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

VXX Bias

Created by:
Jay_Wolberg
Jay_Wolberg
Trades-Own-System Certification

This system has earned Trades-Own-System (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-System (TOS) Certification Details
Certification process started 03/08/2016
Most recent certification approved 5/18/16 13:19 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 5%
# trading signals issued by system since certification 32
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 29
Percent signals followed since 03/08/2016 90.6%
This information was last updated 1/3/17 9:30 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/08/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Trading Volatility calculates the hypothetical results you see on this web site.

Started:   02/2016
Stocks
Last trade:   70 days ago

Subscription terms. You can subscribe to this system for free.

137.3%
Cumul. Return
32.8%
Max Drawdown
15
Num Trades
40.0%
Win Trades
4.3 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +3.4%+25.7%+0.7%+20.0%(6.7%)+34.2%+11.0%(14.6%)(3.1%)+2.7%+7.6%+99.2%
2017+19.1%                                                                  +19.1%

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.

Open positions are hidden from non-subscribers.

This strategy has placed 31 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/26/16 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,651 31.54 11/9 15:57 31.41 1.98%
Trade id #106685040
Max drawdown($1,659)
Time10/27/16 9:02
Quant open2,651
Worst price30.91
Drawdown as % of equity-1.98%
($384)
Includes Typical Commission and AutoTrade Fees trade costs of $53.02
10/24/16 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,048 41.61 10/26 15:57 40.03 4.21%
Trade id #106628076
Max drawdown($3,583)
Time10/26/16 13:56
Quant open2,048
Worst price39.86
Drawdown as % of equity-4.21%
($3,277)
Includes Typical Commission and AutoTrade Fees trade costs of $40.96
10/19/16 12:54 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,680 32.69 10/24 15:57 30.40 7.15%
Trade id #106542531
Max drawdown($6,298)
Time10/24/16 14:37
Quant open2,680
Worst price30.34
Drawdown as % of equity-7.15%
($6,189)
Includes Typical Commission and AutoTrade Fees trade costs of $53.60
10/18/16 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,361 37.92 10/19 9:31 38.66 0.59%
Trade id #106521470
Max drawdown($541)
Time10/18/16 16:15
Quant open2,361
Worst price37.69
Drawdown as % of equity-0.59%
$1,702
Includes Typical Commission and AutoTrade Fees trade costs of $47.22
10/12/16 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,680 34.22 10/18 15:57 33.48 2.19%
Trade id #106409354
Max drawdown($2,034)
Time10/18/16 15:05
Quant open2,680
Worst price33.46
Drawdown as % of equity-2.19%
($2,032)
Includes Typical Commission and AutoTrade Fees trade costs of $53.60
9/29/16 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,831 35.45 9/30 9:31 34.23 3.84%
Trade id #106149345
Max drawdown($3,722)
Time9/30/16 9:31
Quant open2,831
Worst price34.13
Drawdown as % of equity-3.84%
($3,492)
Includes Typical Commission and AutoTrade Fees trade costs of $56.62
9/16/16 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,562 32.32 9/29 15:57 35.95 1.76%
Trade id #105917720
Max drawdown($1,535)
Time9/16/16 10:08
Quant open2,562
Worst price31.72
Drawdown as % of equity-1.76%
$9,255
Includes Typical Commission and AutoTrade Fees trade costs of $51.24
9/14/16 15:04 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,140 40.68 9/16 9:30 40.18 4.41%
Trade id #105881366
Max drawdown($3,800)
Time9/15/16 15:07
Quant open2,140
Worst price38.90
Drawdown as % of equity-4.41%
($1,104)
Includes Typical Commission and AutoTrade Fees trade costs of $42.80
9/13/16 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,128 40.98 9/14 10:30 39.15 5.32%
Trade id #105857483
Max drawdown($4,946)
Time9/14/16 9:07
Quant open2,128
Worst price38.66
Drawdown as % of equity-5.32%
($3,952)
Includes Typical Commission and AutoTrade Fees trade costs of $42.56
6/30/16 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,875 24.93 9/13 15:57 31.66 n/a $19,289
Includes Typical Commission and AutoTrade Fees trade costs of $57.50
6/30/16 9:43 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,200 56.48 6/30 15:57 55.69 2.56%
Trade id #104397676
Max drawdown($1,867)
Time6/30/16 12:34
Quant open4,800
Worst price13.73
Drawdown as % of equity-2.56%
($973)
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
6/29/16 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,887 24.29 6/30 9:30 24.71 n/a $1,156
Includes Typical Commission and AutoTrade Fees trade costs of $57.74
6/10/16 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,298 57.46 6/29 15:57 57.36 11.75%
Trade id #103399217
Max drawdown($8,336)
Time6/23/16 18:18
Quant open5,193
Worst price12.76
Drawdown as % of equity-11.75%
($158)
Includes Typical Commission and AutoTrade Fees trade costs of $25.96
2/19/16 10:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,100 20.98 6/10 15:57 28.49 1.44%
Trade id #100730011
Max drawdown($742)
Time2/24/16 10:32
Quant open2,000
Worst price17.63
Drawdown as % of equity-1.44%
$23,209
Includes Typical Commission and AutoTrade Fees trade costs of $62.00

