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VXX Bias
(100707640)

Created by: Jay_Wolberg Jay_Wolberg
Started: 02/2016
Stocks
Last trade: 19 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 $98.00 per month.

95.6%
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.

45.9%
Max Drawdown
53
Num Trades
45.3%
Win Trades
2.3 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +3.1%+25.5%+0.6%+20.0%(6.9%)+34.3%+10.9%(14.8%)(3.3%)+2.6%+7.5%+97.0%
2017+30.7%+4.2%+4.6%+12.6%(12.7%)(17.7%)+6.9%(16.7%)+16.6%+6.5%+6.7%+13.9%+54.9%
2018+8.0%+36.9%+1.5%(0.7%)+0.5%                                          +49.7%

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 106 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/3/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,918 41.71 5/4 9:30 42.04 1.7%
Trade id #117785549
Max drawdown($3,903)
Time5/3/18 16:15
Quant open4,918
Worst price40.92
Drawdown as % of equity-1.70%
$1,600
Includes Typical Broker Commissions trade costs of $5.00
4/26/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 16,961 12.23 5/3 15:57 12.31 1.96%
Trade id #117683133
Max drawdown($4,567)
Time5/3/18 10:57
Quant open16,961
Worst price11.96
Drawdown as % of equity-1.96%
$1,364
Includes Typical Broker Commissions trade costs of $5.00
4/24/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,854 44.03 4/26 15:57 42.38 4.55%
Trade id #117647136
Max drawdown($10,453)
Time4/26/18 13:14
Quant open4,854
Worst price41.88
Drawdown as % of equity-4.55%
($8,033)
Includes Typical Broker Commissions trade costs of $5.00
4/12/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 17,985 11.66 4/24 15:57 11.99 0.23%
Trade id #117491192
Max drawdown($536)
Time4/12/18 19:46
Quant open17,985
Worst price11.63
Drawdown as % of equity-0.23%
$5,940
Includes Typical Broker Commissions trade costs of $5.00
3/19/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,721 42.93 4/12 15:57 47.01 8.03%
Trade id #117125264
Max drawdown($16,067)
Time3/21/18 14:01
Quant open4,721
Worst price39.53
Drawdown as % of equity-8.03%
$19,256
Includes Typical Broker Commissions trade costs of $5.70
3/19/18 15:00 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 17,000 12.19 3/19 15:57 12.36 0.24%
Trade id #117123796
Max drawdown($498)
Time3/19/18 15:02
Quant open17,000
Worst price12.16
Drawdown as % of equity-0.24%
$2,891
Includes Typical Broker Commissions trade costs of $5.00
3/15/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 16,639 12.81 3/19 12:23 12.25 4.76%
Trade id #117074120
Max drawdown($10,149)
Time3/19/18 12:21
Quant open16,639
Worst price12.20
Drawdown as % of equity-4.76%
($9,398)
Includes Typical Broker Commissions trade costs of $5.00
3/14/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,363 41.70 3/15 11:41 40.27 4.5%
Trade id #117050825
Max drawdown($9,976)
Time3/15/18 11:27
Quant open5,363
Worst price39.84
Drawdown as % of equity-4.50%
($7,672)
Includes Typical Broker Commissions trade costs of $5.00
3/8/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 17,543 12.58 3/14 15:57 12.59 0.49%
Trade id #116943126
Max drawdown($1,127)
Time3/14/18 15:45
Quant open17,543
Worst price12.52
Drawdown as % of equity-0.49%
$183
Includes Typical Broker Commissions trade costs of $5.00
3/7/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 17,722 12.42 3/8 9:30 12.48 0.46%
Trade id #116914395
Max drawdown($1,027)
Time3/7/18 18:27
Quant open17,722
Worst price12.36
Drawdown as % of equity-0.46%
$1,094
Includes Typical Broker Commissions trade costs of $5.00
3/5/18 14:22 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,500 44.16 3/7 15:57 43.23 2.81%
Trade id #116867902
Max drawdown($6,324)
Time3/6/18 6:59
Quant open4,500
Worst price42.75
Drawdown as % of equity-2.81%
($4,175)
Includes Typical Broker Commissions trade costs of $5.00
2/27/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,053 42.32 3/1 9:30 44.35 3.1%
Trade id #116759541
Max drawdown($6,815)
Time2/28/18 8:36
Quant open5,053
Worst price40.97
Drawdown as % of equity-3.10%
$10,259
Includes Typical Broker Commissions trade costs of $5.00
