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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 03/08/2016
Most recent certification approved 7/1/16 18:30 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 2%
# trading signals issued by system since certification 187
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 186
Percent signals followed since 03/08/2016 99.5%
This information was last updated 8/23/17 9:31 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:

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.

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

Trading Volatility 2 (104289798)

Created by: Jay_Wolberg Jay_Wolberg
Started: 06/2016
Stocks
Last trade: 7 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. You can subscribe to this system for free.

-25.8%
Annual Return (Compounded)
64.8%
Max Drawdown
94
Num Trades
48.9%
Win Trades
0.9 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +2.2%+21.9%+5.3%+22.7%+2.8%(8.9%)+6.0%+59.8%
2017+5.8%(1.8%)+12.1%(24.1%)(13.9%)(21.3%)+7.6%(31.6%)                        (55.9%)

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 48 hours.

Trading Record

This strategy has placed 185 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/15/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 579 84.47 8/17 15:58 71.50 16.96%
Trade id #113161769
Max drawdown($7,677)
Time8/17/17 15:43
Quant open579
Worst price71.21
Drawdown as % of equity-16.96%
($7,515)
Includes Typical Broker Commissions trade costs of $5.00
8/14/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,068 11.89 8/15 15:58 11.83 2.66%
Trade id #113138063
Max drawdown($1,383)
Time8/15/17 8:34
Quant open4,068
Worst price11.55
Drawdown as % of equity-2.66%
($246)
Includes Typical Broker Commissions trade costs of $5.00
8/11/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 570 74.39 8/14 15:58 84.15 0.59%
Trade id #113112229
Max drawdown($273)
Time8/11/17 16:19
Quant open570
Worst price73.91
Drawdown as % of equity-0.59%
$5,559
Includes Typical Broker Commissions trade costs of $5.00
8/10/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 3,382 13.29 8/11 15:58 13.72 2.91%
Trade id #113092632
Max drawdown($1,302)
Time8/11/17 9:13
Quant open3,382
Worst price12.90
Drawdown as % of equity-2.91%
$1,466
Includes Typical Broker Commissions trade costs of $5.00
8/7/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 540 95.31 8/10 15:58 78.22 20.12%
Trade id #113023227
Max drawdown($9,455)
Time8/10/17 15:58
Quant open540
Worst price77.80
Drawdown as % of equity-20.12%
($9,234)
Includes Typical Broker Commissions trade costs of $5.00
8/4/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,645 11.21 8/7 15:58 11.09 1.11%
Trade id #113000011
Max drawdown($599)
Time8/7/17 15:57
Quant open4,645
Worst price11.08
Drawdown as % of equity-1.11%
($558)
Includes Typical Broker Commissions trade costs of $5.00
7/7/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 552 80.78 8/4 15:58 94.36 1.6%
Trade id #112477664
Max drawdown($777)
Time7/11/17 11:27
Quant open552
Worst price79.37
Drawdown as % of equity-1.60%
$7,492
Includes Typical Broker Commissions trade costs of $5.00
7/6/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 3,470 13.55 7/7 15:58 13.12 3.58%
Trade id #112452274
Max drawdown($1,682)
Time7/7/17 15:42
Quant open3,470
Worst price13.07
Drawdown as % of equity-3.58%
($1,514)
Includes Typical Broker Commissions trade costs of $5.00
6/30/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 587 83.78 7/6 15:58 78.34 7.42%
Trade id #112311699
Max drawdown($3,674)
Time7/6/17 15:46
Quant open587
Worst price77.52
Drawdown as % of equity-7.42%
($3,198)
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 3,847 12.90 6/30 15:58 12.72 2.84%
Trade id #112291687
Max drawdown($1,459)
Time6/30/17 9:51
Quant open3,847
Worst price12.52
Drawdown as % of equity-2.84%
($694)
Includes Typical Broker Commissions trade costs of $5.00
6/28/17 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 639 86.48 6/29 14:08 77.48 14.52%
Trade id #112270358
Max drawdown($8,172)
Time6/29/17 13:30
Quant open639
Worst price73.69
Drawdown as % of equity-14.52%
($5,756)
Includes Typical Broker Commissions trade costs of $5.00
