs of $5.00
6/28/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,728 53.94 7/18 15:57 56.94 0.15%
Trade id #124272217
Max drawdown($404)
Time6/28/19 15:57
Quant open4,728
Worst price53.85
Drawdown as % of equity-0.15%
$14,200
Includes Typical Broker Commissions trade costs of $5.00
6/10/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,792 52.10 6/21 15:57 53.17 0.74%
Trade id #124016596
Max drawdown($2,012)
Time6/10/19 15:57
Quant open4,792
Worst price51.68
Drawdown as % of equity-0.74%
$5,122
Includes Typical Broker Commissions trade costs of $5.00
5/24/19 9:49 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,896 51.91 5/24 15:57 51.80 0.97%
Trade id #123810789
Max drawdown($2,692)
Time5/24/19 10:57
Quant open4,896
Worst price51.36
Drawdown as % of equity-0.97%
($544)
Includes Typical Broker Commissions trade costs of $5.00
5/15/19 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 8,880 29.34 5/16 15:57 28.14 4.6%
Trade id #123686125
Max drawdown($12,715)
Time5/16/19 11:43
Quant open8,880
Worst price27.91
Drawdown as % of equity-4.60%
($10,678)
Includes Typical Broker Commissions trade costs of $5.00
4/18/19 11:15 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,854 55.59 5/6 15:57 54.29 5.37%
Trade id #123359875
Max drawdown($15,921)
Time5/6/19 4:57
Quant open4,854
Worst price52.31
Drawdown as % of equity-5.37%
($6,316)
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,854 52.36 4/17 15:57 55.56 0.28%
Trade id #123134338
Max drawdown($774)
Time3/29/19 17:26
Quant open4,854
Worst price52.20
Drawdown as % of equity-0.28%
$15,530
Includes Typical Broker Commissions trade costs of $5.00
3/27/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 8,585 30.94 3/29 15:57 29.23 5.3%
Trade id #123103714
Max drawdown($14,955)
Time3/29/19 14:55
Quant open8,585
Worst price29.20
Drawdown as % of equity-5.30%
($14,702)
Includes Typical Broker Commissions trade costs of $5.00
3/11/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,008 51.47 3/21 15:57 53.07 0.19%
Trade id #122868999
Max drawdown($550)
Time3/12/19 7:47
Quant open5,008
Worst price51.36
Drawdown as % of equity-0.19%
$8,008
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,074 51.05 3/6 15:57 50.72 1.69%
Trade id #122608827
Max drawdown($4,868)
Time2/27/19 10:29
Quant open5,074
Worst price50.09
Drawdown as % of equity-1.69%
($1,677)
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 13:08 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 2,800 47.78 2/14 15:57 49.38 0.1%
Trade id #122296585
Max drawdown($274)
Time1/31/19 13:30
Quant open2,800
Worst price47.68
Drawdown as % of equity-0.10%
$4,480
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 12:36 VXXB IPATH SER B S&P 500 VIX SHOR LONG 2,600 36.20 1/31 13:06 36.11 0.1%
Trade id #122295295
Max drawdown($286)
Time1/31/19 12:40
Quant open2,600
Worst price36.09
Drawdown as % of equity-0.10%
($239)
Includes Typical Broker Commissions trade costs of $5.00
1/24/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,555 46.23 1/28 15:57 45.99 1.75%
Trade id #122166675
Max drawdown($4,930)
Time1/28/19 12:04
Quant open5,555
Worst price45.34
Drawdown as % of equity-1.75%
($1,325)
Includes Typical Broker Commissions trade costs of $5.00
1/15/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,674 46.91 1/22 15:57 45.01 3.8%
Trade id #121992857
Max drawdown($10,996)
Time1/22/19 15:57
Quant open5,674
Worst price44.97
Drawdown as % of equity-3.80%
($10,774)
Includes Typical Broker Commissions trade costs of $5.00
12/27/18 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 6,159 49.00 1/8/19 15:57 42.16 14.82%
Trade id #121687804
Max drawdown($43,715)
Time1/8/19 15:36
Quant open6,159
Worst price41.90
Drawdown as % of equity-14.82%
($42,150)
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,252 36.89 12/17 15:57 42.69 2.2%
Trade id #121344598
Max drawdown($6,495)
Time12/4/18 19:19
Quant open7,252
Worst price35.99
Drawdown as % of equity-2.20%
$42,111
Includes Typical Broker Commissions trade costs of $5.00
11/21/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,439 47.66 11/27 15:57 49.18 1.27%
Trade id #121110746
Max drawdown($3,654)
Time11/23/18 9:32
Quant open5,439
Worst price46.99
Drawdown as % of equity-1.27%
$8,253
Includes Typical Broker Commissions trade costs of $5.00
11/16/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,339 49.79 11/19 15:57 48.36 2.77%
Trade id #121020803
Max drawdown($8,157)
Time11/19/18 14:17
Quant open5,339
Worst price48.26
Drawdown as % of equity-2.77%