2/23/18 0:00 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 16,769 13.38 2/27 12:09 12.92 6.85%
Trade id #116709082
Max drawdown($16,769)
Time2/23/18 5:34
Quant open16,769
Worst price12.38
Drawdown as % of equity-6.85%
($7,709)
Includes Typical Broker Commissions trade costs of $5.00
1/26/18 13:27 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,520 27.84 2/23 15:57 40.53 1.17%
Trade id #116125105
Max drawdown($1,817)
Time1/26/18 15:40
Quant open5,520
Worst price27.51
Drawdown as % of equity-1.17%
$70,052
Includes Typical Broker Commissions trade costs of $5.00
1/24/18 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,097 139.40 1/25 9:30 139.05 1.4%
Trade id #116083720
Max drawdown($2,190)
Time1/24/18 19:17
Quant open1,097
Worst price137.40
Drawdown as % of equity-1.40%
($386)
Includes Typical Broker Commissions trade costs of $5.00
1/17/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,686 27.15 1/23 15:57 26.62 4%
Trade id #115925136
Max drawdown($6,254)
Time1/22/18 12:22
Quant open5,686
Worst price26.05
Drawdown as % of equity-4.00%
($3,019)
Includes Typical Broker Commissions trade costs of $5.00
11/15/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,133 103.96 1/16/18 15:57 138.00 n/a $38,563
Includes Typical Broker Commissions trade costs of $5.00
11/15/17 14:17 VXX IPATH S&P 500 VIX ST FUTURES E LONG 3,305 36.15 11/15 15:57 36.44 1.26%
Trade id #114873977
Max drawdown($1,516)
Time11/15/17 15:22
Quant open3,305
Worst price35.69
Drawdown as % of equity-1.26%
$960
Includes Typical Broker Commissions trade costs of $5.00
10/31/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,124 111.70 11/15 9:30 104.52 7.02%
Trade id #114618830
Max drawdown($8,711)
Time11/15/17 5:45
Quant open1,124
Worst price103.95
Drawdown as % of equity-7.02%
($8,075)
Includes Typical Broker Commissions trade costs of $5.00
10/24/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 3,600 34.28 10/31 9:30 34.22 1.05%
Trade id #114461206
Max drawdown($1,350)
Time10/30/17 10:36
Quant open3,600
Worst price33.91
Drawdown as % of equity-1.05%
($221)
Includes Typical Broker Commissions trade costs of $5.00
10/20/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,152 112.56 10/23 15:57 108.86 4.03%
Trade id #114403166
Max drawdown($5,354)
Time10/23/17 15:42
Quant open1,152
Worst price107.91
Drawdown as % of equity-4.03%
($4,264)
Includes Typical Broker Commissions trade costs of $5.00
10/18/17 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 3,843 34.64 10/20 15:57 33.85 2.69%
Trade id #114357050
Max drawdown($3,570)
Time10/20/17 15:14
Quant open3,843
Worst price33.71
Drawdown as % of equity-2.69%
($3,033)
Includes Typical Broker Commissions trade costs of $5.00
8/25/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,218 81.33 10/18 15:57 110.01 n/a $34,927
Includes Typical Broker Commissions trade costs of $5.00
8/16/17 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,078 47.07 8/25 15:57 47.67 73.22%
Trade id #113184663
Max drawdown($73,577)
Time8/22/17 19:57
Quant open2,078
Worst price11.66
Drawdown as % of equity-73.22%
$1,246
Includes Typical Broker Commissions trade costs of $5.00
8/15/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,145 84.46 8/16 15:57 84.80 0.59%
Trade id #113161719
Max drawdown($583)
Time8/16/17 9:31
Quant open1,145
Worst price83.95
Drawdown as % of equity-0.59%
$384
Includes Typical Broker Commissions trade costs of $5.00
8/14/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,126 84.12 8/15 9:30 86.40 0.37%
Trade id #113138026
Max drawdown($360)
Time8/14/17 17:59
Quant open1,126
Worst price83.80
Drawdown as % of equity-0.37%
$2,562
Includes Typical Broker Commissions trade costs of $5.00
8/10/17 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 7,788 13.27 8/14 9:35 12.42 6.28%
Trade id #113092585
Max drawdown($6,697)
Time8/14/17 4:43
Quant open7,788
Worst price12.41
Drawdown as % of equity-6.28%
($6,625)
Includes Typical Broker Commissions trade costs of $5.00
7/12/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,284 85.58 8/10 15:57 78.37 8.8%
Trade id #112561711
Max drawdown($9,282)
