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Trading Volatility 1
(100314882)

Created by: Jay_Wolberg Jay_Wolberg
Started: 02/2016
Stocks
Last trade: 20 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 $300.00 per month.

44.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(45.5%)
Max Drawdown
52
Num Trades
50.0%
Win Trades
1.7 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +10.9%+32.6%+0.8%+20.5%(12.4%)+13.8%+10.7%(22.6%)(3.9%)+11.3%+7.3%+75.0%
2017+29.9%+4.1%+11.0%+12.6%(7.9%)(12.1%)+10.1%(11.5%)+16.5%+8.8%+6.0%+14.0%+104.4%
2018+1.6%(12.6%)(14.3%)(3.8%)+0.8%(0.6%)+2.6%(3.6%)+3.1%+0.8%            (24.4%)

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 80 hours.

Trading Record

This strategy has placed 102 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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
9/11/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 17,141 14.17 9/12 9:30 14.17 0.18%
Trade id #119811209
Max drawdown($486)
Time9/12/18 9:10
Quant open17,141
Worst price14.14
Drawdown as % of equity-0.18%
$22
Includes Typical Broker Commissions trade costs of $5.00
8/27/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 17,347 14.37 9/5 15:57 14.07 3.14%
Trade id #119602853
Max drawdown($8,500)
Time9/5/18 10:24
Quant open17,347
Worst price13.88
Drawdown as % of equity-3.14%
($5,177)
Includes Typical Broker Commissions trade costs of $5.00
8/16/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 17,352 13.90 8/24 9:30 14.30 0.83%
Trade id #119477043
Max drawdown($2,228)
Time8/17/18 8:27
Quant open17,352
Worst price13.77
Drawdown as % of equity-0.83%
$6,964
Includes Typical Broker Commissions trade costs of $5.00
8/14/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 17,721 13.98 8/15 15:57 13.55 6.2%
Trade id #119439572
Max drawdown($16,276)
Time8/15/18 10:57
Quant open17,721
Worst price13.06
Drawdown as % of equity-6.20%
($7,570)
Includes Typical Broker Commissions trade costs of $5.00
8/2/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 18,122 13.89 8/13 15:57 13.65 1.76%
Trade id #119256940
Max drawdown($4,863)
Time8/13/18 15:51
Quant open18,122
Worst price13.62
Drawdown as % of equity-1.76%
($4,322)
Includes Typical Broker Commissions trade costs of $5.00
8/1/18 9:29 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 18,371 13.87 8/1 15:57 13.82 1.05%
Trade id #119223564
Max drawdown($2,939)
Time8/1/18 12:31
Quant open18,371
Worst price13.71
Drawdown as % of equity-1.05%
($894)
Includes Typical Broker Commissions trade costs of $5.00
7/25/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 18,295 13.98 7/27 15:57 13.77 2.76%
Trade id #119124995
Max drawdown($7,831)
Time7/27/18 13:03
Quant open18,295
Worst price13.55
Drawdown as % of equity-2.76%
($3,900)
Includes Typical Broker Commissions trade costs of $5.00
7/6/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 18,627 13.22 7/23 15:57 13.82 0.14%
Trade id #118810324
Max drawdown($372)
Time7/6/18 18:00
Quant open18,627
Worst price13.20
Drawdown as % of equity-0.14%
$11,159
Includes Typical Broker Commissions trade costs of $5.00
6/7/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 18,001 13.72 6/18 9:33 13.65 2.29%
Trade id #118321741
Max drawdown($6,271)
Time6/8/18 6:55
Quant open18,001
Worst price13.37
Drawdown as % of equity-2.29%
($1,220)
Includes Typical Broker Commissions trade costs of $5.00
5/8/18 14:38 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 18,660 12.56 5/29 15:57 12.71 0.67%
Trade id #117845153
Max drawdown($1,851)
Time5/29/18 15:21
Quant open18,660
Worst price12.46
Drawdown as % of equity-0.67%
$2,809
Includes Typical Broker Commissions trade costs of $5.00
4/26/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 19,898 12.23 5/3 15:57 12.31 1.93%
Trade id #117683152
Max drawdown($5,306)
Time5/3/18 10:57
Quant open19,898
Worst price11.96
Drawdown as % of equity-1.93%
$1,654
Includes Typical Broker Commissions trade costs of $5.00