($7,630)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,121 36.11 11/14 15:57 37.32 2.41%
Trade id #120891911
Max drawdown($6,906)
Time11/13/18 7:16
Quant open7,121
Worst price35.14
Drawdown as % of equity-2.41%
$8,632
Includes Typical Broker Commissions trade costs of $5.00
11/7/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,116 52.08 11/12 10:19 50.31 3.15%
Trade id #120807533
Max drawdown($9,214)
Time11/12/18 10:06
Quant open5,116
Worst price50.28
Drawdown as % of equity-3.15%
($9,055)
Includes Typical Broker Commissions trade costs of $5.00
10/25/18 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,504 37.84 11/6 15:57 35.21 6.93%
Trade id #120547608
Max drawdown($20,705)
Time11/6/18 13:26
Quant open7,504
Worst price35.08
Drawdown as % of equity-6.93%
($19,739)
Includes Typical Broker Commissions trade costs of $5.00
10/15/18 15:57 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,346 34.32 10/24 15:57 39.21 6.89%
Trade id #120363185
Max drawdown($18,060)
Time10/17/18 4:02
Quant open7,346
Worst price31.86
Drawdown as % of equity-6.89%
$35,928
Includes Typical Broker Commissions trade costs of $5.00
9/28/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,258 58.60 9/28 15:57 58.89 0.26%
Trade id #120084661
Max drawdown($723)
Time9/28/18 9:49
Quant open4,258
Worst price58.43
Drawdown as % of equity-0.26%
$1,226
Includes Typical Broker Commissions trade costs of $5.00
9/12/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,255 57.00 9/21 15:57 59.05 67.09%
Trade id #119831678
Max drawdown($182,199)
Time9/17/18 19:15
Quant open4,255
Worst price14.18
Drawdown as % of equity-67.09%
$8,720
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/2/2016
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    1320.9
  • Age
    44 months ago
  • What it trades
    Stocks
  • # Trades
    80
  • # Profitable
    35
  • % Profitable
    43.80%
  • Avg trade duration
    11.4 days
  • Max peak-to-valley drawdown
    50.71%
  • drawdown period
    Feb 08, 2018 - Sept 04, 2019
  • Annual Return (Compounded)
    27.9%
  • Avg win
    $16,820
  • Avg loss
    $9,777
  • Model Account Values (Raw)
  • Cash
    $19,261
  • Margin Used
    $0
  • Buying Power
    $33,841
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1.04
  • Calmar Ratio
    0.638
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.11680
  • Return Statistics
  • Ann Return (w trading costs)
    27.9%
  • Ann Return (Compnd, No Fees)
    28.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.00%
  • Chance of 20% account loss
    32.00%
  • Chance of 30% account loss
    14.00%
  • Chance of 40% account loss
    8.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    678
  • Popularity (Last 6 weeks)
    921
  • C2 Score
    827
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $9,778
  • Avg Win
    $16,820
  • # Winners
    35
  • # Losers
    45
  • % Winners
    43.8%
  • Frequency
  • Avg Position Time (mins)
    16399.90
  • Avg Position Time (hrs)
    273.33
  • Avg Trade Length
    11.4 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    0.94
  • Daily leverage (max)
    1.00
  • Regression
  • Alpha
    0.07
  • Beta
    0.28
  • Treynor Index
    0.27
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    6.825
  • Avg(MAE) / Avg(PL) - Winning trades
    0.805
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.220
  • Hold-and-Hope Ratio
    0.147
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32354
  • SD
    0.43396
  • Sharpe ratio (Glass type estimate)
    0.74554
  • Sharpe ratio (Hedges UMVUE)
    0.73181
  • df
    41.00000
  • t
    1.39479
  • p
    0.08530
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31877
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79136
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32544
  • Upside Potential Ratio
    3.14652
  • Upside part of mean
    0.76806
  • Downside part of mean
    -0.44452
  • Upside SD
    0.36466
  • Downside SD
    0.24410
  • N nonnegative terms
    22.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.10129
  • Mean of criterion
    0.32354
  • SD of predictor
    0.10746
  • SD of criterion
    0.43396
  • Covariance
    0.01589
  • r
    0.34066
  • b (slope, estimate of beta)
    1.37573
  • a (intercept, estimate of alpha)
    0.18418
  • Mean Square Error
    0.17063
  • DF error
    40.00000
  • t(b)
    2.29161
  • p(b)
    0.01364
  • t(a)
    0.80424
  • p(a)
    0.21301
  • Lowerbound of 95% confidence interval for beta
    0.16241
  • Upperbound of 95% confidence interval for beta
    2.58904