6/27/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,550 12.69 6/28 15:59 12.31 3.45%
Trade id #112243905
Max drawdown($2,007)
Time6/28/17 13:46
Quant open4,550
Worst price12.25
Drawdown as % of equity-3.45%
($1,735)
Includes Typical Broker Commissions trade costs of $5.00
6/26/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 676 87.04 6/27 15:58 84.06 3.38%
Trade id #112220214
Max drawdown($2,055)
Time6/27/17 15:53
Quant open676
Worst price84.00
Drawdown as % of equity-3.38%
($2,019)
Includes Typical Broker Commissions trade costs of $5.00
6/23/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,783 12.54 6/26 15:58 12.26 2.19%
Trade id #112197473
Max drawdown($1,363)
Time6/26/17 14:34
Quant open4,783
Worst price12.25
Drawdown as % of equity-2.19%
($1,316)
Includes Typical Broker Commissions trade costs of $5.00
6/21/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 703 83.41 6/23 15:58 85.12 0.69%
Trade id #112160887
Max drawdown($428)
Time6/21/17 16:46
Quant open703
Worst price82.80
Drawdown as % of equity-0.69%
$1,198
Includes Typical Broker Commissions trade costs of $5.00
6/20/17 15:59 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,610 12.93 6/21 15:58 12.80 2.4%
Trade id #112141527
Max drawdown($1,474)
Time6/21/17 10:43
Quant open4,610
Worst price12.61
Drawdown as % of equity-2.40%
($604)
Includes Typical Broker Commissions trade costs of $5.00
6/7/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,538 13.45 6/9 9:30 13.00 3.3%
Trade id #111960423
Max drawdown($2,087)
Time6/9/17 9:24
Quant open4,538
Worst price12.99
Drawdown as % of equity-3.30%
($2,047)
Includes Typical Broker Commissions trade costs of $5.00
5/22/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 779 77.00 6/7 15:58 79.58 1.22%
Trade id #111718224
Max drawdown($763)
Time5/22/17 19:11
Quant open779
Worst price76.02
Drawdown as % of equity-1.22%
$2,005
Includes Typical Broker Commissions trade costs of $5.00
5/19/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,325 14.69 5/22 15:58 13.93 5.48%
Trade id #111694486
Max drawdown($3,460)
Time5/22/17 15:42
Quant open4,325
Worst price13.89
Drawdown as % of equity-5.48%
($3,292)
Includes Typical Broker Commissions trade costs of $5.00
5/8/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 850 79.67 5/19 15:58 73.48 19.48%
Trade id #111464897
Max drawdown($11,900)
Time5/18/17 6:01
Quant open850
Worst price65.67
Drawdown as % of equity-19.48%
($5,267)
Includes Typical Broker Commissions trade costs of $5.00
5/5/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,795 14.47 5/8 15:58 14.10 3.1%
Trade id #111438469
Max drawdown($2,205)
Time5/8/17 13:11
Quant open4,795
Worst price14.01
Drawdown as % of equity-3.10%
($1,776)
Includes Typical Broker Commissions trade costs of $5.00
5/3/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 880 76.27 5/5 15:58 77.70 0.97%
Trade id #111394637
Max drawdown($708)
Time5/4/17 12:21
Quant open880
Worst price75.46
Drawdown as % of equity-0.97%
$1,258
Includes Typical Broker Commissions trade costs of $5.00
5/2/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,657 14.53 5/3 15:58 14.76 0.44%
Trade id #111372126
Max drawdown($312)
Time5/2/17 16:00
Quant open4,657
Worst price14.46
Drawdown as % of equity-0.44%
$1,056
Includes Typical Broker Commissions trade costs of $5.00
5/1/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 868 78.13 5/2 15:58 77.44 1.41%
Trade id #111350943
Max drawdown($998)
Time5/2/17 11:33
Quant open868
Worst price76.98
Drawdown as % of equity-1.41%
($604)
Includes Typical Broker Commissions trade costs of $5.00
4/28/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,654 15.03 5/1 15:58 14.41 4.61%
Trade id #111328342
Max drawdown($3,350)
Time5/1/17 14:01
Quant open4,654
Worst price14.31
Drawdown as % of equity-4.61%
($2,890)
Includes Typical Broker Commissions trade costs of $5.00
4/25/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 940 75.02 4/28 15:58 75.03 2.43%
Trade id #111259524
Max drawdown($1,795)
Time4/26/17 11:51
Quant open940
Worst price73.11
Drawdown as % of equity-2.43%
$4
Includes Typical Broker Commissions trade costs of $5.00
4/21/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,647 17.24 4/25 15:58 15.03 14.18%
Trade id #111201154