4/18/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 20,169 12.52 4/24 15:57 11.99 5.72%
Trade id #117569251
Max drawdown($15,809)
Time4/24/18 14:06
Quant open20,169
Worst price11.73
Drawdown as % of equity-5.72%
($10,641)
Includes Typical Broker Commissions trade costs of $5.00
3/27/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,339 49.78 4/12 15:57 47.05 6.1%
Trade id #117263877
Max drawdown($17,113)
Time4/5/18 16:13
Quant open5,339
Worst price46.57
Drawdown as % of equity-6.10%
($14,565)
Includes Typical Broker Commissions trade costs of $5.00
3/19/18 15:00 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 23,500 12.21 3/19 15:57 12.36 0.43%
Trade id #117123734
Max drawdown($1,262)
Time3/19/18 15:02
Quant open23,500
Worst price12.16
Drawdown as % of equity-0.43%
$3,440
Includes Typical Broker Commissions trade costs of $5.00
3/15/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 23,572 12.81 3/19 13:29 12.04 6.09%
Trade id #117074125
Max drawdown($18,373)
Time3/19/18 13:29
Quant open23,572
Worst price12.03
Drawdown as % of equity-6.09%
($18,136)
Includes Typical Broker Commissions trade costs of $5.00
3/8/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 24,013 12.58 3/14 15:57 12.59 0.5%
Trade id #116943131
Max drawdown($1,554)
Time3/14/18 15:45
Quant open24,013
Worst price12.52
Drawdown as % of equity-0.50%
$241
Includes Typical Broker Commissions trade costs of $5.00
3/7/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 24,217 12.42 3/8 9:30 12.48 0.47%
Trade id #116914390
Max drawdown($1,438)
Time3/7/18 18:27
Quant open24,217
Worst price12.36
Drawdown as % of equity-0.47%
$1,463
Includes Typical Broker Commissions trade costs of $5.00
3/5/18 13:27 VXX IPATH S&P 500 VIX ST FUTURES E LONG 6,800 43.48 3/6 15:57 43.65 1.62%
Trade id #116866805
Max drawdown($4,967)
Time3/6/18 6:59
Quant open6,800
Worst price42.75
Drawdown as % of equity-1.62%
$1,150
Includes Typical Broker Commissions trade costs of $5.00
3/1/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 6,811 46.83 3/5 11:21 43.88 6.49%
Trade id #116812689
Max drawdown($20,200)
Time3/5/18 11:09
Quant open6,811
Worst price43.86
Drawdown as % of equity-6.49%
($20,051)
Includes Typical Broker Commissions trade costs of $5.00
2/23/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 25,873 13.15 2/27 15:37 12.32 6.66%
Trade id #116704891
Max drawdown($22,652)
Time2/27/18 15:27
Quant open25,873
Worst price12.27
Drawdown as % of equity-6.66%
($21,427)
Includes Typical Broker Commissions trade costs of $5.00
2/7/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 8,328 43.73 2/15 9:30 40.85 6.65%
Trade id #116377606
Max drawdown($23,997)
Time2/15/18 9:30
Quant open0
Worst price40.85
Drawdown as % of equity-6.65%
($24,002)
Includes Typical Broker Commissions trade costs of $5.00
1/24/18 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,608 139.37 1/25 9:30 139.05 1.39%
Trade id #116083713
Max drawdown($5,148)
Time1/24/18 19:17
Quant open2,608
Worst price137.40
Drawdown as % of equity-1.39%
($851)
Includes Typical Broker Commissions trade costs of $5.00
1/23/18 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,576 142.48 1/24 9:30 141.38 1.3%
Trade id #116056156
Max drawdown($4,894)
Time1/23/18 16:50
Quant open2,576
Worst price140.58
Drawdown as % of equity-1.30%
($2,838)
Includes Typical Broker Commissions trade costs of $5.00
11/15/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,674 103.97 1/16/18 15:57 138.13 n/a $91,340
Includes Typical Broker Commissions trade costs of $5.00
10/31/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,653 111.72 11/15 9:30 104.64 7.04%
Trade id #114618823
Max drawdown($20,607)
Time11/15/17 5:45
Quant open2,653
Worst price103.95
Drawdown as % of equity-7.04%
($18,794)
Includes Typical Broker Commissions trade costs of $5.00
10/23/17 10:26 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,720 112.78 10/23 15:57 108.85 4.37%
Trade id #114422376
Max drawdown($13,240)
Time10/23/17 15:42
Quant open2,720
