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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 08/10/2018
Most recent certification approved 9/12/18 11:32 ET
Trades at broker BeTrader (Interactive Brokers)*
Scaling percentage used 100%
# trading signals issued by system since certification 43
# trading signals executed in manager's BeTrader (Interactive Brokers)* account 33
Percent signals followed since 08/10/2018 76.7%
This information was last updated 12/12/18 14:32 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 08/10/2018, 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.

VIXTrader
(106901765)

Created by: RobertPeterson RobertPeterson
Started: 11/2016
Stocks
Last trade: 8 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $149.00 per month.

48.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(18.5%)
Max Drawdown
95
Num Trades
45.3%
Win Trades
2.0 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +26.6%+2.5%+29.8%
2017+12.7%+3.0%+7.2%(1%)+0.9%+5.2%+8.3%(0.6%)+8.0%+7.7%+1.4%+9.4%+81.4%
2018(2.9%)+4.1%(7.8%)+14.1%+2.1%(5.1%)(0.1%)(2.3%)(0.8%)(1.7%)(1.9%)+2.1%(1.8%)

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 168 hours.

Trading Record

This strategy has placed 571 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/3/18 12:33 UPRO PROSHARES ULTRAPRO S&P500 SHORT 704 48.88 12/4 11:49 47.87 0.38%
Trade id #121313902
Max drawdown($239)
Time12/3/18 16:13
Quant open-704
Worst price49.22
Drawdown as % of equity-0.38%
$709
Includes Typical Broker Commissions trade costs of $5.00
11/30/18 13:37 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 415 34.77 12/3 9:30 32.04 0.02%
Trade id #121280083
Max drawdown($12)
Time11/30/18 13:42
Quant open-415
Worst price34.80
Drawdown as % of equity-0.02%
$1,125
Includes Typical Broker Commissions trade costs of $8.30
11/16/18 10:32 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 470 35.66 11/28 14:59 37.31 2.54%
Trade id #121004423
Max drawdown($1,542)
Time11/20/18 9:53
Quant open-370
Worst price39.83
Drawdown as % of equity-2.54%
($783)
Includes Typical Broker Commissions trade costs of $9.40
11/12/18 14:48 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 251 34.69 11/13 10:00 36.35 0.67%
Trade id #120890017
Max drawdown($416)
Time11/13/18 10:00
Quant open120
Worst price36.44
Drawdown as % of equity-0.67%
($421)
Includes Typical Broker Commissions trade costs of $5.02
11/7/18 15:39 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,238 32.66 11/8 14:30 32.55 0.22%
Trade id #120806849
Max drawdown($138)
Time11/8/18 6:35
Quant open-619
Worst price32.88
Drawdown as % of equity-0.22%
$127
Includes Typical Broker Commissions trade costs of $10.00
10/2/18 11:49 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 640 26.22 10/4 12:02 27.53 1.34%
Trade id #120137907
Max drawdown($841)
Time10/4/18 12:02
Quant open422
Worst price27.75
Drawdown as % of equity-1.34%
($850)
Includes Typical Broker Commissions trade costs of $8.90
9/21/18 11:33 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 760 26.37 9/25 13:44 26.82 1.2%
Trade id #119973980
Max drawdown($762)
Time9/24/18 10:50
Quant open-760
Worst price27.37
Drawdown as % of equity-1.20%
($348)
Includes Typical Broker Commissions trade costs of $5.00
9/14/18 12:58 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 735 27.72 9/17 13:31 27.87 0.3%
Trade id #119868394
Max drawdown($192)
Time9/14/18 13:11
Quant open-735
Worst price27.98
Drawdown as % of equity-0.30%
($116)
Includes Typical Broker Commissions trade costs of $5.00
9/12/18 11:31 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 754 28.33 9/14 12:07 27.95 0.47%
Trade id #119825960
Max drawdown($298)
Time9/12/18 12:11
Quant open-566
Worst price29.09
Drawdown as % of equity-0.47%
$277
Includes Typical Broker Commissions trade costs of $6.88
9/4/18 14:37 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 544 29.21 9/4 15:43 29.40 0.18%
Trade id #119720031
Max drawdown($114)
Time9/4/18 15:42
Quant open-544
Worst price29.42
Drawdown as % of equity-0.18%
($110)
Includes Typical Broker Commissions trade costs of $5.00
8/23/18 12:36 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 490 28.83 8/30 11:58 29.09 0.33%
Trade id #119572595
Max drawdown($210)
Time8/23/18 13:13
Quant open-490
Worst price29.26
Drawdown as % of equity-0.33%
($136)
Includes Typical Broker Commissions trade costs of $9.80
8/17/18 14:31 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 979 29.02 8/23 11:38 29.34 0.97%
Trade id #119494480
Max drawdown($618)
Time8/21/18 19:19
Quant open-507
Worst price30.65
Drawdown as % of equity-0.97%
($325)
Includes Typical Broker Commissions trade costs of $9.72
8/14/18 14:38 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 878 30.19 8/15 10:32 33.30 4.24%
Trade id #119437762
Max drawdown($2,728)
Time8/15/18 10:32
Quant open439
Worst price33.79
Drawdown as % of equity-4.24%