Statistics

  • Strategy began
    2/19/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    334.43
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    15
  • # Profitable
    6
  • % Profitable
    40.00%
  • Avg trade duration
    21.5 days
  • Max peak-to-valley drawdown
    32.76%
  • drawdown period
    Sept 07, 2016 - Nov 11, 2016
  • Cumul. Return
    137.3%
  • Avg win
    $15,112
  • Avg loss
    $2,351
  • Model Account Values (Raw)
  • Cash
    $41,425
  • Margin Used
    $0
  • Buying Power
    $77,212
  • Ratios
  • W:L ratio
    4.28:1
  • Sharpe Ratio
    2.267
  • Sortino Ratio
    3.263
  • Calmar Ratio
    4.995
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27600
  • Return Statistics
  • Ann Return (w trading costs)
    154.5%
  • Ann Return (Compnd, No Fees)
    158.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.00%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    4.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    753
  • Popularity (Last 6 weeks)
    929
  • C2 Score
    90.4
  • Trades-Own-System Certification
  • Trades Own System?
    183553
  • TOS percent
    5%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $2,352
  • Avg Win
    $15,112
  • # Winners
    6
  • # Losers
    9
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    30894.50
  • Avg Position Time (hrs)
    514.91
  • Avg Trade Length
    21.5 days
  • Last Trade Ago
    70
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.04637
  • SD
    0.47014
  • Sharpe ratio (Glass type estimate)
    2.22568
  • Sharpe ratio (Hedges UMVUE)
    2.05373
  • df
    10.00000
  • t
    2.13092
  • p
    0.02946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08122
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18252
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28998
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.41066
  • Upside Potential Ratio
    5.85932
  • Upside part of mean
    1.39005
  • Downside part of mean
    -0.34368
  • Upside SD
    0.48569
  • Downside SD
    0.23724
  • N nonnegative terms
    9.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.17894
  • Mean of criterion
    1.04637
  • SD of predictor
    0.09672
  • SD of criterion
    0.47014
  • Covariance
    0.02608
  • r
    0.57363
  • b (slope, estimate of beta)
    2.78825
  • a (intercept, estimate of alpha)
    0.54746
  • Mean Square Error
    0.16478
  • DF error
    9.00000
  • t(b)
    2.10091
  • p(b)
    0.03251
  • t(a)
    1.12655
  • p(a)
    0.14454
  • Lowerbound of 95% confidence interval for beta
    -0.21401
  • Upperbound of 95% confidence interval for beta
    5.79052
  • Lowerbound of 95% confidence interval for alpha
    -0.55185
  • Upperbound of 95% confidence interval for alpha
    1.64676
  • Treynor index (mean / b)
    0.37528
  • Jensen alpha (a)
    0.54746
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90879
  • SD
    0.46545
  • Sharpe ratio (Glass type estimate)
    1.95251
  • Sharpe ratio (Hedges UMVUE)
    1.80167
  • df
    10.00000
  • t
    1.86939
  • p
    0.04555
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99579
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49735
  • Upside Potential Ratio
    4.94103
  • Upside part of mean
    1.28393
  • Downside part of mean
    -0.37514
  • Upside SD
    0.44525
  • Downside SD
    0.25985
  • N nonnegative terms
    9.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.17338
  • Mean of criterion
    0.90879
  • SD of predictor
    0.09459
  • SD of criterion
    0.46545
  • Covariance
    0.02481
  • r
    0.56352
  • b (slope, estimate of beta)
    2.77291
  • a (intercept, estimate of alpha)
    0.42801
  • Mean Square Error
    0.16427
  • DF error
    9.00000
  • t(b)
    2.04641
  • p(b)
    0.03551
  • t(a)
    0.88405