Worst price107.91
Drawdown as % of equity-4.37%
($10,678)
Includes Typical Broker Commissions trade costs of $5.00
10/20/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,724 112.57 10/20 15:58 112.49 0.07%
Trade id #114403154
Max drawdown($208)
Time10/20/17 15:58
Quant open0
Worst price112.49
Drawdown as % of equity-0.07%
($213)
Includes Typical Broker Commissions trade costs of $5.00
8/25/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,802 81.32 10/18 15:57 110.02 n/a $80,410
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/2/2016
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    988.74
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    52
  • # Profitable
    26
  • % Profitable
    50.00%
  • Avg trade duration
    13.2 days
  • Max peak-to-valley drawdown
    45.53%
  • drawdown period
    Feb 08, 2018 - Aug 15, 2018
  • Annual Return (Compounded)
    44.2%
  • Avg win
    $16,894
  • Avg loss
    $9,705
  • Model Account Values (Raw)
  • Cash
    $52,583
  • Margin Used
    $0
  • Buying Power
    $60,013
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    1.299
  • Sortino Ratio
    1.832
  • Calmar Ratio
    1.133
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.21200
  • Return Statistics
  • Ann Return (w trading costs)
    44.2%
  • Ann Return (Compnd, No Fees)
    46.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.50%
  • Chance of 20% account loss
    24.00%
  • Chance of 30% account loss
    8.50%
  • Chance of 40% account loss
    2.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    540
  • Popularity (Last 6 weeks)
    852
  • C2 Score
    45.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $9,705
  • Avg Win
    $16,690
  • # Winners
    26
  • # Losers
    26
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    19054.20
  • Avg Position Time (hrs)
    317.57
  • Avg Trade Length
    13.2 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47704
  • SD
    0.46571
  • Sharpe ratio (Glass type estimate)
    1.02432
  • Sharpe ratio (Hedges UMVUE)
    0.99930
  • df
    31.00000
  • t
    1.67271
  • p
    0.05222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22504
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95993
  • Upside Potential Ratio
    3.75835
  • Upside part of mean
    0.91477
  • Downside part of mean
    -0.43773
  • Upside SD
    0.41211
  • Downside SD
    0.24340
  • N nonnegative terms
    17.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.15033
  • Mean of criterion
    0.47704
  • SD of predictor
    0.08385
  • SD of criterion
    0.46571
  • Covariance
    0.02230
  • r
    0.57103
  • b (slope, estimate of beta)
    3.17164
  • a (intercept, estimate of alpha)
    0.00024
  • Mean Square Error
    0.15104
  • DF error
    30.00000
  • t(b)
    3.80994
  • p(b)
    0.00032
  • t(a)
    0.00091
  • p(a)
    0.49964
  • Lowerbound of 95% confidence interval for beta
    1.47152
  • Upperbound of 95% confidence interval for beta
    4.87177
  • Lowerbound of 95% confidence interval for alpha
    -0.54890
  • Upperbound of 95% confidence interval for alpha
    0.54939
  • Treynor index (mean / b)
    0.15041
  • Jensen alpha (a)
    0.00024
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36867
  • SD
    0.45511
  • Sharpe ratio (Glass type estimate)
    0.81008
  • Sharpe ratio (Hedges UMVUE)
    0.79029
  • df
    31.00000
  • t
    1.32285
  • p
    0.09778
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42595
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00653
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37897
  • Upside Potential Ratio
    3.14175
  • Upside part of mean
    0.83995
  • Downside part of mean
    -0.47128
  • Upside SD
    0.37483
  • Downside SD
    0.26735
  • N nonnegative terms
    17.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.14605
  • Mean of criterion
    0.36867
  • SD of predictor
    0.08336
  • SD of criterion
    0.45511
  • Covariance