($2,739)
Includes Typical Broker Commissions trade costs of $11.28
8/1/18 10:37 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,626 29.51 8/9 15:33 28.29 1.71%
Trade id #119226654
Max drawdown($1,102)
Time8/2/18 6:49
Quant open-486
Worst price32.90
Drawdown as % of equity-1.71%
$1,959
Includes Typical Broker Commissions trade costs of $21.07
7/25/18 9:49 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,830 30.57 7/27 12:31 31.08 1.42%
Trade id #119113134
Max drawdown($926)
Time7/27/18 12:31
Quant open610
Worst price31.11
Drawdown as % of equity-1.42%
($940)
Includes Typical Broker Commissions trade costs of $13.60
7/23/18 9:36 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,224 31.31 7/24 13:31 31.51 0.97%
Trade id #119059856
Max drawdown($641)
Time7/23/18 10:31
Quant open-1,224
Worst price31.83
Drawdown as % of equity-0.97%
($260)
Includes Typical Broker Commissions trade costs of $5.00
7/17/18 10:32 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,703 31.02 7/20 13:26 31.29 2.45%
Trade id #118973538
Max drawdown($1,619)
Time7/20/18 6:30
Quant open-1,224
Worst price32.34
Drawdown as % of equity-2.45%
($475)
Includes Typical Broker Commissions trade costs of $12.31
7/5/18 11:33 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 505 36.21 7/9 12:00 32.69 0.33%
Trade id #118786984
Max drawdown($215)
Time7/5/18 14:16
Quant open-450
Worst price36.88
Drawdown as % of equity-0.33%
$1,773
Includes Typical Broker Commissions trade costs of $7.55
6/28/18 13:31 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 100 39.30 6/29 15:32 36.85 0.01%
Trade id #118699541
Max drawdown($3)
Time6/28/18 13:49
Quant open-100
Worst price39.34
Drawdown as % of equity-0.01%
$243
Includes Typical Broker Commissions trade costs of $2.00
6/27/18 10:31 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 145 35.57 6/27 11:31 36.99 0.35%
Trade id #118671615
Max drawdown($226)
Time6/27/18 11:31
Quant open-145
Worst price37.13
Drawdown as % of equity-0.35%
($209)
Includes Typical Broker Commissions trade costs of $2.90
6/26/18 9:31 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 145 36.37 6/26 15:12 36.52 0.34%
Trade id #118649800
Max drawdown($220)
Time6/26/18 9:38
Quant open-145
Worst price37.89
Drawdown as % of equity-0.34%
($25)
Includes Typical Broker Commissions trade costs of $2.90
6/22/18 13:42 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 290 32.83 6/25 10:59 36.52 1.66%
Trade id #118599925
Max drawdown($1,072)
Time6/25/18 10:59
Quant open145
Worst price36.67
Drawdown as % of equity-1.66%
($1,078)
Includes Typical Broker Commissions trade costs of $5.80
6/19/18 14:31 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 220 32.97 6/21 10:45 34.04 0.36%
Trade id #118518470
Max drawdown($236)
Time6/21/18 10:45
Quant open0
Worst price34.04
Drawdown as % of equity-0.36%
($240)
Includes Typical Broker Commissions trade costs of $4.40
6/18/18 14:25 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 697 31.44 6/19 10:31 33.78 3.02%
Trade id #118489276
Max drawdown($2,046)
Time6/19/18 4:42
Quant open-697
Worst price34.38
Drawdown as % of equity-3.02%
($1,634)
Includes Typical Broker Commissions trade costs of $5.00
6/7/18 11:41 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 741 32.47 6/7 13:40 33.88 1.54%
Trade id #118315193
Max drawdown($1,051)
Time6/7/18 13:40
Quant open0
Worst price33.88
Drawdown as % of equity-1.54%
($1,056)
Includes Typical Broker Commissions trade costs of $5.00
6/1/18 10:49 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,200 34.86 6/5 11:32 34.11 0.48%
Trade id #118212813
Max drawdown($325)
Time6/1/18 15:12
Quant open-600
Worst price35.59
Drawdown as % of equity-0.48%
$886
Includes Typical Broker Commissions trade costs of $12.30
5/24/18 15:26 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 660 33.83 5/29 10:32 36.18 3.49%
Trade id #118100545
Max drawdown($2,407)
Time5/29/18 4:34
Quant open-660
Worst price37.48
Drawdown as % of equity-3.49%
($1,555)
Includes Typical Broker Commissions trade costs of $5.00
5/23/18 15:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,415 34.12 5/24 10:32 35.09 1.98%
Trade id #118076668
Max drawdown($1,383)
Time5/24/18 10:32
Quant open0
Worst price35.09
Drawdown as % of equity-1.98%
($1,388)
Includes Typical Broker Commissions trade costs of $5.00
5/16/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,372 36.16 5/22 15:32 34.62 0.06%
Trade id #117957866
Max drawdown($40)
Time5/16/18 9:36
Quant open-704
Worst price36.52
Drawdown as % of equity-0.06%
$2,112
Includes Typical Broker Commissions trade costs of $7.50
5/3/18 13:33 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,670 39.01 5/11 11:35 36.58 0.85%
Trade id #117781478
Max drawdown($548)
Time5/4/18 9:34
Quant open-600
Worst price42.41
Drawdown as % of equity-0.85%
$4,032
Includes Typical Broker Commissions trade costs of $15.00

