Collective2 Collective2
Featured Strategy Easiest +110.8% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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This is an archived track record. This track record was archived on 1/31/19 14:24 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Enhanced VRP
(104289798)

Created by: Jay_Wolberg Jay_Wolberg
Started: 06/2016
Stocks
Last trade: 2,297 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.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

8.9%
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.

(65.1%)
Max Drawdown
122
Num Trades
50.8%
Win Trades
1.1 : 1
Profit Factor
15.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +2.1%+21.9%+5.2%+22.7%+2.8%(8.9%)+6.0%+59.4%
2017+5.7%(1.8%)+12.1%(24.2%)(14%)(21.5%)+7.6%(28.3%)+27.3%+6.4%+10.4%+7.3%(26.2%)
2018+5.1%(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)+4.5%
2019(0.1%)  -    -    -    -    -    -    -    -    -  (0.1%)
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 204 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2374 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/29/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 450 137.40 1/10/18 9:30 141.18 3.31%
Trade id #115586375
Max drawdown($2,133)
Time12/29/17 16:07
Quant open450
Worst price132.66
Drawdown as % of equity-3.31%
 $1,692
Includes Typical Broker Commissions trade costs of $9.00
12/28/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,227 27.78 12/28 15:58 27.48 1.03%
Trade id #115561239
Max drawdown($668)
Time12/28/17 15:58
Quant open2,227
Worst price27.48
Drawdown as % of equity-1.03%
 ($673)
Includes Typical Broker Commissions trade costs of $5.00
12/26/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 459 135.22 12/27 15:58 134.17 0.82%
Trade id #115525929
Max drawdown($537)
Time12/27/17 15:56
Quant open459
Worst price134.05
Drawdown as % of equity-0.82%
 ($491)
Includes Typical Broker Commissions trade costs of $9.18
12/22/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,259 27.73 12/26 15:58 27.79 0.9%
Trade id #115492800
Max drawdown($587)
Time12/26/17 15:24
Quant open2,259
Worst price27.47
Drawdown as % of equity-0.90%
 $131
Includes Typical Broker Commissions trade costs of $5.00
12/4/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 448 115.81 12/22 15:58 135.41 1.22%
Trade id #115181255
Max drawdown($698)
Time12/6/17 4:07
Quant open448
Worst price114.25
Drawdown as % of equity-1.22%
 $8,772
Includes Typical Broker Commissions trade costs of $8.96
12/1/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,661 32.91 12/4 15:58 32.50 5.14%
Trade id #115152784
Max drawdown($2,956)
Time12/4/17 13:06
Quant open1,661
Worst price31.13
Drawdown as % of equity-5.14%
 ($686)
Includes Typical Broker Commissions trade costs of $5.00
11/30/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 479 117.93 12/1 15:58 114.38 13.29%
Trade id #115127947
Max drawdown($7,237)
Time12/1/17 11:34
Quant open479
Worst price102.82
Drawdown as % of equity-13.29%
 ($1,710)
Includes Typical Broker Commissions trade costs of $9.58
11/28/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,771 31.22 11/30 15:58 31.96 0.15%
Trade id #115085473
Max drawdown($88)
Time11/28/17 16:10
Quant open1,771
Worst price31.17
Drawdown as % of equity-0.15%
 $1,306
Includes Typical Broker Commissions trade costs of $5.00
11/10/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 459 108.88 11/28 15:58 120.67 6.22%
Trade id #114803070
Max drawdown($3,240)
Time11/15/17 9:41
Quant open459
Worst price101.82
Drawdown as % of equity-6.22%
 $5,403
Includes Typical Broker Commissions trade costs of $9.18
11/8/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 458 112.87 11/10 15:58 108.87 6.86%
Trade id #114756125
Max drawdown($3,512)
Time11/9/17 12:35
Quant open458
Worst price105.20
Drawdown as % of equity-6.86%
 ($1,841)
Includes Typical Broker Commissions trade costs of $9.16
11/7/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 454 112.68 11/8 15:58 112.86 2.23%
Trade id #114734437
Max drawdown($1,216)
Time11/7/17 18:51
Quant open454
Worst price110.00
Drawdown as % of equity-2.23%
 $73
Includes Typical Broker Commissions trade costs of $9.08
11/3/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 460 112.66 11/7 15:58 112.65 1.52%
Trade id #114680856
Max drawdown($832)