Max drawdown($10,496)
Time4/25/17 14:17
Quant open4,647
Worst price14.98
Drawdown as % of equity-14.18%
($10,264)
Includes Typical Broker Commissions trade costs of $5.00
4/6/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,215 72.41 4/21 15:58 66.09 15.29%
Trade id #110782300
Max drawdown($12,332)
Time4/13/17 16:15
Quant open1,215
Worst price62.26
Drawdown as % of equity-15.29%
($7,682)
Includes Typical Broker Commissions trade costs of $5.00
4/5/17 15:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,780 16.19 4/6 15:58 15.88 3.99%
Trade id #110740544
Max drawdown($3,641)
Time4/6/17 13:36
Quant open5,780
Worst price15.56
Drawdown as % of equity-3.99%
($1,797)
Includes Typical Broker Commissions trade costs of $5.00
3/27/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,194 70.56 4/5 15:58 71.11 1.5%
Trade id #110454236
Max drawdown($1,396)
Time3/27/17 16:04
Quant open1,194
Worst price69.39
Drawdown as % of equity-1.50%
$652
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    6/24/2016
  • Starting Unit Size
    $15,000
  • Strategy Age (days)
    425.36
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    94
  • # Profitable
    46
  • % Profitable
    48.90%
  • Avg trade duration
    4.3 days
  • Max peak-to-valley drawdown
    64.83%
  • drawdown period
    March 20, 2017 - Aug 23, 2017
  • Annual Return (Compounded)
    -25.8%
  • Avg win
    $2,528
  • Avg loss
    $2,652
  • Model Account Values (Raw)
  • Cash
    $20,602
  • Margin Used
    $0
  • Buying Power
    $20,362
  • Ratios
  • W:L ratio
    0.91:1
  • Sharpe Ratio
    -0.316
  • Sortino Ratio
    -0.413
  • Calmar Ratio
    -0.284
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.37300
  • Return Statistics
  • Ann Return (w trading costs)
    -25.8%
  • Ann Return (Compnd, No Fees)
    -19.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    72.50%
  • Chance of 40% account loss
    33.00%
  • Chance of 50% account loss
    5.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    698
  • Trades-Own-System Certification
  • Trades Own System?
    183675
  • TOS percent
    2%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $2,653
  • Avg Win
    $2,529
  • # Winners
    46
  • # Losers
    48
  • % Winners
    48.9%
  • Frequency
  • Avg Position Time (mins)
    6236.45
  • Avg Position Time (hrs)
    103.94
  • Avg Trade Length
    4.3 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19329
  • SD
    0.46782
  • Sharpe ratio (Glass type estimate)
    0.41317
  • Sharpe ratio (Hedges UMVUE)
    0.38670
  • df
    12.00000
  • t
    0.43004
  • p
    0.43840
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27612
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63538
  • Upside Potential Ratio
    2.58371
  • Upside part of mean
    0.78598
  • Downside part of mean
    -0.59269
  • Upside SD
    0.33555
  • Downside SD
    0.30421
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.15538
  • Mean of criterion
    0.19329
  • SD of predictor
    0.06948
  • SD of criterion
    0.46782
  • Covariance
    -0.00018
  • r
    -0.00549
  • b (slope, estimate of beta)
    -0.03694
  • a (intercept, estimate of alpha)
    0.19903
  • Mean Square Error
    0.23875
  • DF error
    11.00000
  • t(b)
    -0.01820
  • p(b)
    0.50710
  • t(a)
    0.35190
  • p(a)
    0.36578
  • Lowerbound of 95% confidence interval for beta
    -4.50515
  • Upperbound of 95% confidence interval for beta
    4.43126
  • Lowerbound of 95% confidence interval for alpha
    -1.04581
  • Upperbound of 95% confidence interval for alpha
    1.44387
  • Treynor index (mean / b)
    -5.23192
  • Jensen alpha (a)
    0.19903
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08948
  • SD
    0.47529
  • Sharpe ratio (Glass type estimate)
    0.18825
  • Sharpe ratio (Hedges UMVUE)
    0.17619
  • df
    12.00000
  • t
    0.19594
  • p
    0.47176
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70010
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06899
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06059
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26654
  • Upside Potential Ratio
    2.18487
  • Upside part of mean
    0.73345
  • Downside part of mean
