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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/15/2016
Most recent certification approved 4/15/16 12:59 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 4,951
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 3,126
Percent signals followed since 04/15/2016 63.1%
This information was last updated 4/19/19 8:32 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 04/15/2016, 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:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

VolatilityTrader
(100722273)

Created by: VixTrader VixTrader
Started: 03/2016
Options
Last trade: 4 days ago
Trading style: Options Premium Collecting Volatility Long / Short

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 $299.00 per month.

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
115.3%
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.

(56.5%)
Max Drawdown
1923
Num Trades
93.5%
Win Trades
1.8 : 1
Profit Factor
71.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              (4.4%)+19.4%+40.3%+55.2%+45.2%+11.9%+15.2%(7.7%)+24.6%+4.4%+458.5%
2017(28.2%)(28%)+23.0%+11.4%+7.1%+10.7%(11.4%)+27.8%+11.3%+5.2%(3.1%)+10.4%+19.2%
2018+6.2%+27.3%(2.2%)+7.2%+8.2%(6.4%)+19.9%(5.8%)+4.8%(5.2%)+8.7%(36.6%)+10.8%
2019+20.9%+12.1%+8.3%+1.5%                                                +49.1%

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 72 hours.

Trading Record

This strategy has placed 3,075 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/27/18 9:36 PXD PIONEER NATURAL RESOURCES LONG 1,000 155.00 4/15/19 14:42 163.49 2.58%
Trade id #120578408
Max drawdown($24,170)
Time12/18/18 15:01
Quant open1,000
Worst price130.83
Drawdown as % of equity-2.58%
$8,486
Includes Typical Broker Commissions trade costs of $6.00
4/10/19 12:17 NFLX1912P347.5 NFLX Apr12'19 347.5 put SHORT 10 0.39 4/13 9:35 0.00 0.18%
Trade id #123270025
Max drawdown($1,967)
Time4/12/19 9:51
Quant open-10
Worst price2.36
Drawdown as % of equity-0.18%
$386
Includes Typical Broker Commissions trade costs of $7.00
4/9/19 14:38 ALGN1912D300 ALGN Apr12'19 300 call SHORT 10 0.40 4/13 9:35 0.00 0.03%
Trade id #123258256
Max drawdown($350)
Time4/10/19 10:44
Quant open-10
Worst price0.75
Drawdown as % of equity-0.03%
$393
Includes Typical Broker Commissions trade costs of $7.00
4/3/19 13:56 LMT1912P282.5 LMT Apr12'19 282.5 put SHORT 10 0.40 4/13 9:35 0.00 0.01%
Trade id #123190496
Max drawdown($99)
Time4/3/19 14:43
Quant open-10
Worst price0.50
Drawdown as % of equity-0.01%
$394
Includes Typical Broker Commissions trade costs of $7.00
4/9/19 14:42 BA1912P352.5 BA Apr12'19 352.5 put SHORT 10 0.46 4/13 9:35 0.00 0.04%
Trade id #123258344
Max drawdown($440)
Time4/10/19 10:09
Quant open-10
Worst price0.90
Drawdown as % of equity-0.04%
$453
Includes Typical Broker Commissions trade costs of $7.00
3/29/19 15:59 SHAK1905D60 SHAK Apr5'19 60 call SHORT 10 0.50 4/6 9:35 0.00 0%
Trade id #123134420
Max drawdown$0
Time4/1/19 9:32
Quant open-10
Worst price0.50
Drawdown as % of equity0.00%
$493
Includes Typical Broker Commissions trade costs of $7.00
3/29/19 14:41 SPOT1905P129 SPOT Apr5'19 129 put SHORT 10 0.40 4/6 9:35 0.00 0%
Trade id #123132780
Max drawdown($50)
Time3/29/19 15:59
Quant open-10
Worst price0.45
Drawdown as % of equity-0.00%
$393
Includes Typical Broker Commissions trade costs of $7.00
4/1/19 15:37 TTD1905D222.5 TTD Apr5'19 222.5 call SHORT 10 0.40 4/6 9:35 0.00 n/a $393
Includes Typical Broker Commissions trade costs of $7.00
4/1/19 15:53 TWLO1905D134 TWLO Apr5'19 134 call SHORT 10 0.40 4/6 9:35 0.00 0.06%
Trade id #123158476
Max drawdown($637)
Time4/3/19 9:49
Quant open-10
Worst price1.04
Drawdown as % of equity-0.06%
$396
Includes Typical Broker Commissions trade costs of $7.00
4/1/19 15:26 AVGO1905D315 AVGO Apr5'19 315 call SHORT 10 0.42 4/6 9:35 0.00 0%
Trade id #123157925
Max drawdown($25)
Time4/1/19 15:28
Quant open-10
Worst price0.45
Drawdown as % of equity-0.00%
$418
Includes Typical Broker Commissions trade costs of $7.00
3/29/19 15:43 RH1905P94 RH Apr5'19 94 put SHORT 10 0.29 4/6 9:35 0.00 0.02%
Trade id #123134051
Max drawdown($211)
Time4/1/19 9:47
Quant open-10
Worst price0.50
Drawdown as % of equity-0.02%