  • p(a)
    0.19984
  • Lowerbound of 95% confidence interval for beta
    -0.29234
  • Upperbound of 95% confidence interval for beta
    5.83816
  • Lowerbound of 95% confidence interval for alpha
    -0.66722
  • Upperbound of 95% confidence interval for alpha
    1.52324
  • Treynor index (mean / b)
    0.32774
  • Jensen alpha (a)
    0.42801
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13522
  • Expected Shortfall on VaR
    0.18144
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02921
  • Expected Shortfall on VaR
    0.07684
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.81195
  • Quartile 1
    1.05703
  • Median
    1.12703
  • Quartile 3
    1.18042
  • Maximum
    1.22928
  • Mean of quarter 1
    0.91109
  • Mean of quarter 2
    1.09033
  • Mean of quarter 3
    1.16193
  • Mean of quarter 4
    1.21340
  • Inter Quartile Range
    0.12338
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.81195
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.45509
  • VaR(95%) (regression method)
    0.32515
  • Expected Shortfall (regression method)
    0.33033
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.23547
  • Quartile 1
    0.23547
  • Median
    0.23547
  • Quartile 3
    0.23547
  • Maximum
    0.23547
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    1.44155
  • Compounded annual return (geometric extrapolation)
    1.50613
  • Calmar ratio (compounded annual return / max draw down)
    6.39643
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.30121
  • 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
    1.00382
  • SD
    0.40421
  • Sharpe ratio (Glass type estimate)
    2.48339
  • Sharpe ratio (Hedges UMVUE)
    2.47761
  • df
    322.00000
  • t
    2.40640
  • p
    0.00834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51323
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50931
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.66172
  • Upside Potential Ratio
    10.77820
  • Upside part of mean
    2.95473
  • Downside part of mean
    -1.95091
  • Upside SD
    0.30110
  • Downside SD
    0.27414
  • N nonnegative terms
    167.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    323.00000
  • Mean of predictor
    0.17594
  • Mean of criterion
    1.00382
  • SD of predictor
    0.10453
  • SD of criterion
    0.40421
  • Covariance
    0.01158
  • r
    0.27414
  • b (slope, estimate of beta)
    1.06011
  • a (intercept, estimate of alpha)
    0.81731
  • Mean Square Error
    0.15158
  • DF error
    321.00000
  • t(b)
    5.10718
  • p(b)
    0.00000
  • t(a)
    2.02581
  • p(a)
    0.02181
  • Lowerbound of 95% confidence interval for beta
    0.65174
  • Upperbound of 95% confidence interval for beta
    1.46848
  • Lowerbound of 95% confidence interval for alpha
    0.02357
  • Upperbound of 95% confidence interval for alpha
    1.61104
  • Treynor index (mean / b)
    0.94690
  • Jensen alpha (a)
    0.81731
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92082
  • SD
    0.40516
  • Sharpe ratio (Glass type estimate)
    2.27273
  • Sharpe ratio (Hedges UMVUE)
    2.26743
  • df
    322.00000
  • t
    2.20226
  • p
    0.01418
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.29767
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26301
  • Upside Potential Ratio
    10.31440
  • Upside part of mean
    2.91072
  • Downside part of mean
    -1.98990
  • Upside SD
    0.29407
  • Downside SD
    0.28220
  • N nonnegative terms
    167.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    323.00000
  • Mean of predictor
    0.17044
  • Mean of criterion
    0.92082
  • SD of predictor
    0.10462
  • SD of criterion
    0.40516
  • Covariance
    0.01163
  • r
    0.27433
  • b (slope, estimate of beta)
    1.06241