    -0.64397
  • Upside SD
    0.31065
  • Downside SD
    0.33569
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.15189
  • Mean of criterion
    0.08948
  • SD of predictor
    0.06783
  • SD of criterion
    0.47529
  • Covariance
    -0.00064
  • r
    -0.02000
  • b (slope, estimate of beta)
    -0.14014
  • a (intercept, estimate of alpha)
    0.11076
  • Mean Square Error
    0.24634
  • DF error
    11.00000
  • t(b)
    -0.06635
  • p(b)
    0.52585
  • t(a)
    0.19272
  • p(a)
    0.42534
  • Lowerbound of 95% confidence interval for beta
    -4.78898
  • Upperbound of 95% confidence interval for beta
    4.50870
  • Lowerbound of 95% confidence interval for alpha
    -1.15422
  • Upperbound of 95% confidence interval for alpha
    1.37575
  • Treynor index (mean / b)
    -0.63846
  • Jensen alpha (a)
    0.11076
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19606
  • Expected Shortfall on VaR
    0.23989
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09815
  • Expected Shortfall on VaR
    0.18360
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.76693
  • Quartile 1
    0.90329
  • Median
    1.04054
  • Quartile 3
    1.12188
  • Maximum
    1.19839
  • Mean of quarter 1
    0.85541
  • Mean of quarter 2
    1.00017
  • Mean of quarter 3
    1.09469
  • Mean of quarter 4
    1.17782
  • Inter Quartile Range
    0.21859
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24446
  • VaR(95%) (moments method)
    0.16742
  • Expected Shortfall (moments method)
    0.19806
  • Extreme Value Index (regression method)
    0.68968
  • VaR(95%) (regression method)
    0.17176
  • Expected Shortfall (regression method)
    0.41022
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.12260
  • Quartile 1
    0.19846
  • Median
    0.27433
  • Quartile 3
    0.35019
  • Maximum
    0.42605
  • Mean of quarter 1
    0.12260
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.42605
  • Inter Quartile Range
    0.15172
  • 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)
    0.12517
  • Compounded annual return (geometric extrapolation)
    0.12455
  • Calmar ratio (compounded annual return / max draw down)
    0.29234
  • Compounded annual return / average of 25% largest draw downs
    0.29234
  • Compounded annual return / Expected Shortfall lognormal
    0.51920
  • 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
    -0.13126
  • SD
    0.41445
  • Sharpe ratio (Glass type estimate)
    -0.31671
  • Sharpe ratio (Hedges UMVUE)
    -0.31592
  • df
    303.00000
  • t
    -0.34115
  • p
    0.63339
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13621
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50379
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.41344
  • Upside Potential Ratio
    6.97535
  • Upside part of mean
    2.21451
  • Downside part of mean
    -2.34577
  • Upside SD
    0.26547
  • Downside SD
    0.31748
  • N nonnegative terms
    155.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    304.00000
  • Mean of predictor
    0.13276
  • Mean of criterion
    -0.13126
  • SD of predictor
    0.08669
  • SD of criterion
    0.41445
  • Covariance
    0.01338
  • r
    0.37235
  • b (slope, estimate of beta)
    1.78009
  • a (intercept, estimate of alpha)
    -0.36800
  • Mean Square Error
    0.14844
  • DF error
    302.00000
  • t(b)
    6.97217
  • p(b)
    0.00000
  • t(a)
    -1.02313
  • p(a)
    0.84647
  • Lowerbound of 95% confidence interval for beta
    1.27767
  • Upperbound of 95% confidence interval for beta
    2.28251
  • Lowerbound of 95% confidence interval for alpha
    -1.07460
  • Upperbound of 95% confidence interval for alpha
    0.33942
  • Treynor index (mean / b)
    -0.07374
  • Jensen alpha (a)
    -0.36759
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21799
  • SD
    0.41852
  • Sharpe ratio (Glass type estimate)
    -0.52086
  • Sharpe ratio (Hedges UMVUE)
    -0.51957
  • df
    303.00000
  • t
    -0.56106
  • p
    0.71242
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29957
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.33958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30044
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66409