$281
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 13:00 CCL1929C59.5 CCL Mar29'19 59.5 call SHORT 10 0.40 3/30 9:35 0.00 0.01%
Trade id #123037846
Max drawdown($104)
Time3/22/19 14:56
Quant open-10
Worst price0.50
Drawdown as % of equity-0.01%
$388
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 11:10 DE1929O148 DE Mar29'19 148 put SHORT 10 0.39 3/30 9:35 0.00 n/a $384
Includes Typical Broker Commissions trade costs of $7.00
3/27/19 15:30 SHOP1929C207.5 SHOP Mar29'19 207.5 call SHORT 10 0.40 3/30 9:35 0.00 0.05%
Trade id #123103317
Max drawdown($603)
Time3/29/19 9:32
Quant open-10
Worst price1.00
Drawdown as % of equity-0.05%
$390
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 15:54 MCD1929O182.5 MCD Mar29'19 182.5 put SHORT 10 0.42 3/30 9:35 0.00 0.06%
Trade id #123041235
Max drawdown($650)
Time3/25/19 9:46
Quant open-10
Worst price1.07
Drawdown as % of equity-0.06%
$413
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 12:38 BIDU1929O157.5 BIDU Mar29'19 157.5 put SHORT 10 0.38 3/30 9:35 0.00 0.03%
Trade id #123037279
Max drawdown($292)
Time3/25/19 10:15
Quant open-10
Worst price0.67
Drawdown as % of equity-0.03%
$371
Includes Typical Broker Commissions trade costs of $7.00
3/25/19 9:31 FDX1929O165 FDX Mar29'19 165 put SHORT 10 0.24 3/30 9:35 0.00 0.02%
Trade id #123056410
Max drawdown($231)
Time3/25/19 14:27
Quant open-10
Worst price0.47
Drawdown as % of equity-0.02%
$232
Includes Typical Broker Commissions trade costs of $7.00
3/25/19 15:36 NFLX1929C392.5 NFLX Mar29'19 392.5 call SHORT 10 0.47 3/30 9:35 0.00 0.01%
Trade id #123065600
Max drawdown($100)
Time3/25/19 16:00
Quant open-10
Worst price0.57
Drawdown as % of equity-0.01%
$463
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 11:00 ADSK1929O146 ADSK Mar29'19 146 put SHORT 10 0.43 3/30 9:35 0.00 0.02%
Trade id #123032648
Max drawdown($171)
Time3/27/19 11:49
Quant open-10
Worst price0.60
Drawdown as % of equity-0.02%
$422
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 12:43 ANET1929O275 ANET Mar29'19 275 put SHORT 10 0.46 3/30 9:35 0.00 0.15%
Trade id #123037417
Max drawdown($1,649)
Time3/25/19 9:31
Quant open-10
Worst price2.11
Drawdown as % of equity-0.15%
$454
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 15:59 RTN1929O172.5 RTN Mar29'19 172.5 put SHORT 10 0.09 3/30 9:35 0.00 0.03%
Trade id #123041411
Max drawdown($274)
Time3/25/19 9:33
Quant open-10
Worst price0.36
Drawdown as % of equity-0.03%
$78
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 12:31 NFLX1929O305 NFLX Mar29'19 305 put SHORT 10 0.38 3/30 9:35 0.00 0.01%
Trade id #123037091
Max drawdown($107)
Time3/22/19 13:54
Quant open-10
Worst price0.49
Drawdown as % of equity-0.01%
$376
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 11:41 WYNN1929O111 WYNN Mar29'19 111 put SHORT 10 0.53 3/30 9:35 0.00 0.02%
Trade id #123034535
Max drawdown($250)
Time3/25/19 10:09
Quant open-10
Worst price0.78
Drawdown as % of equity-0.02%
$523
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 11:25 IBB1929O106 IBB Mar29'19 106 put SHORT 10 0.40 3/30 9:35 0.00 n/a $392
Includes Typical Broker Commissions trade costs of $7.00
3/22/19 10:08 NFLX1929O320 NFLX Mar29'19 320 put SHORT 10 0.49 3/30 9:35 0.00 0.14%
Trade id #123030679
Max drawdown($1,479)
Time3/25/19 9:56
Quant open-10
Worst price1.97
Drawdown as % of equity-0.14%
$484
Includes Typical Broker Commissions trade costs of $7.00
3/21/19 14:50 ALGN1929C305 ALGN Mar29'19 305 call SHORT 10 0.43 3/30 9:35 0.00 0%
Trade id #123019116
Max drawdown($23)
Time3/21/19 15:54
Quant open-10
Worst price0.45
Drawdown as % of equity-0.00%
$420
Includes Typical Broker Commissions trade costs of $7.00
3/25/19 9:33 BIIB1929O197.5 BIIB Mar29'19 197.5 put SHORT 10 0.11 3/30 9:35 0.00 0.01%
Trade id #123056550
Max drawdown($143)
Time3/25/19 10:09
Quant open-10
Worst price0.25
Drawdown as % of equity-0.01%
$100
Includes Typical Broker Commissions trade costs of $7.00
3/20/19 14:37 NFLX1922C390 NFLX Mar22'19 390 call SHORT 10 0.43 3/23 9:35 0.00 0.07%
Trade id #122999782
Max drawdown($798)
Time3/20/19 14:43
Quant open-10
Worst price1.23
Drawdown as % of equity-0.07%
$425
Includes Typical Broker Commissions trade costs of $7.00