Time11/7/17 12:01
Quant open460
Worst price110.85
Drawdown as % of equity-1.52%
 ($14)
Includes Typical Broker Commissions trade costs of $9.20
11/2/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 458 112.26 11/3 15:58 112.63 0.64%
Trade id #114660409
Max drawdown($343)
Time11/3/17 9:50
Quant open458
Worst price111.51
Drawdown as % of equity-0.64%
 $160
Includes Typical Broker Commissions trade costs of $9.16
11/1/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 464 111.22 11/2 15:58 112.18 2.89%
Trade id #114638198
Max drawdown($1,549)
Time11/2/17 10:14
Quant open464
Worst price107.88
Drawdown as % of equity-2.89%
 $436
Includes Typical Broker Commissions trade costs of $9.28
10/31/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 457 111.75 11/1 15:58 111.20 1.52%
Trade id #114618919
Max drawdown($822)
Time11/1/17 13:20
Quant open457
Worst price109.95
Drawdown as % of equity-1.52%
 ($260)
Includes Typical Broker Commissions trade costs of $9.14
10/30/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 455 109.92 10/31 15:58 111.70 0.53%
Trade id #114600364
Max drawdown($282)
Time10/30/17 19:05
Quant open455
Worst price109.30
Drawdown as % of equity-0.53%
 $801
Includes Typical Broker Commissions trade costs of $9.10
10/27/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 461 110.51 10/30 15:58 109.87 2.92%
Trade id #114579506
Max drawdown($1,571)
Time10/30/17 12:21
Quant open461
Worst price107.10
Drawdown as % of equity-2.92%
 ($304)
Includes Typical Broker Commissions trade costs of $9.22
10/26/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,499 36.07 10/27 15:58 34.32 5.5%
Trade id #114556681
Max drawdown($2,953)
Time10/27/17 14:13
Quant open1,499
Worst price34.10
Drawdown as % of equity-5.50%
 ($2,628)
Includes Typical Broker Commissions trade costs of $5.00
10/24/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 503 107.82 10/26 15:58 105.36 9.93%
Trade id #114496399
Max drawdown($5,467)
Time10/25/17 12:32
Quant open503
Worst price96.95
Drawdown as % of equity-9.93%
 ($1,242)
Includes Typical Broker Commissions trade costs of $5.00
10/23/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,559 34.91 10/24 15:58 35.30 2.37%
Trade id #114430084
Max drawdown($1,340)
Time10/24/17 9:35
Quant open1,559
Worst price34.05
Drawdown as % of equity-2.37%
 $603
Includes Typical Broker Commissions trade costs of $5.00
9/25/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 503 92.50 10/23 15:58 109.03 0.12%
Trade id #113848629
Max drawdown($60)
Time9/26/17 11:28
Quant open503
Worst price92.38
Drawdown as % of equity-0.12%
 $8,310
Includes Typical Broker Commissions trade costs of $5.00
9/22/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,111 41.06 9/25 15:58 41.35 0.61%
Trade id #113821635
Max drawdown($294)
Time9/25/17 10:24
Quant open1,111
Worst price40.80
Drawdown as % of equity-0.61%
 $317
Includes Typical Broker Commissions trade costs of $5.00
9/20/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 490 93.39 9/22 15:58 93.26 2.25%
Trade id #113773536
Max drawdown($1,082)
Time9/22/17 9:47
Quant open490
Worst price91.18
Drawdown as % of equity-2.25%
 ($74)
Includes Typical Broker Commissions trade costs of $9.80
9/19/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,114 41.06 9/20 15:58 41.05 0.67%
Trade id #113752291
Max drawdown($323)
Time9/20/17 9:41
Quant open1,114
Worst price40.77
Drawdown as % of equity-0.67%
 ($16)
Includes Typical Broker Commissions trade costs of $5.00
9/6/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 495 81.31 9/19 15:58 93.36 2.74%
Trade id #113566418
Max drawdown($1,143)
Time9/8/17 16:01
Quant open495
Worst price79.00
Drawdown as % of equity-2.74%
 $5,955
Includes Typical Broker Commissions trade costs of $9.90
9/1/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 847 46.18 9/6 15:58 47.65 0.1%
Trade id #113502116
Max drawdown($42)
Time9/1/17 16:00
Quant open847
Worst price46.13
Drawdown as % of equity-0.10%
 $1,241
Includes Typical Broker Commissions trade costs of $5.00
8/29/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 469 81.13 9/1 15:58 83.87 0.63%
Trade id #113423634
Max drawdown($248)
Time8/30/17 9:02
Quant open469
Worst price80.60
Drawdown as % of equity-0.63%
 $1,276
Includes Typical Broker Commissions trade costs of $9.38
8/28/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 783 47.33 8/29 15:58 48.02 0.42%