  • Upside Potential Ratio
    6.64185
  • Upside part of mean
    2.18021
  • Downside part of mean
    -2.39820
  • Upside SD
    0.25887
  • Downside SD
    0.32825
  • N nonnegative terms
    155.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    304.00000
  • Mean of predictor
    0.12897
  • Mean of criterion
    -0.21799
  • SD of predictor
    0.08669
  • SD of criterion
    0.41852
  • Covariance
    0.01355
  • r
    0.37354
  • b (slope, estimate of beta)
    1.80338
  • a (intercept, estimate of alpha)
    -0.45058
  • Mean Square Error
    0.15122
  • DF error
    302.00000
  • t(b)
    6.99791
  • p(b)
    0.00000
  • t(a)
    -1.24286
  • p(a)
    0.89256
  • Lowerbound of 95% confidence interval for beta
    1.29626
  • Upperbound of 95% confidence interval for beta
    2.31050
  • Lowerbound of 95% confidence interval for alpha
    -1.16398
  • Upperbound of 95% confidence interval for alpha
    0.26283
  • Treynor index (mean / b)
    -0.12088
  • Jensen alpha (a)
    -0.45058
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04243
  • Expected Shortfall on VaR
    0.05268
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02024
  • Expected Shortfall on VaR
    0.04100
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    304.00000
  • Minimum
    0.89132
  • Quartile 1
    0.98981
  • Median
    1.00046
  • Quartile 3
    1.01357
  • Maximum
    1.12007
  • Mean of quarter 1
    0.96839
  • Mean of quarter 2
    0.99602
  • Mean of quarter 3
    1.00659
  • Mean of quarter 4
    1.02743
  • Inter Quartile Range
    0.02377
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04276
  • Mean of outliers low
    0.92547
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.01974
  • Mean of outliers high
    1.06983
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25861
  • VaR(95%) (moments method)
    0.02923
  • Expected Shortfall (moments method)
    0.04878
  • Extreme Value Index (regression method)
    -0.06833
  • VaR(95%) (regression method)
    0.03222
  • Expected Shortfall (regression method)
    0.04432
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00199
  • Quartile 1
    0.01073
  • Median
    0.04029
  • Quartile 3
    0.07783
  • Maximum
    0.60915
  • Mean of quarter 1
    0.00655
  • Mean of quarter 2
    0.02743
  • Mean of quarter 3
    0.06118
  • Mean of quarter 4
    0.26894
  • Inter Quartile Range
    0.06710
  • 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
    0.13333
  • Mean of outliers high
    0.42021
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.74879
  • VaR(95%) (moments method)
    0.22878
  • Expected Shortfall (moments method)
    0.26418
  • Extreme Value Index (regression method)
    0.52153
  • VaR(95%) (regression method)
    0.47381
  • Expected Shortfall (regression method)
    1.23329
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17058
  • Compounded annual return (geometric extrapolation)
    -0.17311
  • Calmar ratio (compounded annual return / max draw down)
    -0.28418
  • Compounded annual return / average of 25% largest draw downs
    -0.64367
  • Compounded annual return / Expected Shortfall lognormal
    -3.28598
  • 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
    -1.63649
  • SD
    0.45263
  • Sharpe ratio (Glass type estimate)
    -3.61551
  • Sharpe ratio (Hedges UMVUE)
    -3.59461
  • df
    130.00000
  • t
    -2.55655
  • p
    0.60940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.41510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.80249
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.40065
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78858
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.12769
  • Upside Potential Ratio
    4.05685
  • Upside part of mean
    1.60841
  • Downside part of mean
    -3.24490
  • Upside SD
    0.23737
  • Downside SD
    0.39647
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04257
  • Mean of criterion
    -1.63649
  • SD of predictor
    0.07602
  • SD of criterion
    0.45263
  • Covariance
    0.01371
  • r
    0.39850
  • b (slope, estimate of beta)
    2.37287
  • a (intercept, estimate of alpha)
    -1.73749
  • Mean Square Error
    0.17367