Time8/10/17 15:50
Quant open1,284
Worst price78.35
Drawdown as % of equity-8.80%
($9,261)
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 8,847 12.92 7/12 15:57 12.38 4.6%
Trade id #112291653
Max drawdown($5,219)
Time7/12/17 15:15
Quant open8,847
Worst price12.33
Drawdown as % of equity-4.60%
($4,757)
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,466 86.49 6/29 13:13 77.78 10.58%
Trade id #112279311
Max drawdown($12,769)
Time6/29/17 13:13
Quant open0
Worst price77.78
Drawdown as % of equity-10.58%
($12,774)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/19/2016
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    823.87
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    53
  • # Profitable
    24
  • % Profitable
    45.30%
  • Avg trade duration
    14.1 days
  • Max peak-to-valley drawdown
    45.93%
  • drawdown period
    May 16, 2017 - Aug 15, 2017
  • Annual Return (Compounded)
    95.5%
  • Avg win
    $13,461
  • Avg loss
    $4,852
  • Model Account Values (Raw)
  • Cash
    $232,348
  • Margin Used
    $0
  • Buying Power
    $232,348
  • Ratios
  • W:L ratio
    2.30:1
  • Sharpe Ratio
    1.633
  • Sortino Ratio
    2.727
  • Calmar Ratio
    2.3
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.02100
  • Return Statistics
  • Ann Return (w trading costs)
    95.5%
  • Ann Return (Compnd, No Fees)
    97.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    36.00%
  • Chance of 30% account loss
    12.00%
  • Chance of 40% account loss
    4.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    900
  • C2 Score
    78.3
  • 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
    $4,852
  • Avg Win
    $13,461
  • # Winners
    24
  • # Losers
    29
  • % Winners
    45.3%
  • Frequency
  • Avg Position Time (mins)
    20316.80
  • Avg Position Time (hrs)
    338.61
  • Avg Trade Length
    14.1 days
  • Last Trade Ago
    20
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87209
  • SD
    0.66014
  • Sharpe ratio (Glass type estimate)
    1.32107
  • Sharpe ratio (Hedges UMVUE)
    1.28097
  • df
    25.00000
  • t
    1.94456
  • p
    0.03158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07164
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68932
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65903
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.29495
  • Upside Potential Ratio
    4.90075
  • Upside part of mean
    1.29711
  • Downside part of mean
    -0.42502
  • Upside SD
    0.64215
  • Downside SD
    0.26468
  • N nonnegative terms
    19.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.13851
  • Mean of criterion
    0.87209
  • SD of predictor
    0.10789
  • SD of criterion
    0.66014
  • Covariance
    -0.00792
  • r
    -0.11115
  • b (slope, estimate of beta)
    -0.68006
  • a (intercept, estimate of alpha)
    0.96629
  • Mean Square Error
    0.44834
  • DF error
    24.00000
  • t(b)
    -0.54790
  • p(b)
    0.70559
  • t(a)
    1.98704
  • p(a)
    0.02922
  • Lowerbound of 95% confidence interval for beta
    -3.24183
  • Upperbound of 95% confidence interval for beta
    1.88171
  • Lowerbound of 95% confidence interval for alpha
    -0.03738
  • Upperbound of 95% confidence interval for alpha
    1.96996
  • Treynor index (mean / b)
    -1.28237
  • Jensen alpha (a)
    0.96629
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67273
  • SD
    0.58121
  • Sharpe ratio (Glass type estimate)
    1.15746
  • Sharpe ratio (Hedges UMVUE)
    1.12233
  • df
    25.00000
  • t
    1.70374
  • p
    0.05042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22268
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48972
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31840
  • Upside Potential Ratio
    3.91595
  • Upside part of mean
    1.13629
  • Downside part of mean
    -0.46356
  • Upside SD
    0.52757
  • Downside SD
    0.29017
  • N nonnegative terms
    19.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.13193
  • Mean of criterion
    0.67273
  • SD of predictor
    0.10681
  • SD of criterion
    0.58121