  • Lowerbound of 95% confidence interval for alpha
    -0.27868
  • Upperbound of 95% confidence interval for alpha
    0.64705
  • Treynor index (mean / b)
    0.23518
  • Jensen alpha (a)
    0.18418
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23075
  • SD
    0.42574
  • Sharpe ratio (Glass type estimate)
    0.54200
  • Sharpe ratio (Hedges UMVUE)
    0.53202
  • df
    41.00000
  • t
    1.01400
  • p
    0.15826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52194
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58597
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86531
  • Upside Potential Ratio
    2.65381
  • Upside part of mean
    0.70769
  • Downside part of mean
    -0.47694
  • Upside SD
    0.33206
  • Downside SD
    0.26667
  • N nonnegative terms
    22.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.09505
  • Mean of criterion
    0.23075
  • SD of predictor
    0.10732
  • SD of criterion
    0.42574
  • Covariance
    0.01524
  • r
    0.33353
  • b (slope, estimate of beta)
    1.32307
  • a (intercept, estimate of alpha)
    0.10500
  • Mean Square Error
    0.16512
  • DF error
    40.00000
  • t(b)
    2.23753
  • p(b)
    0.01544
  • t(a)
    0.46799
  • p(a)
    0.32116
  • Lowerbound of 95% confidence interval for beta
    0.12799
  • Upperbound of 95% confidence interval for beta
    2.51816
  • Lowerbound of 95% confidence interval for alpha
    -0.34845
  • Upperbound of 95% confidence interval for alpha
    0.55844
  • Treynor index (mean / b)
    0.17441
  • Jensen alpha (a)
    0.10500
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16717
  • Expected Shortfall on VaR
    0.20805
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08338
  • Expected Shortfall on VaR
    0.15772
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.75708
  • Quartile 1
    0.96145
  • Median
    1.02090
  • Quartile 3
    1.11020
  • Maximum
    1.24625
  • Mean of quarter 1
    0.87700
  • Mean of quarter 2
    0.98625
  • Mean of quarter 3
    1.05954
  • Mean of quarter 4
    1.19321
  • Inter Quartile Range
    0.14875
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.29864
  • VaR(95%) (moments method)
    0.10291
  • Expected Shortfall (moments method)
    0.10415
  • Extreme Value Index (regression method)
    -0.49952
  • VaR(95%) (regression method)
    0.12965
  • Expected Shortfall (regression method)
    0.15320
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01360
  • Quartile 1
    0.13662
  • Median
    0.25162
  • Quartile 3
    0.26749
  • Maximum
    0.36740
  • Mean of quarter 1
    0.07511
  • Mean of quarter 2
    0.25162
  • Mean of quarter 3
    0.26749
  • Mean of quarter 4
    0.36740
  • Inter Quartile Range
    0.13087
  • 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)
    0.42077
  • Compounded annual return (geometric extrapolation)
    0.29519
  • Calmar ratio (compounded annual return / max draw down)
    0.80347
  • Compounded annual return / average of 25% largest draw downs
    0.80347
  • Compounded annual return / Expected Shortfall lognormal
    1.41885
  • 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
    0.27655
  • SD
    0.30682
  • Sharpe ratio (Glass type estimate)
    0.90134
  • Sharpe ratio (Hedges UMVUE)
    0.90061
  • df
    926.00000
  • t
    1.69542
  • p
    0.04517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94389
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14218
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94339
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25819
  • Upside Potential Ratio
    7.40680
  • Upside part of mean
    1.62803
  • Downside part of mean
    -1.35148
  • Upside SD
    0.21452
  • Downside SD
    0.21980
  • N nonnegative terms
    432.00000
  • N negative terms
    495.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    927.00000
  • Mean of predictor
    0.10986
  • Mean of criterion
    0.27655
  • SD of predictor
    0.12948
  • SD of criterion
    0.30682
  • Covariance
    0.00399
  • r
    0.10056
  • b (slope, estimate of beta)
    0.23828
  • a (intercept, estimate of alpha)
    0.25000
  • Mean Square Error
    0.09329
  • DF error
    925.00000
  • t(b)
    3.07384
  • p(b)
    0.00109
  • t(a)
    1.53980
  • p(a)
    0.06198
  • Lowerbound of 95% confidence interval for beta
    0.08615
  • Upperbound of 95% confidence interval for beta
    0.39042
  • Lowerbound of 95% confidence interval for alpha
    -0.06874
  • Upperbound of 95% confidence interval for alpha
    0.56948
  • Treynor index (mean / b)