3/14/19 12:38 NFLX1922O325 NFLX Mar22'19 325 put SHORT 10 0.39 3/23 9:35 0.00 0%
Trade id #122913970
Max drawdown($44)
Time3/14/19 15:25
Quant open-10
Worst price0.43
Drawdown as % of equity-0.00%
$379
Includes Typical Broker Commissions trade costs of $7.00
10/27/18 9:36 ALGN ALIGN TECHNOLOGY LONG 1,000 235.00 3/22/19 11:13 267.15 5.59%
Trade id #120578307
Max drawdown($43,760)
Time12/20/18 11:53
Quant open1,000
Worst price191.24
Drawdown as % of equity-5.59%
$32,141
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    3/7/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1137.9
  • Age
    38 months ago
  • What it trades
    Stocks, Options
  • # Trades
    1923
  • # Profitable
    1798
  • % Profitable
    93.50%
  • Avg trade duration
    10.3 days
  • Max peak-to-valley drawdown
    56.53%
  • drawdown period
    Nov 07, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    115.3%
  • Avg win
    $1,280
  • Avg loss
    $10,356
  • Model Account Values (Raw)
  • Cash
    $2,475,830
  • Margin Used
    $2,741,070
  • Buying Power
    ($492,149)
  • Ratios
  • W:L ratio
    1.84:1
  • Sharpe Ratio
    1.807
  • Sortino Ratio
    2.773
  • Calmar Ratio
    2.325
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.47000
  • Return Statistics
  • Ann Return (w trading costs)
    115.3%
  • Ann Return (Compnd, No Fees)
    118.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.00%
  • Chance of 20% account loss
    33.50%
  • Chance of 30% account loss
    20.00%
  • Chance of 40% account loss
    4.00%
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    787
  • Popularity (Last 6 weeks)
    974
  • C2 Score
    29.6
  • Trades-Own-System Certification
  • Trades Own System?
    183548
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $10,424
  • Avg Win
    $1,284
  • # Winners
    1798
  • # Losers
    125
  • % Winners
    93.5%
  • Frequency
  • Avg Position Time (mins)
    14798.20
  • Avg Position Time (hrs)
    246.64
  • Avg Trade Length
    10.3 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.96004
  • SD
    0.58093
  • Sharpe ratio (Glass type estimate)
    1.65258
  • Sharpe ratio (Hedges UMVUE)
    1.61687
  • df
    35.00000
  • t
    2.86236
  • p
    0.00353
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44653
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42358
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81017
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.48939
  • Upside Potential Ratio
    5.86207
  • Upside part of mean
    1.25358
  • Downside part of mean
    -0.29354
  • Upside SD
    0.59932
  • Downside SD
    0.21385
  • N nonnegative terms
    28.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.11633
  • Mean of criterion
    0.96004
  • SD of predictor
    0.08899
  • SD of criterion
    0.58093
  • Covariance
    0.01288
  • r
    0.24920
  • b (slope, estimate of beta)
    1.62673
  • a (intercept, estimate of alpha)
    0.77079
  • Mean Square Error
    0.32583
  • DF error
    34.00000
  • t(b)
    1.50042
  • p(b)
    0.07137
  • t(a)
    2.18433
  • p(a)
    0.01796
  • Lowerbound of 95% confidence interval for beta
    -0.57660
  • Upperbound of 95% confidence interval for beta
    3.83006
  • Lowerbound of 95% confidence interval for alpha
    0.05367
  • Upperbound of 95% confidence interval for alpha
    1.48792
  • Treynor index (mean / b)
    0.59016
  • Jensen alpha (a)
    0.77079
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79091
  • SD
    0.51679
  • Sharpe ratio (Glass type estimate)
    1.53044
  • Sharpe ratio (Hedges UMVUE)
    1.49737
  • df
    35.00000
  • t
    2.65080
  • p
    0.00599
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33391
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70716
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68208
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35213
  • Upside Potential Ratio
    4.70669
  • Upside part of mean
    1.11051
  • Downside part of mean
    -0.31960
  • Upside SD
    0.50607
  • Downside SD
    0.23594
  • N nonnegative terms
    28.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.11195
  • Mean of criterion
    0.79091
  • SD of predictor
    0.08901
  • SD of criterion
    0.51679