  • a (intercept, estimate of alpha)
    0.73974
  • Mean Square Error
    0.15227
  • DF error
    321.00000
  • t(b)
    5.11111
  • p(b)
    0.00000
  • t(a)
    1.82985
  • p(a)
    0.03410
  • Lowerbound of 95% confidence interval for beta
    0.65346
  • Upperbound of 95% confidence interval for beta
    1.47135
  • Lowerbound of 95% confidence interval for alpha
    -0.05560
  • Upperbound of 95% confidence interval for alpha
    1.53509
  • Treynor index (mean / b)
    0.86673
  • Jensen alpha (a)
    0.73974
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03271
  • Expected Shortfall on VaR
    0.04147
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01250
  • Expected Shortfall on VaR
    0.02699
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    323.00000
  • Minimum
    0.90622
  • Quartile 1
    0.99675
  • Median
    1.00122
  • Quartile 3
    1.01281
  • Maximum
    1.11157
  • Mean of quarter 1
    0.97784
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00700
  • Mean of quarter 4
    1.02736
  • Inter Quartile Range
    0.01605
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.06192
  • Mean of outliers low
    0.95029
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.03715
  • Mean of outliers high
    1.05669
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27482
  • VaR(95%) (moments method)
    0.01403
  • Expected Shortfall (moments method)
    0.02535
  • Extreme Value Index (regression method)
    0.07070
  • VaR(95%) (regression method)
    0.02351
  • Expected Shortfall (regression method)
    0.03773
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00471
  • Median
    0.02549
  • Quartile 3
    0.05046
  • Maximum
    0.30757
  • Mean of quarter 1
    0.00178
  • Mean of quarter 2
    0.01647
  • Mean of quarter 3
    0.03393
  • Mean of quarter 4
    0.14008
  • Inter Quartile Range
    0.04575
  • 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
    0.09524
  • Mean of outliers high
    0.24172
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57261
  • VaR(95%) (moments method)
    0.15216
  • Expected Shortfall (moments method)
    0.38276
  • Extreme Value Index (regression method)
    1.83141
  • VaR(95%) (regression method)
    0.17731
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.48715
  • Compounded annual return (geometric extrapolation)
    1.53646
  • Calmar ratio (compounded annual return / max draw down)
    4.99548
  • Compounded annual return / average of 25% largest draw downs
    10.96830
  • Compounded annual return / Expected Shortfall lognormal
    37.05380
  • 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
    0.57290
  • SD
    0.41498
  • Sharpe ratio (Glass type estimate)
    1.38055
  • Sharpe ratio (Hedges UMVUE)
    1.37449
  • df
    171.00000
  • t
    0.97620
  • p
    0.45265
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15012
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85234
  • Upside Potential Ratio
    8.83041
  • Upside part of mean
    2.73109
  • Downside part of mean
    -2.15819
  • Upside SD
    0.27659
  • Downside SD
    0.30928
  • N nonnegative terms
    88.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08586
  • Mean of criterion
    0.57290
  • SD of predictor
    0.08893
  • SD of criterion
    0.41498
  • Covariance
    0.00823
  • r
    0.22290
  • b (slope, estimate of beta)
    1.04010
  • a (intercept, estimate of alpha)
    0.48359
  • Mean Square Error
    0.16461
  • DF error
    170.00000
  • t(b)
    2.98130
  • p(b)
    0.38855
  • t(a)
    0.84167
  • p(a)
    0.46779
  • Lowerbound of 95% confidence interval for beta
    0.35141
  • Upperbound of 95% confidence interval for beta
    1.72878
  • Lowerbound of 95% confidence interval for alpha
    -0.65060
  • Upperbound of 95% confidence interval for alpha