Trade id #113392507
Max drawdown($164)
Time8/28/17 16:15
Quant open783
Worst price47.12
Drawdown as % of equity-0.42%
 $536
Includes Typical Broker Commissions trade costs of $5.00
8/22/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 453 82.22 8/28 15:58 82.03 5.16%
Trade id #113282708
Max drawdown($1,984)
Time8/24/17 11:36
Quant open453
Worst price77.84
Drawdown as % of equity-5.16%
 ($95)
Includes Typical Broker Commissions trade costs of $9.06
8/17/17 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,146 13.68 8/22 10:15 12.14 11.76%
Trade id #113209569
Max drawdown($4,844)
Time8/22/17 10:14
Quant open3,146
Worst price12.14
Drawdown as % of equity-11.76%
 ($4,847)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    6/24/2016
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2861.22
  • Age
    95 months ago
  • What it trades
    Stocks
  • # Trades
    122
  • # Profitable
    62
  • % Profitable
    50.80%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    65.06%
  • drawdown period
    March 20, 2017 - Aug 24, 2017
  • Annual Return (Compounded)
    8.9%
  • Avg win
    $2,475
  • Avg loss
    $2,283
  • Model Account Values (Raw)
  • Cash
    $66,424
  • Margin Used
    $0
  • Buying Power
    $66,424
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    0.13
  • Sortino Ratio
    0.16
  • Calmar Ratio
    0.169
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.74%
  • Correlation to SP500
    0.08280
  • Return Percent SP500 (cumu) during strategy life
    148.94%
  • Return Statistics
  • Ann Return (w trading costs)
    8.9%
  • Slump
  • Current Slump as Pcnt Equity
    58.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.089%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.50%
  • Chance of 20% account loss
    46.50%
  • Chance of 30% account loss
    24.00%
  • Chance of 40% account loss
    6.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    546
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    306
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,284
  • Avg Win
    $2,475
  • Sum Trade PL (losers)
    $137,034.000
  • Age
  • Num Months filled monthly returns table
    95
  • Win / Loss
  • Sum Trade PL (winners)
    $153,453.000
  • # Winners
    62
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    60
  • % Winners
    50.8%
  • Frequency
  • Avg Position Time (mins)
    6433.55
  • Avg Position Time (hrs)
    107.23
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    2297
  • Regression
  • Alpha
    0.00
  • Beta
    0.09
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    91.43
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    86.94
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.64
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    19.777
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.14
  • Avg(MAE) / Avg(PL) - Winning trades
    0.451
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.865
  • Hold-and-Hope Ratio
    0.050
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19060
  • SD
    0.42059
  • Sharpe ratio (Glass type estimate)
    0.45316
  • Sharpe ratio (Hedges UMVUE)
    0.44090
  • df
    28.00000
  • t
    0.70447
  • p
    0.24348
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70696
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68264
  • Upside Potential Ratio
    2.10860
  • Upside part of mean
    0.58873
  • Downside part of mean
    -0.39814
  • Upside SD
    0.30963
  • Downside SD
    0.27921
  • N nonnegative terms
    13.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.08872
  • Mean of criterion
    0.19060
  • SD of predictor
    0.10185
  • SD of criterion
    0.42059
  • Covariance
    0.00764
  • r
    0.17827
  • b (slope, estimate of beta)
    0.73615
  • a (intercept, estimate of alpha)
    0.12529
  • Mean Square Error
    0.17762
  • DF error
    27.00000
  • t(b)
    0.94137
  • p(b)
    0.17743
  • t(a)
    0.44771
  • p(a)
    0.32897
  • Lowerbound of 95% confidence interval for beta
    -0.86837
  • Upperbound of 95% confidence interval for beta
    2.34067
  • Lowerbound of 95% confidence interval for alpha
    -0.44890
  • Upperbound of 95% confidence interval for alpha
    0.69948
  • Treynor index (mean / b)
    0.25891
  • Jensen alpha (a)
    0.12529