    0.02129
  • r
    0.56115
  • b (slope, estimate of beta)
    3.06362
  • a (intercept, estimate of alpha)
    -0.07876
  • Mean Square Error
    0.14663
  • DF error
    30.00000
  • t(b)
    3.71333
  • p(b)
    0.00042
  • t(a)
    -0.29873
  • p(a)
    0.61640
  • Lowerbound of 95% confidence interval for beta
    1.37867
  • Upperbound of 95% confidence interval for beta
    4.74856
  • Lowerbound of 95% confidence interval for alpha
    -0.61718
  • Upperbound of 95% confidence interval for alpha
    0.45966
  • Treynor index (mean / b)
    0.12034
  • Jensen alpha (a)
    -0.07876
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16921
  • Expected Shortfall on VaR
    0.21267
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08120
  • Expected Shortfall on VaR
    0.15511
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.75708
  • Quartile 1
    0.96552
  • Median
    1.03199
  • Quartile 3
    1.15330
  • Maximum
    1.24625
  • Mean of quarter 1
    0.87266
  • Mean of quarter 2
    0.98376
  • Mean of quarter 3
    1.08601
  • Mean of quarter 4
    1.21658
  • Inter Quartile Range
    0.18779
  • 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)
    -5.21195
  • VaR(95%) (moments method)
    0.09781
  • Expected Shortfall (moments method)
    0.09783
  • Extreme Value Index (regression method)
    -0.43812
  • VaR(95%) (regression method)
    0.10413
  • Expected Shortfall (regression method)
    0.12355
  • 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
    0.31621
  • Mean of quarter 1
    0.07511
  • Mean of quarter 2
    0.25162
  • Mean of quarter 3
    0.26749
  • Mean of quarter 4
    0.31621
  • 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)
    0.62730
  • Compounded annual return (geometric extrapolation)
    0.44581
  • Calmar ratio (compounded annual return / max draw down)
    1.40985
  • Compounded annual return / average of 25% largest draw downs
    1.40985
  • Compounded annual return / Expected Shortfall lognormal
    2.09625
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42384
  • SD
    0.32596
  • Sharpe ratio (Glass type estimate)
    1.30029
  • Sharpe ratio (Hedges UMVUE)
    1.29890
  • df
    699.00000
  • t
    2.12540
  • p
    0.01695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09882
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50086
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49991
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83187
  • Upside Potential Ratio
    7.81679
  • Upside part of mean
    1.80857
  • Downside part of mean
    -1.38473
  • Upside SD
    0.23076
  • Downside SD
    0.23137
  • N nonnegative terms
    472.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    700.00000
  • Mean of predictor
    0.14710
  • Mean of criterion
    0.42384
  • SD of predictor
    0.11302
  • SD of criterion
    0.32596
  • Covariance
    0.00709
  • r
    0.19256
  • b (slope, estimate of beta)
    0.55533
  • a (intercept, estimate of alpha)
    0.34200
  • Mean Square Error
    0.10245
  • DF error
    698.00000
  • t(b)
    5.18432
  • p(b)
    0.00000
  • t(a)
    1.74159
  • p(a)
    0.04101
  • Lowerbound of 95% confidence interval for beta
    0.34502
  • Upperbound of 95% confidence interval for beta
    0.76565
  • Lowerbound of 95% confidence interval for alpha
    -0.04357
  • Upperbound of 95% confidence interval for alpha
    0.72787
  • Treynor index (mean / b)
    0.76321
  • Jensen alpha (a)
    0.34215
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37020
  • SD
    0.32748
  • Sharpe ratio (Glass type estimate)
    1.13045
  • Sharpe ratio (Hedges UMVUE)
    1.12923
  • df
    699.00000
  • t
    1.84777
  • p
    0.03253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33063
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32978
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55119
  • Upside Potential Ratio
    7.47031
  • Upside part of mean
    1.78282