  • Covariance
    0.01242
  • r
    0.26993
  • b (slope, estimate of beta)
    1.56716
  • a (intercept, estimate of alpha)
    0.61547
  • Mean Square Error
    0.25489
  • DF error
    34.00000
  • t(b)
    1.63462
  • p(b)
    0.05568
  • t(a)
    1.98144
  • p(a)
    0.02784
  • Lowerbound of 95% confidence interval for beta
    -0.38122
  • Upperbound of 95% confidence interval for beta
    3.51554
  • Lowerbound of 95% confidence interval for alpha
    -0.01578
  • Upperbound of 95% confidence interval for alpha
    1.24672
  • Treynor index (mean / b)
    0.50468
  • Jensen alpha (a)
    0.61547
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16429
  • Expected Shortfall on VaR
    0.21362
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02977
  • Expected Shortfall on VaR
    0.07465
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.77167
  • Quartile 1
    1.00797
  • Median
    1.06542
  • Quartile 3
    1.12942
  • Maximum
    1.59360
  • Mean of quarter 1
    0.90224
  • Mean of quarter 2
    1.03138
  • Mean of quarter 3
    1.09139
  • Mean of quarter 4
    1.29501
  • Inter Quartile Range
    0.12145
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.79449
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.43950
  • 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)
    -0.56611
  • VaR(95%) (regression method)
    0.16742
  • Expected Shortfall (regression method)
    0.20937
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.06203
  • Quartile 1
    0.07629
  • Median
    0.18513
  • Quartile 3
    0.31049
  • Maximum
    0.37428
  • Mean of quarter 1
    0.06203
  • Mean of quarter 2
    0.08105
  • Mean of quarter 3
    0.28922
  • Mean of quarter 4
    0.37428
  • Inter Quartile Range
    0.23420
  • 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)
    3.24225
  • Compounded annual return (geometric extrapolation)
    1.20541
  • Calmar ratio (compounded annual return / max draw down)
    3.22062
  • Compounded annual return / average of 25% largest draw downs
    3.22062
  • Compounded annual return / Expected Shortfall lognormal
    5.64272
  • 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
    0.92071
  • SD
    0.50907
  • Sharpe ratio (Glass type estimate)
    1.80862
  • Sharpe ratio (Hedges UMVUE)
    1.80693
  • df
    804.00000
  • t
    3.17025
  • p
    0.00079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68642
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92971
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68529
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92856
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77342
  • Upside Potential Ratio
    9.68603
  • Upside part of mean
    3.21553
  • Downside part of mean
    -2.29482
  • Upside SD
    0.38969
  • Downside SD
    0.33198
  • N nonnegative terms
    470.00000
  • N negative terms
    335.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    805.00000
  • Mean of predictor
    0.12906
  • Mean of criterion
    0.92071
  • SD of predictor
    0.12498
  • SD of criterion
    0.50907
  • Covariance
    0.02971
  • r
    0.46698
  • b (slope, estimate of beta)
    1.90213
  • a (intercept, estimate of alpha)
    0.67500
  • Mean Square Error
    0.20289
  • DF error
    803.00000
  • t(b)
    14.96490
  • p(b)
    -0.00000
  • t(a)
    2.62230
  • p(a)
    0.00445
  • Lowerbound of 95% confidence interval for beta
    1.65263
  • Upperbound of 95% confidence interval for beta
    2.15163
  • Lowerbound of 95% confidence interval for alpha
    0.16979
  • Upperbound of 95% confidence interval for alpha
    1.18066
  • Treynor index (mean / b)
    0.48404
  • Jensen alpha (a)
    0.67522
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79025
  • SD
    0.50850
  • Sharpe ratio (Glass type estimate)
    1.55409
  • Sharpe ratio (Hedges UMVUE)
    1.55264
  • df
    804.00000
  • t
    2.72411
  • p
    0.00329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67337
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29120
  • Upside Potential Ratio
    9.11273
  • Upside part of mean
    3.14304
  • Downside part of mean
    -2.35279
  • Upside SD
    0.37639
  • Downside SD
    0.34491