  • Covariance
    -0.00385
  • r
    -0.06207
  • b (slope, estimate of beta)
    -0.33777
  • a (intercept, estimate of alpha)
    0.71730
  • Mean Square Error
    0.35053
  • DF error
    24.00000
  • t(b)
    -0.30469
  • p(b)
    0.61838
  • t(a)
    1.67597
  • p(a)
    0.05336
  • Lowerbound of 95% confidence interval for beta
    -2.62578
  • Upperbound of 95% confidence interval for beta
    1.95024
  • Lowerbound of 95% confidence interval for alpha
    -0.16603
  • Upperbound of 95% confidence interval for alpha
    1.60062
  • Treynor index (mean / b)
    -1.99168
  • Jensen alpha (a)
    0.71730
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19741
  • Expected Shortfall on VaR
    0.25034
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05236
  • Expected Shortfall on VaR
    0.11763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.80600
  • Quartile 1
    0.99822
  • Median
    1.04887
  • Quartile 3
    1.17912
  • Maximum
    1.71760
  • Mean of quarter 1
    0.87077
  • Mean of quarter 2
    1.02997
  • Mean of quarter 3
    1.09570
  • Mean of quarter 4
    1.30009
  • Inter Quartile Range
    0.18090
  • 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
    0.03846
  • Mean of outliers high
    1.71760
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -20.12850
  • VaR(95%) (moments method)
    0.02961
  • Expected Shortfall (moments method)
    0.02961
  • Extreme Value Index (regression method)
    -2.67906
  • VaR(95%) (regression method)
    0.18965
  • Expected Shortfall (regression method)
    0.19129
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.19229
  • Quartile 1
    0.19257
  • Median
    0.19285
  • Quartile 3
    0.29982
  • Maximum
    0.40679
  • Mean of quarter 1
    0.19229
  • Mean of quarter 2
    0.19285
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.40679
  • Inter Quartile Range
    0.10725
  • 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)
    1.64461
  • Compounded annual return (geometric extrapolation)
    1.01504
  • Calmar ratio (compounded annual return / max draw down)
    2.49528
  • Compounded annual return / average of 25% largest draw downs
    2.49528
  • Compounded annual return / Expected Shortfall lognormal
    4.05461
  • 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
    0.77429
  • SD
    0.47358
  • Sharpe ratio (Glass type estimate)
    1.63498
  • Sharpe ratio (Hedges UMVUE)
    1.63284
  • df
    573.00000
  • t
    2.42002
  • p
    0.00791
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96038
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72675
  • Upside Potential Ratio
    9.60260
  • Upside part of mean
    2.72675
  • Downside part of mean
    -1.95246
  • Upside SD
    0.38149
  • Downside SD
    0.28396
  • N nonnegative terms
    313.00000
  • N negative terms
    261.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    574.00000
  • Mean of predictor
    0.13854
  • Mean of criterion
    0.77429
  • SD of predictor
    0.11075
  • SD of criterion
    0.47358
  • Covariance
    -0.00272
  • r
    -0.05180
  • b (slope, estimate of beta)
    -0.22150
  • a (intercept, estimate of alpha)
    0.80500
  • Mean Square Error
    0.22406
  • DF error
    572.00000
  • t(b)
    -1.24056
  • p(b)
    0.89236
  • t(a)
    2.50962
  • p(a)
    0.00618
  • Lowerbound of 95% confidence interval for beta
    -0.57219
  • Upperbound of 95% confidence interval for beta
    0.12919
  • Lowerbound of 95% confidence interval for alpha
    0.17497
  • Upperbound of 95% confidence interval for alpha
    1.43498
  • Treynor index (mean / b)
    -3.49569
  • Jensen alpha (a)
    0.80497
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66500
  • SD
    0.46239
  • Sharpe ratio (Glass type estimate)
    1.43819
  • Sharpe ratio (Hedges UMVUE)
    1.43631
  • df
    573.00000
  • t
    2.12874
  • p
    0.01685
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76437
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10953
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76308