Statistics

  • Strategy began
    11/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    769.44
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    95
  • # Profitable
    43
  • % Profitable
    45.30%
  • Avg trade duration
    5.7 days
  • Max peak-to-valley drawdown
    18.49%
  • drawdown period
    May 21, 2018 - Nov 20, 2018
  • Annual Return (Compounded)
    48.6%
  • Avg win
    $1,736
  • Avg loss
    $708.62
  • Model Account Values (Raw)
  • Cash
    $62,836
  • Margin Used
    $0
  • Buying Power
    $62,836
  • Ratios
  • W:L ratio
    2.03:1
  • Sharpe Ratio
    2.426
  • Sortino Ratio
    4.167
  • Calmar Ratio
    3.735
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.36500
  • Return Statistics
  • Ann Return (w trading costs)
    48.6%
  • Ann Return (Compnd, No Fees)
    54.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    593
  • Popularity (Last 6 weeks)
    949
  • C2 Score
    95.4
  • Trades-Own-System Certification
  • Trades Own System?
    184509
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $709
  • Avg Win
    $1,737
  • # Winners
    43
  • # Losers
    52
  • % Winners
    45.3%
  • Frequency
  • Avg Position Time (mins)
    8152.48
  • Avg Position Time (hrs)
    135.88
  • Avg Trade Length
    5.7 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
    0.45734
  • SD
    0.26666
  • Sharpe ratio (Glass type estimate)
    1.71502
  • Sharpe ratio (Hedges UMVUE)
    1.66077
  • df
    24.00000
  • t
    2.47542
  • p
    0.01038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09765
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.16032
  • Upside Potential Ratio
    7.75170
  • Upside part of mean
    0.57548
  • Downside part of mean
    -0.11814
  • Upside SD
    0.28317
  • Downside SD
    0.07424
  • N nonnegative terms
    14.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.09083
  • Mean of criterion
    0.45734
  • SD of predictor
    0.11534
  • SD of criterion
    0.26666
  • Covariance
    0.01988
  • r
    0.64646
  • b (slope, estimate of beta)
    1.49455
  • a (intercept, estimate of alpha)
    0.32159
  • Mean Square Error
    0.04319
  • DF error
    23.00000
  • t(b)
    4.06356
  • p(b)
    0.00024
  • t(a)
    2.17570
  • p(a)
    0.02005
  • Lowerbound of 95% confidence interval for beta
    0.73371
  • Upperbound of 95% confidence interval for beta
    2.25539
  • Lowerbound of 95% confidence interval for alpha
    0.01582
  • Upperbound of 95% confidence interval for alpha
    0.62736
  • Treynor index (mean / b)
    0.30600
  • Jensen alpha (a)
    0.32159
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41748
  • SD
    0.24908
  • Sharpe ratio (Glass type estimate)
    1.67610
  • Sharpe ratio (Hedges UMVUE)
    1.62308
  • df
    24.00000
  • t
    2.41925
  • p
    0.01175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09807
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05651
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.47210
  • Upside Potential Ratio
    7.05447
  • Upside part of mean
    0.53820
  • Downside part of mean
    -0.12072
  • Upside SD
    0.26127
  • Downside SD
    0.07629
  • N nonnegative terms
    14.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.08395
  • Mean of criterion
    0.41748
  • SD of predictor
    0.11507
  • SD of criterion
    0.24908
  • Covariance
    0.01872
  • r
    0.65323
  • b (slope, estimate of beta)
    1.41388
  • a (intercept, estimate of alpha)
    0.29878
  • Mean Square Error
    0.03711
  • DF error
    23.00000
  • t(b)
    4.13750
  • p(b)
    0.00020
  • t(a)
    2.18858
  • p(a)
    0.01952
  • Lowerbound of 95% confidence interval for beta
    0.70697
  • Upperbound of 95% confidence interval for beta
    2.12080
  • Lowerbound of 95% confidence interval for alpha
    0.01637
  • Upperbound of 95% confidence interval for alpha
    0.58119
  • Treynor index (mean / b)
    0.29527
  • Jensen alpha (a)
    0.29878
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08009
  • Expected Shortfall on VaR
    0.10700
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02075
  • Expected Shortfall on VaR
    0.04258
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.92946
  • Quartile 1
    0.99406
  • Median
    1.00815
  • Quartile 3
    1.06359
  • Maximum
    1.25023
  • Mean of quarter 1
    0.96852
  • Mean of quarter 2
    1.00219
  • Mean of quarter 3
    1.04652
  • Mean of quarter 4
    1.15651
  • Inter Quartile Range
    0.06952
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04000
  • Mean of outliers high
    1.25023
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.38547
  • VaR(95%) (moments method)
    0.02054
  • Expected Shortfall (moments method)
    0.02163
  • Extreme Value Index (regression method)
    0.68514
  • VaR(95%) (regression method)
    0.02257
  • Expected Shortfall (regression method)
    0.07546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00594
