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

Risk Tracker VIX

Created by: UserRemoved308 UserRemoved308
Started: 11/2012
Last trade: 3,967 days ago

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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 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.

Cumul. Return

Rate of Return Calculations


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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

Max Drawdown
Num Trades
Win Trades
0.2 : 1
Profit Factor
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
2012                                                                      +19.3%(15.9%)+0.3%
2019(12.3%)+382.3%  -  (0.4%)(81.8%)(2.8%)  -  +14.3%+2.6%(6.5%)(0.3%)(6.3%)(23.8%)
2023(19%)+5.2%+2.7%  -  (6.8%)(14.9%)(13.2%)+2.7%(2.1%)+12.5%(23.7%)+0.6%(47.6%)
2024(9.6%)+1.0%                                                            (8.7%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/12/13 9:30 ZIV VELOCITYSHARES DAILY INVERSE V LONG 650 30.41 4/16 9:30 30.99 4.6%
Trade id #79660623
Max drawdown($884)
Time3/19/13 11:59
Quant open650
Worst price29.05
Drawdown as % of equity-4.60%
Includes Typical Broker Commissions trade costs of $5.00
2/26/13 9:31 VXZ IPATH SERIES B S&P 500 VIX MID-TERM FUTURES ETN LONG 226 90.65 3/12 9:30 85.76 6.29%
Trade id #79414920
Max drawdown($1,242)
Time3/8/13 15:42
Quant open900
Worst price21.28
Drawdown as % of equity-6.29%
Includes Typical Broker Commissions trade costs of $4.51
1/4/13 15:19 ZIV VELOCITYSHARES DAILY INVERSE V LONG 370 25.48 2/26 9:31 28.85 0.63%
Trade id #78487752
Max drawdown($122)
Time1/9/13 11:21
Quant open370
Worst price25.15
Drawdown as % of equity-0.63%
Includes Typical Broker Commissions trade costs of $7.40
1/3/13 9:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,005 18.32 2/26 9:30 19.03 0.64%
Trade id #78455601
Max drawdown($120)
Time1/3/13 14:41
Quant open1,005
Worst price18.20
Drawdown as % of equity-0.64%
Includes Typical Broker Commissions trade costs of $10.00
12/21/12 9:36 VXZ IPATH SERIES B S&P 500 VIX MID-TERM FUTURES ETN LONG 193 113.60 1/3/13 9:30 104.48 9.29%
Trade id #78279007
Max drawdown($1,760)
Time1/3/13 9:30
Quant open0
Worst price26.12
Drawdown as % of equity-9.29%
Includes Typical Broker Commissions trade costs of $3.86
12/21/12 9:30 XIV VELOCITYSHARES DAILY INVERSE V SHORT 1,250 16.91 12/21 9:35 17.29 2.07%
Trade id #78278661
Max drawdown($475)
Time12/21/12 9:35
Quant open0
Worst price17.29
Drawdown as % of equity-2.07%
Includes Typical Broker Commissions trade costs of $5.00
11/16/12 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,250 16.10 12/21 9:30 16.91 3.59%
Trade id #77694004
Max drawdown($711)
Time11/16/12 11:30
Quant open1,250
Worst price15.53
Drawdown as % of equity-3.59%
Includes Typical Broker Commissions trade costs of $5.00


  • Strategy began
  • Suggested Minimum Cap
  • Strategy Age (days)
  • Age
    137 months ago
  • What it trades
  • # Trades
  • # Profitable
  • % Profitable
  • Avg trade duration
    521.1 days
  • Max peak-to-valley drawdown
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
  • Avg win
  • Avg loss
  • Model Account Values (Raw)
  • Cash
  • Margin Used
  • Buying Power
  • Ratios
  • W:L ratio
  • Sharpe Ratio
  • Sortino Ratio
  • Calmar Ratio
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
  • Correlation to SP500
  • Return Percent SP500 (cumu) during strategy life
  • Return Statistics
  • Ann Return (w trading costs)
  • Slump
  • Current Slump as Pcnt Equity
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
  • Instruments
  • Percent Trades Options
  • Percent Trades Futures
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
  • Instruments
  • Percent Trades Stocks
  • Return Statistics
  • Return Pcnt Since TOS Status
  • Instruments
  • Percent Trades Forex
  • Return Statistics
  • Ann Return (Compnd, No Fees)
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
  • Chance of 20% account loss
  • Chance of 30% account loss
  • Chance of 40% account loss
  • Chance of 60% account loss (Monte Carlo)
  • Chance of 70% account loss (Monte Carlo)
  • Chance of 80% account loss (Monte Carlo)
  • Chance of 90% account loss (Monte Carlo)
  • Chance of 100% account loss (Monte Carlo)
  • Automation
  • Percentage Signals Automated
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
  • Trading Style
  • Any stock shorts? 0/1
  • Trades-Own-System Certification
  • Trades Own System?
  • TOS percent
  • Win / Loss
  • Avg Win
  • Avg Loss
  • Sum Trade PL (losers)
  • # Winners
  • Num Months Winners
  • Age
  • Num Months filled monthly returns table
  • Win / Loss
  • Sum Trade PL (winners)
  • Dividends
  • Dividends Received in Model Acct
  • Win / Loss
  • # Losers
  • % Winners
  • Frequency
  • Avg Position Time (mins)
  • Avg Position Time (hrs)
  • Avg Trade Length
    521.1 days
  • Last Trade Ago
  • Regression
  • Alpha
  • Beta
  • Treynor Index
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
  • MAE:PL (avg, winning trades)
  • MAE:PL - worst single value for strategy
  • MAE:PL (avg, losing trades)
  • MAE:PL (avg, all trades)
  • Avg(MAE) / Avg(PL) - All trades
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
  • MAE:Equity, 95th Percentile Value for this strat
  • MAE:Equity, average, winning trades
  • MAE:Equity, average, losing trades
  • Avg(MAE) / Avg(PL) - Winning trades
  • Avg(MAE) / Avg(PL) - Losing trades
  • Hold-and-Hope Ratio
  • Analysis based on DAILY values, full history
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
  • Last 4 Months - Pcnt Negative

Strategy Description

Risk Tracker is 100% mechanical system that aims to predict Risk on/Risk off phases on global stock market. This system uses Risk Tracker signals to trade VIX futures.

Risk Tracker generates three different signals:
RiskOn - traders are looking for risk. Buy stocks and sell volatility
RiskOff - traders are risk averse. Sell or short stocks and buy volatility.
RiskNeutral - stay out of market and wait for new RiskOn phase

In this sub-system we take following positions
RiskOn: Sell short-term VIX futures through XIV ETF
RiskOff: Buy mid-term VIX futures through VXZ ETF
RiskNeutral: no position / money market fund

This strategy is expected to give exceptionally high annual return of over 100% but also large drawdowns up to 40%.

Strategy is backtested since 2004. Backtest details can be fonud here: http://bit.ly/Q65fLN
Take note, that VIX ETFs were not available in 2004, so test are carried out using back-adjusted VIX futures index.

Summary Statistics

Strategy began
Suggested Minimum Capital
# Trades
# Profitable
% Profitable
Correlation S&P500
Sharpe Ratio
Sortino Ratio

Latest Activity

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.