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10126
  • SD
    0.43298
  • Sharpe ratio (Glass type estimate)
    0.23386
  • Sharpe ratio (Hedges UMVUE)
    0.22753
  • df
    28.00000
  • t
    0.36356
  • p
    0.35946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03045
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48972
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31774
  • Upside Potential Ratio
    1.70973
  • Upside part of mean
    0.54485
  • Downside part of mean
    -0.44359
  • Upside SD
    0.28338
  • Downside SD
    0.31867
  • N nonnegative terms
    13.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.08319
  • Mean of criterion
    0.10126
  • SD of predictor
    0.10219
  • SD of criterion
    0.43298
  • Covariance
    0.00731
  • r
    0.16521
  • b (slope, estimate of beta)
    0.70001
  • a (intercept, estimate of alpha)
    0.04302
  • Mean Square Error
    0.18910
  • DF error
    27.00000
  • t(b)
    0.87041
  • p(b)
    0.19587
  • t(a)
    0.14958
  • p(a)
    0.44110
  • Lowerbound of 95% confidence interval for beta
    -0.95013
  • Upperbound of 95% confidence interval for beta
    2.35015
  • Lowerbound of 95% confidence interval for alpha
    -0.54713
  • Upperbound of 95% confidence interval for alpha
    0.63318
  • Treynor index (mean / b)
    0.14465
  • Jensen alpha (a)
    0.04302
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17893
  • Expected Shortfall on VaR
    0.21989
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08031
  • Expected Shortfall on VaR
    0.16658
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.70554
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.08566
  • Maximum
    1.26715
  • Mean of quarter 1
    0.88439
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.03513
  • Mean of quarter 4
    1.17245
  • Inter Quartile Range
    0.08566
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06897
  • Mean of outliers low
    0.73623
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03448
  • Mean of outliers high
    1.26715
  • 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)
    -0.65452
  • VaR(95%) (regression method)
    0.16817
  • Expected Shortfall (regression method)
    0.20638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.12260
  • Quartile 1
    0.24072
  • Median
    0.35883
  • Quartile 3
    0.47694
  • Maximum
    0.59506
  • Mean of quarter 1
    0.12260
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.59506
  • Inter Quartile Range
    0.23623
  • 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)
    0.15160
  • Compounded annual return (geometric extrapolation)
    0.13788
  • Calmar ratio (compounded annual return / max draw down)
    0.23170
  • Compounded annual return / average of 25% largest draw downs
    0.23170
  • Compounded annual return / Expected Shortfall lognormal
    0.62702
  • 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
    0.14728
  • SD
    0.30432
  • Sharpe ratio (Glass type estimate)
    0.48396
  • Sharpe ratio (Hedges UMVUE)
    0.48339
  • df
    636.00000
  • t
    0.75462
  • p
    0.22538
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77387
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74065
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64989
  • Upside Potential Ratio
    6.28665
  • Upside part of mean
    1.42467
  • Downside part of mean
    -1.27739
  • Upside SD
    0.20296
  • Downside SD
    0.22662
  • N nonnegative terms
    216.00000
  • N negative terms
    421.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    637.00000
  • Mean of predictor
    0.09358
  • Mean of criterion
    0.14728
  • SD of predictor
    0.13061
  • SD of criterion
    0.30432
  • Covariance
    0.00729
  • r
    0.18348
  • b (slope, estimate of beta)
    0.42751
  • a (intercept, estimate of alpha)
    0.08400
  • Mean Square Error
    0.08963
  • DF error
    635.00000
  • t(b)
    4.70351
  • p(b)
    0.00000
  • t(a)
    0.55814
  • p(a)
    0.28847
  • Lowerbound of 95% confidence interval for beta
    0.24903
  • Upperbound of 95% confidence interval for beta
    0.60599
  • Lowerbound of 95% confidence interval for alpha
    -0.27014
  • Upperbound of 95% confidence interval for alpha
    0.48468
  • Treynor index (mean / b)
    0.34450
  • Jensen alpha (a)