    1.16059
  • Jensen alpha (a)
    0.25037
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22913
  • SD
    0.30819
  • Sharpe ratio (Glass type estimate)
    0.74346
  • Sharpe ratio (Hedges UMVUE)
    0.74286
  • df
    926.00000
  • t
    1.39845
  • p
    0.08116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78582
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78538
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01251
  • Upside Potential Ratio
    7.09486
  • Upside part of mean
    1.60557
  • Downside part of mean
    -1.37644
  • Upside SD
    0.20945
  • Downside SD
    0.22630
  • N nonnegative terms
    432.00000
  • N negative terms
    495.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    927.00000
  • Mean of predictor
    0.10143
  • Mean of criterion
    0.22913
  • SD of predictor
    0.12974
  • SD of criterion
    0.30819
  • Covariance
    0.00413
  • r
    0.10339
  • b (slope, estimate of beta)
    0.24558
  • a (intercept, estimate of alpha)
    0.20422
  • Mean Square Error
    0.09407
  • DF error
    925.00000
  • t(b)
    3.16129
  • p(b)
    0.00081
  • t(a)
    1.25099
  • p(a)
    0.10563
  • Lowerbound of 95% confidence interval for beta
    0.09313
  • Upperbound of 95% confidence interval for beta
    0.39804
  • Lowerbound of 95% confidence interval for alpha
    -0.11616
  • Upperbound of 95% confidence interval for alpha
    0.52460
  • Treynor index (mean / b)
    0.93300
  • Jensen alpha (a)
    0.20422
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02999
  • Expected Shortfall on VaR
    0.03765
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01216
  • Expected Shortfall on VaR
    0.02596
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    927.00000
  • Minimum
    0.89133
  • Quartile 1
    0.99647
  • Median
    1.00000
  • Quartile 3
    1.00839
  • Maximum
    1.14401
  • Mean of quarter 1
    0.98021
  • Mean of quarter 2
    0.99940
  • Mean of quarter 3
    1.00315
  • Mean of quarter 4
    1.02189
  • Inter Quartile Range
    0.01192
  • Number outliers low
    70.00000
  • Percentage of outliers low
    0.07551
  • Mean of outliers low
    0.95832
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.06472
  • Mean of outliers high
    1.03996
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45763
  • VaR(95%) (moments method)
    0.01516
  • Expected Shortfall (moments method)
    0.03398
  • Extreme Value Index (regression method)
    0.19476
  • VaR(95%) (regression method)
    0.01733
  • Expected Shortfall (regression method)
    0.02971
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00379
  • Median
    0.02046
  • Quartile 3
    0.05854
  • Maximum
    0.45967
  • Mean of quarter 1
    0.00162
  • Mean of quarter 2
    0.00882
  • Mean of quarter 3
    0.03696
  • Mean of quarter 4
    0.17925
  • Inter Quartile Range
    0.05475
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.31410
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64611
  • VaR(95%) (moments method)
    0.20371
  • Expected Shortfall (moments method)
    0.62100
  • Extreme Value Index (regression method)
    0.23023
  • VaR(95%) (regression method)
    0.13143
  • Expected Shortfall (regression method)
    0.20024
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41913
  • Compounded annual return (geometric extrapolation)
    0.29309
  • Calmar ratio (compounded annual return / max draw down)
    0.63761
  • Compounded annual return / average of 25% largest draw downs
    1.63507
  • Compounded annual return / Expected Shortfall lognormal
    7.78504
  • 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
    -0.29014
  • SD
    0.21309
  • Sharpe ratio (Glass type estimate)
    -1.36155
  • Sharpe ratio (Hedges UMVUE)
    -1.35368
  • df
    130.00000
  • t
    -0.96276
  • p
    0.54207
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.13576
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.13037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42300
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.61866
  • Upside Potential Ratio
    4.70310
  • Upside part of mean
    0.84302
  • Downside part of mean
    -1.13315
  • Upside SD
    0.11513
  • Downside SD
    0.17925
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16176
  • Mean of criterion
    -0.29014
  • SD of predictor
    0.14075
  • SD of criterion
    0.21309
  • Covariance
    -0.00213
  • r
    -0.07112
  • b (slope, estimate of beta)
    -0.10768
  • a (intercept, estimate of alpha)