  • Quartile 1
    0.01682
  • Median
    0.04104
  • Quartile 3
    0.07054
  • Maximum
    0.08060
  • Mean of quarter 1
    0.01138
  • Mean of quarter 2
    0.04104
  • Mean of quarter 3
    0.07054
  • Mean of quarter 4
    0.08060
  • Inter Quartile Range
    0.05372
  • 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)
    0.73399
  • Compounded annual return (geometric extrapolation)
    0.56109
  • Calmar ratio (compounded annual return / max draw down)
    6.96165
  • Compounded annual return / average of 25% largest draw downs
    6.96165
  • Compounded annual return / Expected Shortfall lognormal
    5.24371
  • 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
    0.43300
  • SD
    0.17827
  • Sharpe ratio (Glass type estimate)
    2.42892
  • Sharpe ratio (Hedges UMVUE)
    2.42558
  • df
    546.00000
  • t
    3.50959
  • p
    0.00024
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.06379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06152
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.78964
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.16672
  • Upside Potential Ratio
    10.90850
  • Upside part of mean
    1.13360
  • Downside part of mean
    -0.70060
  • Upside SD
    0.14710
  • Downside SD
    0.10392
  • N nonnegative terms
    239.00000
  • N negative terms
    308.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    547.00000
  • Mean of predictor
    0.09345
  • Mean of criterion
    0.43300
  • SD of predictor
    0.11921
  • SD of criterion
    0.17827
  • Covariance
    0.00773
  • r
    0.36358
  • b (slope, estimate of beta)
    0.54373
  • a (intercept, estimate of alpha)
    0.38200
  • Mean Square Error
    0.02763
  • DF error
    545.00000
  • t(b)
    9.11155
  • p(b)
    -0.00000
  • t(a)
    3.31838
  • p(a)
    0.00048
  • Lowerbound of 95% confidence interval for beta
    0.42651
  • Upperbound of 95% confidence interval for beta
    0.66095
  • Lowerbound of 95% confidence interval for alpha
    0.15595
  • Upperbound of 95% confidence interval for alpha
    0.60843
  • Treynor index (mean / b)
    0.79636
  • Jensen alpha (a)
    0.38219
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41682
  • SD
    0.17772
  • Sharpe ratio (Glass type estimate)
    2.34545
  • Sharpe ratio (Hedges UMVUE)
    2.34223
  • df
    546.00000
  • t
    3.38899
  • p
    0.00038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70578
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95515
  • Upside Potential Ratio
    10.65450
  • Upside part of mean
    1.12285
  • Downside part of mean
    -0.70603
  • Upside SD
    0.14520
  • Downside SD
    0.10539
  • N nonnegative terms
    239.00000
  • N negative terms
    308.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    547.00000
  • Mean of predictor
    0.08630
  • Mean of criterion
    0.41682
  • SD of predictor
    0.11967
  • SD of criterion
    0.17772
  • Covariance
    0.00774
  • r
    0.36401
  • b (slope, estimate of beta)
    0.54059
  • a (intercept, estimate of alpha)
    0.37017
  • Mean Square Error
    0.02745
  • DF error
    545.00000
  • t(b)
    9.12392
  • p(b)
    -0.00000
  • t(a)
    3.22520
  • p(a)
    0.00067
  • Lowerbound of 95% confidence interval for beta
    0.42420
  • Upperbound of 95% confidence interval for beta
    0.65698
  • Lowerbound of 95% confidence interval for alpha
    0.14472
  • Upperbound of 95% confidence interval for alpha
    0.59563
  • Treynor index (mean / b)
    0.77105
  • Jensen alpha (a)
    0.37017
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01633
  • Expected Shortfall on VaR
    0.02083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00656
  • Expected Shortfall on VaR
    0.01352
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    547.00000
  • Minimum
    0.94332
  • Quartile 1
    0.99712
  • Median
    1.00000
  • Quartile 3
    1.00562
  • Maximum
    1.05068
  • Mean of quarter 1
    0.99043
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.01554
  • Inter Quartile Range
    0.00849
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.03473
  • Mean of outliers low
    0.97404
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.07495
  • Mean of outliers high
    1.02723
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33645
  • VaR(95%) (moments method)
    0.00882
  • Expected Shortfall (moments method)
    0.01603
  • Extreme Value Index (regression method)
    0.30324
  • VaR(95%) (regression method)
    0.00880
  • Expected Shortfall (regression method)
    0.01546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    41.00000
  • Minimum
    0.00064
  • Quartile 1
    0.00349
  • Median
    0.00950
  • Quartile 3
    0.04333
  • Maximum
    0.14995
  • Mean of quarter 1
    0.00238
  • Mean of quarter 2
    0.00659
  • Mean of quarter 3
    0.02204
  • Mean of quarter 4
    0.06562