    0.10727
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10048
  • SD
    0.30702
  • Sharpe ratio (Glass type estimate)
    0.32728
  • Sharpe ratio (Hedges UMVUE)
    0.32689
  • df
    636.00000
  • t
    0.51031
  • p
    0.30501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92993
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58400
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42924
  • Upside Potential Ratio
    6.00012
  • Upside part of mean
    1.40455
  • Downside part of mean
    -1.30407
  • Upside SD
    0.19838
  • Downside SD
    0.23409
  • N nonnegative terms
    216.00000
  • N negative terms
    421.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    637.00000
  • Mean of predictor
    0.08503
  • Mean of criterion
    0.10048
  • SD of predictor
    0.13075
  • SD of criterion
    0.30702
  • Covariance
    0.00736
  • r
    0.18339
  • b (slope, estimate of beta)
    0.43063
  • a (intercept, estimate of alpha)
    0.06386
  • Mean Square Error
    0.09123
  • DF error
    635.00000
  • t(b)
    4.70099
  • p(b)
    0.00000
  • t(a)
    0.32941
  • p(a)
    0.37098
  • Lowerbound of 95% confidence interval for beta
    0.25075
  • Upperbound of 95% confidence interval for beta
    0.61052
  • Lowerbound of 95% confidence interval for alpha
    -0.31684
  • Upperbound of 95% confidence interval for alpha
    0.44456
  • Treynor index (mean / b)
    0.23333
  • Jensen alpha (a)
    0.06386
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03035
  • Expected Shortfall on VaR
    0.03798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01315
  • Expected Shortfall on VaR
    0.02798
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    637.00000
  • Minimum
    0.89132
  • Quartile 1
    0.99866
  • Median
    1.00000
  • Quartile 3
    1.00690
  • Maximum
    1.12007
  • Mean of quarter 1
    0.98095
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00126
  • Mean of quarter 4
    1.02067
  • Inter Quartile Range
    0.00824
  • Number outliers low
    74.00000
  • Percentage of outliers low
    0.11617
  • Mean of outliers low
    0.96627
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.10518
  • Mean of outliers high
    1.03186
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24956
  • VaR(95%) (moments method)
    0.00714
  • Expected Shortfall (moments method)
    0.01298
  • Extreme Value Index (regression method)
    0.12891
  • VaR(95%) (regression method)
    0.01703
  • Expected Shortfall (regression method)
    0.02940
  • 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
    0.61603
  • Mean of quarter 1
    0.00655
  • Mean of quarter 2
    0.02743
  • Mean of quarter 3
    0.06118
  • Mean of quarter 4
    0.27066
  • 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
    0.42365
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.71499
  • VaR(95%) (moments method)
    0.22922
  • Expected Shortfall (moments method)
    0.26643
  • Extreme Value Index (regression method)
    0.53897
  • VaR(95%) (regression method)
    0.47709
  • Expected Shortfall (regression method)
    1.28149
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15068
  • Compounded annual return (geometric extrapolation)
    0.13699
  • Calmar ratio (compounded annual return / max draw down)
    0.22238
  • Compounded annual return / average of 25% largest draw downs
    0.50614
  • Compounded annual return / Expected Shortfall lognormal
    3.60730
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03496
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.19912
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05460
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.19890
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6865610000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -181862000000000019136224908279808.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -63
  • Max Equity Drawdown (num days)
    157
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

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.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-06-24
Suggested Minimum Capital
$15,000
# Trades
122
# Profitable
62
% Profitable
50.8%
Correlation S&P500
0.083
Sharpe Ratio
0.13
Sortino Ratio
0.16
Beta
0.09
Alpha
0.00

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.