  • N nonnegative terms
    470.00000
  • N negative terms
    335.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    805.00000
  • Mean of predictor
    0.12121
  • Mean of criterion
    0.79025
  • SD of predictor
    0.12521
  • SD of criterion
    0.50850
  • Covariance
    0.02985
  • r
    0.46886
  • b (slope, estimate of beta)
    1.90405
  • a (intercept, estimate of alpha)
    0.55946
  • Mean Square Error
    0.20198
  • DF error
    803.00000
  • t(b)
    15.04200
  • p(b)
    -0.00000
  • t(a)
    2.17816
  • p(a)
    0.01484
  • Lowerbound of 95% confidence interval for beta
    1.65558
  • Upperbound of 95% confidence interval for beta
    2.15252
  • Lowerbound of 95% confidence interval for alpha
    0.05528
  • Upperbound of 95% confidence interval for alpha
    1.06364
  • Treynor index (mean / b)
    0.41504
  • Jensen alpha (a)
    0.55946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04749
  • Expected Shortfall on VaR
    0.05985
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01762
  • Expected Shortfall on VaR
    0.03757
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    805.00000
  • Minimum
    0.85255
  • Quartile 1
    0.99095
  • Median
    1.00320
  • Quartile 3
    1.01586
  • Maximum
    1.14116
  • Mean of quarter 1
    0.96741
  • Mean of quarter 2
    0.99825
  • Mean of quarter 3
    1.00893
  • Mean of quarter 4
    1.03964
  • Inter Quartile Range
    0.02490
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.04472
  • Mean of outliers low
    0.92332
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.05342
  • Mean of outliers high
    1.08127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15008
  • VaR(95%) (moments method)
    0.02662
  • Expected Shortfall (moments method)
    0.04109
  • Extreme Value Index (regression method)
    0.09294
  • VaR(95%) (regression method)
    0.03028
  • Expected Shortfall (regression method)
    0.04592
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    54.00000
  • Minimum
    0.00123
  • Quartile 1
    0.00867
  • Median
    0.03417
  • Quartile 3
    0.09594
  • Maximum
    0.51779
  • Mean of quarter 1
    0.00476
  • Mean of quarter 2
    0.01692
  • Mean of quarter 3
    0.05109
  • Mean of quarter 4
    0.20044
  • Inter Quartile Range
    0.08727
  • 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
    0.07407
  • Mean of outliers high
    0.37797
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.41704
  • VaR(95%) (moments method)
    0.22926
  • Expected Shortfall (moments method)
    0.42382
  • Extreme Value Index (regression method)
    0.72175
  • VaR(95%) (regression method)
    0.18723
  • Expected Shortfall (regression method)
    0.52022
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.36430
  • Compounded annual return (geometric extrapolation)
    1.20395
  • Calmar ratio (compounded annual return / max draw down)
    2.32519
  • Compounded annual return / average of 25% largest draw downs
    6.00649
  • Compounded annual return / Expected Shortfall lognormal
    20.11600
  • 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
    0.08713
  • SD
    0.66892
  • Sharpe ratio (Glass type estimate)
    0.13025
  • Sharpe ratio (Hedges UMVUE)
    0.12949
  • df
    130.00000
  • t
    0.09210
  • p
    0.49596
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.64185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.64236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90135
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18411
  • Upside Potential Ratio
    8.20352
  • Upside part of mean
    3.88209
  • Downside part of mean
    -3.79497
  • Upside SD
    0.46918
  • Downside SD
    0.47322
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12635
  • Mean of criterion
    0.08713
  • SD of predictor
    0.18640
  • SD of criterion
    0.66892
  • Covariance
    0.07891
  • r
    0.63288
  • b (slope, estimate of beta)
    2.27112
  • a (intercept, estimate of alpha)
    -0.19984
  • Mean Square Error
    0.27031
  • DF error
    129.00000
  • t(b)
    9.28392
  • p(b)
    0.12590
  • t(a)
    -0.27155
  • p(a)
    0.51521
  • Lowerbound of 95% confidence interval for beta
    1.78711