  • Inter Quartile Range
    0.03984
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02439
  • Mean of outliers high
    0.14995
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37060
  • VaR(95%) (moments method)
    0.07512
  • Expected Shortfall (moments method)
    0.11726
  • Extreme Value Index (regression method)
    1.01131
  • VaR(95%) (regression method)
    0.06151
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73318
  • Compounded annual return (geometric extrapolation)
    0.56007
  • Calmar ratio (compounded annual return / max draw down)
    3.73497
  • Compounded annual return / average of 25% largest draw downs
    8.53449
  • Compounded annual return / Expected Shortfall lognormal
    26.89030
  • 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
    -0.17183
  • SD
    0.08979
  • Sharpe ratio (Glass type estimate)
    -1.91365
  • Sharpe ratio (Hedges UMVUE)
    -1.90259
  • df
    130.00000
  • t
    -1.35315
  • p
    0.55893
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.69157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.68402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87885
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.28287
  • Upside Potential Ratio
    4.08045
  • Upside part of mean
    0.30713
  • Downside part of mean
    -0.47896
  • Upside SD
    0.04948
  • Downside SD
    0.07527
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    -0.17183
  • SD of predictor
    0.14819
  • SD of criterion
    0.08979
  • Covariance
    0.00326
  • r
    0.24469
  • b (slope, estimate of beta)
    0.14826
  • a (intercept, estimate of alpha)
    -0.15451
  • Mean Square Error
    0.00764
  • DF error
    129.00000
  • t(b)
    2.86628
  • p(b)
    0.34579
  • t(a)
    -1.24857
  • p(a)
    0.56943
  • Lowerbound of 95% confidence interval for beta
    0.04592
  • Upperbound of 95% confidence interval for beta
    0.25060
  • Lowerbound of 95% confidence interval for alpha
    -0.39935
  • Upperbound of 95% confidence interval for alpha
    0.09033
  • Treynor index (mean / b)
    -1.15898
  • Jensen alpha (a)
    -0.15451
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17590
  • SD
    0.09025
  • Sharpe ratio (Glass type estimate)
    -1.94895
  • Sharpe ratio (Hedges UMVUE)
    -1.93768
  • df
    130.00000
  • t
    -1.37811
  • p
    0.56000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.72723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83660
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.71947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84411
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.31386
  • Upside Potential Ratio
    4.02379
  • Upside part of mean
    0.30589
  • Downside part of mean
    -0.48178
  • Upside SD
    0.04922
  • Downside SD
    0.07602
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    -0.17590
  • SD of predictor
    0.14884
  • SD of criterion
    0.09025
  • Covariance
    0.00327
  • r
    0.24312
  • b (slope, estimate of beta)
    0.14742
  • a (intercept, estimate of alpha)
    -0.15706
  • Mean Square Error
    0.00772
  • DF error
    129.00000
  • t(b)
    2.84668
  • p(b)
    0.34677
  • t(a)
    -1.26188
  • p(a)
    0.57015
  • Lowerbound of 95% confidence interval for beta
    0.04496
  • Upperbound of 95% confidence interval for beta
    0.24988
  • Lowerbound of 95% confidence interval for alpha
    -0.40331
  • Upperbound of 95% confidence interval for alpha
    0.08919
  • Treynor index (mean / b)
    -1.19318
  • Jensen alpha (a)
    -0.15706
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00979
  • Expected Shortfall on VaR
    0.01210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00531
  • Expected Shortfall on VaR
    0.01081
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96917
  • Quartile 1
    0.99841
  • Median
    1.00000
  • Quartile 3
    1.00042
  • Maximum
    1.01623
  • Mean of quarter 1
    0.99342
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00475
  • Inter Quartile Range
    0.00201
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98765
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12977
  • Mean of outliers high
    1.00763
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43681
  • VaR(95%) (moments method)
    0.00588
  • Expected Shortfall (moments method)
    0.01237
  • Extreme Value Index (regression method)
    0.42294
  • VaR(95%) (regression method)
    0.00576
  • Expected Shortfall (regression method)
    0.01179
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10285
  • Quartile 1
    0.10285
  • Median
    0.10285
  • Quartile 3
    0.10285
  • Maximum
    0.10285
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.14265
  • Compounded annual return (geometric extrapolation)
    -0.13756
  • Calmar ratio (compounded annual return / max draw down)
    -1.33754
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -11.37170