    -0.27272
  • Mean Square Error
    0.04553
  • DF error
    129.00000
  • t(b)
    -0.80981
  • p(b)
    0.54524
  • t(a)
    -0.90148
  • p(a)
    0.55032
  • Lowerbound of 95% confidence interval for beta
    -0.37075
  • Upperbound of 95% confidence interval for beta
    0.15540
  • Lowerbound of 95% confidence interval for alpha
    -0.87128
  • Upperbound of 95% confidence interval for alpha
    0.32583
  • Treynor index (mean / b)
    2.69453
  • Jensen alpha (a)
    -0.27272
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31318
  • SD
    0.21571
  • Sharpe ratio (Glass type estimate)
    -1.45186
  • Sharpe ratio (Hedges UMVUE)
    -1.44346
  • df
    130.00000
  • t
    -1.02662
  • p
    0.54484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.22650
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32822
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.22082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33389
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.70819
  • Upside Potential Ratio
    4.56201
  • Upside part of mean
    0.83641
  • Downside part of mean
    -1.14959
  • Upside SD
    0.11374
  • Downside SD
    0.18334
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15182
  • Mean of criterion
    -0.31318
  • SD of predictor
    0.14132
  • SD of criterion
    0.21571
  • Covariance
    -0.00219
  • r
    -0.07198
  • b (slope, estimate of beta)
    -0.10986
  • a (intercept, estimate of alpha)
    -0.29650
  • Mean Square Error
    0.04665
  • DF error
    129.00000
  • t(b)
    -0.81963
  • p(b)
    0.54578
  • t(a)
    -0.96857
  • p(a)
    0.55403
  • Lowerbound of 95% confidence interval for beta
    -0.37507
  • Upperbound of 95% confidence interval for beta
    0.15534
  • Lowerbound of 95% confidence interval for alpha
    -0.90218
  • Upperbound of 95% confidence interval for alpha
    0.30917
  • Treynor index (mean / b)
    2.85064
  • Jensen alpha (a)
    -0.29650
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02285
  • Expected Shortfall on VaR
    0.02827
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01096
  • Expected Shortfall on VaR
    0.02290
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92800
  • Quartile 1
    0.99605
  • Median
    1.00000
  • Quartile 3
    1.00418
  • Maximum
    1.04242
  • Mean of quarter 1
    0.98396
  • Mean of quarter 2
    0.99912
  • Mean of quarter 3
    1.00132
  • Mean of quarter 4
    1.01167
  • Inter Quartile Range
    0.00814
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.96366
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02718
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62854
  • VaR(95%) (moments method)
    0.01596
  • Expected Shortfall (moments method)
    0.04772
  • Extreme Value Index (regression method)
    0.49467
  • VaR(95%) (regression method)
    0.01431
  • Expected Shortfall (regression method)
    0.03249
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00933
  • Median
    0.04864
  • Quartile 3
    0.07104
  • Maximum
    0.23432
  • Mean of quarter 1
    0.00263
  • Mean of quarter 2
    0.03122
  • Mean of quarter 3
    0.07018
  • Mean of quarter 4
    0.15312
  • Inter Quartile Range
    0.06171
  • 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
    0.14286
  • Mean of outliers high
    0.23432
  • 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)
    -0.26586
  • Compounded annual return (geometric extrapolation)
    -0.24819
  • Calmar ratio (compounded annual return / max draw down)
    -1.05920
  • Compounded annual return / average of 25% largest draw downs
    -1.62095
  • Compounded annual return / Expected Shortfall lognormal
    -8.78088

Strategy Description

This strategy utilizes automated buy and sell signals based on our VRP VXX Bias indicator.
The following are the detailed mechanics of this automated trading system:
- Trades will typically be placed around 3:57pm ET if our indicators detect a change in direction.
- Since our VRP VXX Bias values become official at 4:33pm ET, any discrepancies with the official signal will try to be resolved at the open on the next trading session.
- This strategy is in 100% cash approximately 30% of the time.
- This strategy makes ~24 trades per year.

Summary Statistics

Strategy began
2016-02-02
Suggested Minimum Capital
$30,000
# Trades
80
# Profitable
35
% Profitable
43.8%
Correlation S&P500
0.117
Sharpe Ratio
0.75
Sortino Ratio
1.04
Beta
0.28
Alpha
0.07
Leverage
0.94 Average
1.00 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.