  • Upperbound of 95% confidence interval for beta
    2.75512
  • Lowerbound of 95% confidence interval for alpha
    -1.65588
  • Upperbound of 95% confidence interval for alpha
    1.25621
  • Treynor index (mean / b)
    0.03836
  • Jensen alpha (a)
    -0.19984
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13583
  • SD
    0.67142
  • Sharpe ratio (Glass type estimate)
    -0.20230
  • Sharpe ratio (Hedges UMVUE)
    -0.20113
  • df
    130.00000
  • t
    -0.14305
  • p
    0.50627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.97386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57078
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27508
  • Upside Potential Ratio
    7.65039
  • Upside part of mean
    3.77762
  • Downside part of mean
    -3.91345
  • Upside SD
    0.45124
  • Downside SD
    0.49378
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10911
  • Mean of criterion
    -0.13583
  • SD of predictor
    0.18622
  • SD of criterion
    0.67142
  • Covariance
    0.08026
  • r
    0.64190
  • b (slope, estimate of beta)
    2.31440
  • a (intercept, estimate of alpha)
    -0.38836
  • Mean Square Error
    0.26711
  • DF error
    129.00000
  • t(b)
    9.50804
  • p(b)
    0.12147
  • t(a)
    -0.53099
  • p(a)
    0.52972
  • Lowerbound of 95% confidence interval for beta
    1.83279
  • Upperbound of 95% confidence interval for beta
    2.79600
  • Lowerbound of 95% confidence interval for alpha
    -1.83542
  • Upperbound of 95% confidence interval for alpha
    1.05871
  • Treynor index (mean / b)
    -0.05869
  • Jensen alpha (a)
    -0.38836
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06644
  • Expected Shortfall on VaR
    0.08237
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03228
  • Expected Shortfall on VaR
    0.06320
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86824
  • Quartile 1
    0.98054
  • Median
    1.00127
  • Quartile 3
    1.01746
  • Maximum
    1.14116
  • Mean of quarter 1
    0.95011
  • Mean of quarter 2
    0.99251
  • Mean of quarter 3
    1.00955
  • Mean of quarter 4
    1.04944
  • Inter Quartile Range
    0.03693
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.90353
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.10659
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12592
  • VaR(95%) (moments method)
    0.04815
  • Expected Shortfall (moments method)
    0.07026
  • Extreme Value Index (regression method)
    0.30083
  • VaR(95%) (regression method)
    0.04711
  • Expected Shortfall (regression method)
    0.07711
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.23039
  • Quartile 1
    0.30224
  • Median
    0.37409
  • Quartile 3
    0.44594
  • Maximum
    0.51779
  • Mean of quarter 1
    0.23039
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.51779
  • Inter Quartile Range
    0.14370
  • 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)
    -0.13132
  • Compounded annual return (geometric extrapolation)
    -0.12701
  • Calmar ratio (compounded annual return / max draw down)
    -0.24529
  • Compounded annual return / average of 25% largest draw downs
    -0.24529
  • Compounded annual return / Expected Shortfall lognormal
    -1.54190

Strategy Description

Please don't get scaling less than 10% to ensure you get atleast 1 option contact. I tend to buy/sell 10 contracts at a time. so anything less than 10% scaling will result in no trade for you. I pref Interactive Broker as your trading platform. Account must be able to short UVXY/TVIX, and also level 3 option writing(writing naked calls/puts). This strategy will try to limit max draw down to less than 25% and shoot for avg gain of 5% per month. (Goal of 5% per week of original starting balance of 100k) C2 shows a drawn down of 48%, But as you know, when you trade VIX or high IV stocks, it will give you a heart attacks!!!!

Summary Statistics

Strategy began
2016-03-07
Suggested Minimum Capital
$35,000
# Trades
1923
# Profitable
1798
% Profitable
93.5%
Net Dividends
Correlation S&P500
0.470
Sharpe Ratio
1.807

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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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.