Strategy Description

The goal is 10%-20% per month while maintaining low DD. This algorithmic trading system is aimed at achieving an absolute return and its success does not depend on market behavior.

Various researches proved that one can know in advance when emotions such as hope and fear will emerge and how human beings demonstrate consistent reactions to such emotions. In fact, hope, fear, greed, herd-dynamics, euphoria and panic drive the wheels of capital markets everywhere. When human activities, which come as a reaction to a certain emotion, repeat themselves enough times and last for a sufficient amount of time, this could create a fertile ground of information that enables one to track down those behaviors, which repeat themselves over and over again among investors.
When a certain behavior is found to be predictable with sufficiently high rates of success, then we can claim that we had found the base for a trading strategy.
My system is based on waves of euphoria and panic appearing among buyers and sellers in the capital markets quite frequently. The "herd dynamics" that follows only enhances the magnitude of such waves.
Upon the recognition of such wave of euphoria or panic in the market, the strategy starts seeking the most appropriate timing to tag along. When this moment arrives, a chain of decision making commences, at the end of which an order to sell or buy the symbol VXX or XIV is being issued. When the strategy identifies the coming end of such wave then once again a decision making chain commences, in the end of which an order to sell or buy a security is issued for the purpose exiting the trading position. In the cases where the system identifies an unpredictable wave behavior, an order to close the position is being closed.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, I do make an effort to control the risk as I do to my private money.


Summary Statistics

Strategy began
2016-11-03
Suggested Minimum Capital
$35,000
# Trades
95
# Profitable
43
% Profitable
45.3%
Correlation S&P500
0.365
Sharpe Ratio
2.426

Latest Activity

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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

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