  • Downside part of mean
    -1.41262
  • Upside SD
    0.22507
  • Downside SD
    0.23865
  • N nonnegative terms
    472.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    700.00000
  • Mean of predictor
    0.14066
  • Mean of criterion
    0.37020
  • SD of predictor
    0.11334
  • SD of criterion
    0.32748
  • Covariance
    0.00730
  • r
    0.19655
  • b (slope, estimate of beta)
    0.56791
  • a (intercept, estimate of alpha)
    0.29031
  • Mean Square Error
    0.10325
  • DF error
    698.00000
  • t(b)
    5.29613
  • p(b)
    0.00000
  • t(a)
    1.47250
  • p(a)
    0.07067
  • Lowerbound of 95% confidence interval for beta
    0.35738
  • Upperbound of 95% confidence interval for beta
    0.77845
  • Lowerbound of 95% confidence interval for alpha
    -0.09678
  • Upperbound of 95% confidence interval for alpha
    0.67741
  • Treynor index (mean / b)
    0.65186
  • Jensen alpha (a)
    0.29031
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03136
  • Expected Shortfall on VaR
    0.03949
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00873
  • Expected Shortfall on VaR
    0.02036
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    700.00000
  • Minimum
    0.89133
  • Quartile 1
    0.99689
  • Median
    1.00000
  • Quartile 3
    1.00998
  • Maximum
    1.14401
  • Mean of quarter 1
    0.97933
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00397
  • Mean of quarter 4
    1.02364
  • Inter Quartile Range
    0.01309
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.07571
  • Mean of outliers low
    0.95597
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.05571
  • Mean of outliers high
    1.04416
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45152
  • VaR(95%) (moments method)
    0.01436
  • Expected Shortfall (moments method)
    0.03229
  • Extreme Value Index (regression method)
    0.24872
  • VaR(95%) (regression method)
    0.01855
  • Expected Shortfall (regression method)
    0.03403
  • 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
    0.39534
  • Mean of quarter 1
    0.00162
  • Mean of quarter 2
    0.00882
  • Mean of quarter 3
    0.03696
  • Mean of quarter 4
    0.17211
  • 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
    0.29802
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59977
  • VaR(95%) (moments method)
    0.19498
  • Expected Shortfall (moments method)
    0.53133
  • Extreme Value Index (regression method)
    0.00581
  • VaR(95%) (regression method)
    0.12673
  • Expected Shortfall (regression method)
    0.16842
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63208
  • Compounded annual return (geometric extrapolation)
    0.44802
  • Calmar ratio (compounded annual return / max draw down)
    1.13326
  • Compounded annual return / average of 25% largest draw downs
    2.60315
  • Compounded annual return / Expected Shortfall lognormal
    11.34510
  • 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
    -0.14249
  • SD
    0.14564
  • Sharpe ratio (Glass type estimate)
    -0.97835
  • Sharpe ratio (Hedges UMVUE)
    -0.97270
  • df
    130.00000
  • t
    -0.69180
  • p
    0.53028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.75090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.74702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80163
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.17493
  • Upside Potential Ratio
    5.36053
  • Upside part of mean
    0.65008
  • Downside part of mean
    -0.79256
  • Upside SD
    0.08012
  • Downside SD
    0.12127
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10156
  • Mean of criterion
    -0.14249
  • SD of predictor
    0.11202
  • SD of criterion
    0.14564
  • Covariance
    0.00284
  • r
    0.17385
  • b (slope, estimate of beta)
    0.22601
  • a (intercept, estimate of alpha)
    -0.16544
  • Mean Square Error
    0.02073
  • DF error
    129.00000
  • t(b)
    2.00504
  • p(b)
    0.38989
  • t(a)