    1.61779
  • Treynor index (mean / b)
    0.55081
  • Jensen alpha (a)
    0.48359
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48558
  • SD
    0.41983
  • Sharpe ratio (Glass type estimate)
    1.15661
  • Sharpe ratio (Hedges UMVUE)
    1.15153
  • df
    171.00000
  • t
    0.81785
  • p
    0.46029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61959
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92944
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92602
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51896
  • Upside Potential Ratio
    8.42617
  • Upside part of mean
    2.69369
  • Downside part of mean
    -2.20811
  • Upside SD
    0.27152
  • Downside SD
    0.31968
  • N nonnegative terms
    88.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08192
  • Mean of criterion
    0.48558
  • SD of predictor
    0.08894
  • SD of criterion
    0.41983
  • Covariance
    0.00827
  • r
    0.22154
  • b (slope, estimate of beta)
    1.04578
  • a (intercept, estimate of alpha)
    0.39992
  • Mean Square Error
    0.16859
  • DF error
    170.00000
  • t(b)
    2.96214
  • p(b)
    0.38923
  • t(a)
    0.68785
  • p(a)
    0.47366
  • Lowerbound of 95% confidence interval for beta
    0.34886
  • Upperbound of 95% confidence interval for beta
    1.74271
  • Lowerbound of 95% confidence interval for alpha
    -0.74778
  • Upperbound of 95% confidence interval for alpha
    1.54761
  • Treynor index (mean / b)
    0.46433
  • Jensen alpha (a)
    0.39992
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03519
  • Expected Shortfall on VaR
    0.04424
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01391
  • Expected Shortfall on VaR
    0.03016
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.90622
  • Quartile 1
    0.99735
  • Median
    1.00029
  • Quartile 3
    1.01190
  • Maximum
    1.06555
  • Mean of quarter 1
    0.97522
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00552
  • Mean of quarter 4
    1.02629
  • Inter Quartile Range
    0.01456
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08140
  • Mean of outliers low
    0.95065
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.05814
  • Mean of outliers high
    1.04493
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19962
  • VaR(95%) (moments method)
    0.01204
  • Expected Shortfall (moments method)
    0.01604
  • Extreme Value Index (regression method)
    -0.00400
  • VaR(95%) (regression method)
    0.02798
  • Expected Shortfall (regression method)
    0.04339
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00065
  • Quartile 1
    0.00989
  • Median
    0.02102
  • Quartile 3
    0.02696
  • Maximum
    0.30757
  • Mean of quarter 1
    0.00268
  • Mean of quarter 2
    0.01805
  • Mean of quarter 3
    0.02549
  • Mean of quarter 4
    0.16800
  • Inter Quartile Range
    0.01707
  • 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
    0.30757
  • 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)
    0.56232
  • Compounded annual return (geometric extrapolation)
    0.64137
  • Calmar ratio (compounded annual return / max draw down)
    2.08529
  • Compounded annual return / average of 25% largest draw downs
    3.81773
  • Compounded annual return / Expected Shortfall lognormal
    14.49880

Strategy Description

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

Subscriptions not available

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

Statistics

Strategy began
2016-02-19
Minimum Capital Required
$5,000
# Trades
15
# Profitable
6
% Profitable
40.0%
Correlation S&P500
0.276
Sharpe Ratio
2.267

Latest

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subscribed on #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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