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26806
  • Upside Potential Ratio
    9.06990
  • Upside part of mean
    2.65932
  • Downside part of mean
    -1.99432
  • Upside SD
    0.35937
  • Downside SD
    0.29320
  • N nonnegative terms
    313.00000
  • N negative terms
    261.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    574.00000
  • Mean of predictor
    0.13235
  • Mean of criterion
    0.66500
  • SD of predictor
    0.11109
  • SD of criterion
    0.46239
  • Covariance
    -0.00240
  • r
    -0.04679
  • b (slope, estimate of beta)
    -0.19476
  • a (intercept, estimate of alpha)
    0.69078
  • Mean Square Error
    0.21371
  • DF error
    572.00000
  • t(b)
    -1.12031
  • p(b)
    0.86847
  • t(a)
    2.20577
  • p(a)
    0.01390
  • Lowerbound of 95% confidence interval for beta
    -0.53623
  • Upperbound of 95% confidence interval for beta
    0.14670
  • Lowerbound of 95% confidence interval for alpha
    0.07568
  • Upperbound of 95% confidence interval for alpha
    1.30588
  • Treynor index (mean / b)
    -3.41438
  • Jensen alpha (a)
    0.69078
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04348
  • Expected Shortfall on VaR
    0.05477
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01592
  • Expected Shortfall on VaR
    0.03354
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    574.00000
  • Minimum
    0.88876
  • Quartile 1
    0.99228
  • Median
    1.00201
  • Quartile 3
    1.01424
  • Maximum
    1.28015
  • Mean of quarter 1
    0.97224
  • Mean of quarter 2
    0.99843
  • Mean of quarter 3
    1.00765
  • Mean of quarter 4
    1.03392
  • Inter Quartile Range
    0.02196
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.04878
  • Mean of outliers low
    0.93670
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.03136
  • Mean of outliers high
    1.09396
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20916
  • VaR(95%) (moments method)
    0.02354
  • Expected Shortfall (moments method)
    0.03808
  • Extreme Value Index (regression method)
    0.15055
  • VaR(95%) (regression method)
    0.02663
  • Expected Shortfall (regression method)
    0.04209
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00610
  • Median
    0.02637
  • Quartile 3
    0.05851
  • Maximum
    0.43453
  • Mean of quarter 1
    0.00296
  • Mean of quarter 2
    0.01644
  • Mean of quarter 3
    0.03871
  • Mean of quarter 4
    0.19543
  • Inter Quartile Range
    0.05241
  • 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
    0.12903
  • Mean of outliers high
    0.30699
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.33549
  • VaR(95%) (moments method)
    0.19020
  • Expected Shortfall (moments method)
    0.35082
  • Extreme Value Index (regression method)
    0.14807
  • VaR(95%) (regression method)
    0.17043
  • Expected Shortfall (regression method)
    0.25774
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.62647
  • Compounded annual return (geometric extrapolation)
    0.99952
  • Calmar ratio (compounded annual return / max draw down)
    2.30026
  • Compounded annual return / average of 25% largest draw downs
    5.11442
  • Compounded annual return / Expected Shortfall lognormal
    18.24850
  • 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
    1.49054
  • SD
    0.68928
  • Sharpe ratio (Glass type estimate)
    2.16245
  • Sharpe ratio (Hedges UMVUE)
    2.14996
  • df
    130.00000
  • t
    1.52909
  • p
    0.43354
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62579
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93405
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.85119
  • Upside Potential Ratio
    11.94520
  • Upside part of mean
    3.67018
  • Downside part of mean
    -2.17965
  • Upside SD
    0.62093
  • Downside SD
    0.30725
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10603
  • Mean of criterion
    1.49054
  • SD of predictor
    0.16133
  • SD of criterion
    0.68928
  • Covariance
    -0.04158
  • r
    -0.37390
  • b (slope, estimate of beta)
    -1.59747
  • a (intercept, estimate of alpha)
    1.65992