    -0.81124
  • p(a)
    0.54532
  • Lowerbound of 95% confidence interval for beta
    0.00299
  • Upperbound of 95% confidence interval for beta
    0.44904
  • Lowerbound of 95% confidence interval for alpha
    -0.56893
  • Upperbound of 95% confidence interval for alpha
    0.23805
  • Treynor index (mean / b)
    -0.63042
  • Jensen alpha (a)
    -0.16544
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15316
  • SD
    0.14670
  • Sharpe ratio (Glass type estimate)
    -1.04400
  • Sharpe ratio (Hedges UMVUE)
    -1.03796
  • df
    130.00000
  • t
    -0.73822
  • p
    0.53231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.81677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.81264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73672
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.24608
  • Upside Potential Ratio
    5.26320
  • Upside part of mean
    0.64689
  • Downside part of mean
    -0.80005
  • Upside SD
    0.07962
  • Downside SD
    0.12291
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09529
  • Mean of criterion
    -0.15316
  • SD of predictor
    0.11228
  • SD of criterion
    0.14670
  • Covariance
    0.00286
  • r
    0.17385
  • b (slope, estimate of beta)
    0.22714
  • a (intercept, estimate of alpha)
    -0.17480
  • Mean Square Error
    0.02103
  • DF error
    129.00000
  • t(b)
    2.00509
  • p(b)
    0.38988
  • t(a)
    -0.85110
  • p(a)
    0.54753
  • Lowerbound of 95% confidence interval for beta
    0.00301
  • Upperbound of 95% confidence interval for beta
    0.45127
  • Lowerbound of 95% confidence interval for alpha
    -0.58115
  • Upperbound of 95% confidence interval for alpha
    0.23155
  • Treynor index (mean / b)
    -0.67427
  • Jensen alpha (a)
    -0.17480
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01537
  • Expected Shortfall on VaR
    0.01909
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00544
  • Expected Shortfall on VaR
    0.01212
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95980
  • Quartile 1
    0.99780
  • Median
    1.00000
  • Quartile 3
    1.00307
  • Maximum
    1.02256
  • Mean of quarter 1
    0.98845
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.00879
  • Inter Quartile Range
    0.00527
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97790
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01386
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18446
  • VaR(95%) (moments method)
    0.00820
  • Expected Shortfall (moments method)
    0.01340
  • Extreme Value Index (regression method)
    0.21416
  • VaR(95%) (regression method)
    0.01077
  • Expected Shortfall (regression method)
    0.01863
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05883
  • Quartile 1
    0.06443
  • Median
    0.07004
  • Quartile 3
    0.07769
  • Maximum
    0.08535
  • Mean of quarter 1
    0.05883
  • Mean of quarter 2
    0.07004
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08535
  • Inter Quartile Range
    0.01326
  • 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)
    -0.14744
  • Compounded annual return (geometric extrapolation)
    -0.14200
  • Calmar ratio (compounded annual return / max draw down)
    -1.66384
  • Compounded annual return / average of 25% largest draw downs
    -1.66384
  • Compounded annual return / Expected Shortfall lognormal
    -7.43895

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.
- VXX trades are entered with roughly a 6% stop loss.
- XIV trades are entered with roughly a 10% stop loss.

Additional data on this strategy can be found at http://www.tradingvolatility.net/p/our-strategy.html.

Summary Statistics

Strategy began
2016-02-02
Suggested Minimum Capital
$45,000
# Trades
52
# Profitable
26
% Profitable
50.0%
Correlation S&P500
0.212
Sharpe Ratio
1.299

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.

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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.