  • DF error
    129.00000
  • t(b)
    4.93488
  • p(b)
    0.25319
  • t(a)
    -2.94630
  • p(a)
    0.65816
  • Lowerbound of 95% confidence interval for beta
    1.42152
  • Upperbound of 95% confidence interval for beta
    3.32421
  • Lowerbound of 95% confidence interval for alpha
    -2.90427
  • Upperbound of 95% confidence interval for alpha
    -0.57072
  • Treynor index (mean / b)
    -0.68967
  • Jensen alpha (a)
    -1.73749
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.74543
  • SD
    0.45912
  • Sharpe ratio (Glass type estimate)
    -3.80166
  • Sharpe ratio (Hedges UMVUE)
    -3.77968
  • df
    130.00000
  • t
    -2.68818
  • p
    0.61474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.60463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.98462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.58931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97006
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.25408
  • Upside Potential Ratio
    3.85424
  • Upside part of mean
    1.58138
  • Downside part of mean
    -3.32681
  • Upside SD
    0.22906
  • Downside SD
    0.41030
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03969
  • Mean of criterion
    -1.74543
  • SD of predictor
    0.07611
  • SD of criterion
    0.45912
  • Covariance
    0.01401
  • r
    0.40096
  • b (slope, estimate of beta)
    2.41874
  • a (intercept, estimate of alpha)
    -1.84142
  • Mean Square Error
    0.17828
  • DF error
    129.00000
  • t(b)
    4.97114
  • p(b)
    0.25176
  • t(a)
    -3.08222
  • p(a)
    0.66481
  • Lowerbound of 95% confidence interval for beta
    1.45608
  • Upperbound of 95% confidence interval for beta
    3.38140
  • Lowerbound of 95% confidence interval for alpha
    -3.02345
  • Upperbound of 95% confidence interval for alpha
    -0.65939
  • Treynor index (mean / b)
    -0.72163
  • Jensen alpha (a)
    -1.84142
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05192
  • Expected Shortfall on VaR
    0.06304
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03108
  • Expected Shortfall on VaR
    0.05865
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90351
  • Quartile 1
    0.98604
  • Median
    0.99847
  • Quartile 3
    1.00863
  • Maximum
    1.12007
  • Mean of quarter 1
    0.95808
  • Mean of quarter 2
    0.99308
  • Mean of quarter 3
    1.00323
  • Mean of quarter 4
    1.02133
  • Inter Quartile Range
    0.02258
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.92684
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.07245
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43477
  • VaR(95%) (moments method)
    0.03681
  • Expected Shortfall (moments method)
    0.04373
  • Extreme Value Index (regression method)
    -0.43383
  • VaR(95%) (regression method)
    0.03863
  • Expected Shortfall (regression method)
    0.04598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00330
  • Quartile 1
    0.03159
  • Median
    0.05988
  • Quartile 3
    0.33452
  • Maximum
    0.60915
  • Mean of quarter 1
    0.00330
  • Mean of quarter 2
    0.05988
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.60915
  • Inter Quartile Range
    0.30293
  • 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)
    -1.15263
  • Compounded annual return (geometric extrapolation)
    -0.82049
  • Calmar ratio (compounded annual return / max draw down)
    -1.34694
  • Compounded annual return / average of 25% largest draw downs
    -1.34694
  • Compounded annual return / Expected Shortfall lognormal
    -13.01530

Strategy Description

THIS IS A PRIVATE STRATEGY. DO NOT SUBSCRIBE. Refunds will not be issued.

This strategy generates automated end-of-day buy/sell/hold signals for XIV and VXX.
- Signals are generated by a custom Neural Network algorithm that was developed using Machine Learning for trade optimization.
- Trades will be placed at 3:56pm ET if our indicators detect a change in direction.

Summary Statistics

Strategy began
2016-06-24
Minimum Capital Required
$15,000
# Trades
94
# Profitable
46
% Profitable
48.9%
Correlation S&P500
0.373
Sharpe Ratio
-0.316

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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