  • Mean Square Error
    0.41185
  • DF error
    129.00000
  • t(b)
    -4.57887
  • p(b)
    0.73237
  • t(a)
    1.82743
  • p(a)
    0.39930
  • Lowerbound of 95% confidence interval for beta
    -2.28773
  • Upperbound of 95% confidence interval for beta
    -0.90720
  • Lowerbound of 95% confidence interval for alpha
    -0.13725
  • Upperbound of 95% confidence interval for alpha
    3.45708
  • Treynor index (mean / b)
    -0.93306
  • Jensen alpha (a)
    1.65992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.26923
  • SD
    0.65017
  • Sharpe ratio (Glass type estimate)
    1.95217
  • Sharpe ratio (Hedges UMVUE)
    1.94089
  • df
    130.00000
  • t
    1.38039
  • p
    0.43990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73048
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84094
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72271
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.00332
  • Upside Potential Ratio
    11.03270
  • Upside part of mean
    3.49786
  • Downside part of mean
    -2.22863
  • Upside SD
    0.57019
  • Downside SD
    0.31705
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09300
  • Mean of criterion
    1.26923
  • SD of predictor
    0.16217
  • SD of criterion
    0.65017
  • Covariance
    -0.04070
  • r
    -0.38600
  • b (slope, estimate of beta)
    -1.54750
  • a (intercept, estimate of alpha)
    1.41315
  • Mean Square Error
    0.36252
  • DF error
    129.00000
  • t(b)
    -4.75240
  • p(b)
    0.73949
  • t(a)
    1.65856
  • p(a)
    0.40833
  • Lowerbound of 95% confidence interval for beta
    -2.19175
  • Upperbound of 95% confidence interval for beta
    -0.90324
  • Lowerbound of 95% confidence interval for alpha
    -0.27262
  • Upperbound of 95% confidence interval for alpha
    3.09892
  • Treynor index (mean / b)
    -0.82019
  • Jensen alpha (a)
    1.41315
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05939
  • Expected Shortfall on VaR
    0.07494
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01926
  • Expected Shortfall on VaR
    0.03944
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90456
  • Quartile 1
    0.99169
  • Median
    1.00000
  • Quartile 3
    1.01126
  • Maximum
    1.28015
  • Mean of quarter 1
    0.96923
  • Mean of quarter 2
    0.99796
  • Mean of quarter 3
    1.00497
  • Mean of quarter 4
    1.05100
  • Inter Quartile Range
    0.01957
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.93793
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.09875
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15551
  • VaR(95%) (moments method)
    0.02566
  • Expected Shortfall (moments method)
    0.03988
  • Extreme Value Index (regression method)
    0.10057
  • VaR(95%) (regression method)
    0.03190
  • Expected Shortfall (regression method)
    0.04921
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00161
  • Median
    0.02520
  • Quartile 3
    0.06691
  • Maximum
    0.30999
  • Mean of quarter 1
    0.00055
  • Mean of quarter 2
    0.00388
  • Mean of quarter 3
    0.04745
  • Mean of quarter 4
    0.15937
  • Inter Quartile Range
    0.06530
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.30999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29170
  • VaR(95%) (moments method)
    0.17965
  • Expected Shortfall (moments method)
    0.31210
  • Extreme Value Index (regression method)
    2.23592
  • VaR(95%) (regression method)
    0.42970
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.82561
  • Compounded annual return (geometric extrapolation)
    2.65882
  • Calmar ratio (compounded annual return / max draw down)
    8.57711
  • Compounded annual return / average of 25% largest draw downs
    16.68350
  • Compounded annual return / Expected Shortfall lognormal
    35.47840

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.

Summary Statistics

Strategy began
2016-02-19
Suggested Minimum Capital
$30,000
# Trades
53
# Profitable
24
% Profitable
45.3%
Correlation S&P500
-0.021
Sharpe Ratio
1.633

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.