Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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Volatility Saver
(131007885)

Created by: AndersEkberg2 AndersEkberg2
Started: 09/2020
Stocks
Last trade: 4 days ago
Trading style: Equity Trend-following

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 $69.00 per month.

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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
15.9%
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.

(23.8%)
Max Drawdown
35
Num Trades
51.4%
Win Trades
3.9 : 1
Profit Factor
55.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        +2.1%+4.4%+18.6%+0.1%+26.6%
2021(7.1%)  -  +12.0%+7.8%(2%)+6.2%(1.6%)+7.4%(6.3%)+10.6%(2.3%)+1.5%+26.7%
2022(0.5%)(6.3%)(0.6%)(8.9%)+5.6%(5.1%)+6.7%  -  (2.8%)+0.7%+3.4%+1.7%(7.2%)
2023+4.8%(0.4%)(0.2%)+3.2%+3.9%+2.9%(0.2%)+5.7%(4.2%)(1%)+7.4%+1.5%+25.3%
2024+0.4%+1.6%+0.4%(2.7%)+2.6%  -  (0.1%)+1.6%(3.5%)+1.9%+1.1%(2.1%)+1.0%

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.

Trading Record

This strategy has placed 168 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 120 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/20/24 10:35 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 195 47.18 12/18 15:54 48.13 1.01%
Trade id #150132533
Max drawdown($484)
Time12/18/24 15:47
Quant open133
Worst price50.82
Drawdown as % of equity-1.01%
 ($190)
Includes Typical Broker Commissions trade costs of $3.90
9/26/24 11:15 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 194 48.89 11/4 9:35 54.25 0.09%
Trade id #149514863
Max drawdown($41)
Time9/26/24 14:16
Quant open137
Worst price48.11
Drawdown as % of equity-0.09%
 $1,036
Includes Typical Broker Commissions trade costs of $3.88
9/30/24 15:59 SPY SPDR S&P 500 LONG 53 573.65 10/1 9:30 573.40 0.09%
Trade id #149544430
Max drawdown($42)
Time10/1/24 9:30
Quant open53
Worst price572.84
Drawdown as % of equity-0.09%
 ($14)
Includes Typical Broker Commissions trade costs of $1.06
8/8/24 12:38 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 376 53.47 9/18 15:55 50.78 0.08%
Trade id #148868961
Max drawdown($38)
Time8/8/24 12:42
Quant open68
Worst price65.59
Drawdown as % of equity-0.08%
 $1,003
Includes Typical Broker Commissions trade costs of $7.52
7/15/24 15:31 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 105 46.18 8/6 15:57 64.31 5.37%
Trade id #148653728
Max drawdown($2,466)
Time8/5/24 0:00
Quant open55
Worst price91.02
Drawdown as % of equity-5.37%
 ($1,905)
Includes Typical Broker Commissions trade costs of $2.10
6/11/24 15:39 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 308 11.21 7/5 15:50 10.61 0.32%
Trade id #148383915
Max drawdown($152)
Time6/21/24 0:00
Quant open308
Worst price11.71
Drawdown as % of equity-0.32%
 $180
Includes Typical Broker Commissions trade costs of $6.16
4/26/24 15:46 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 990 13.36 5/24 12:22 12.22 0.82%
Trade id #148026191
Max drawdown($380)
Time5/1/24 0:00
Quant open778
Worst price13.86
Drawdown as % of equity-0.82%
 $1,115
Includes Typical Broker Commissions trade costs of $16.52
4/17/24 10:27 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 945 14.44 4/25 15:56 14.15 0.99%
Trade id #147934083
Max drawdown($457)
Time4/19/24 0:00
Quant open518
Worst price15.71
Drawdown as % of equity-0.99%
 $260
Includes Typical Broker Commissions trade costs of $15.87
8/8/23 15:54 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,363 21.62 4/16/24 15:43 19.61 5.35%
Trade id #145475648
Max drawdown($2,211)
Time10/27/23 0:00
Quant open620
Worst price27.22
Drawdown as % of equity-5.35%
 $4,708
Includes Typical Broker Commissions trade costs of $47.26
3/20/24 15:48 SPY SPDR S&P 500 LONG 87 519.55 3/20 15:48 519.45 0.02%
Trade id #147697920
Max drawdown($9)
Time3/20/24 15:48
Quant open87
Worst price519.45
Drawdown as % of equity-0.02%
 ($11)
Includes Typical Broker Commissions trade costs of $1.74
10/20/22 9:50 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,147 50.07 6/13/23 9:50 42.04 n/a $9,190
Includes Typical Broker Commissions trade costs of $22.94
10/4/22 14:24 VIXY PROSHARES VIX SHORT-TERM FUTUR SHORT 368 15.78 10/11 15:56 17.54 2.25%
Trade id #142034834
Max drawdown($778)
Time10/11/22 15:16
Quant open368
Worst price17.89
Drawdown as % of equity-2.25%
 ($655)
Includes Typical Broker Commissions trade costs of $7.36
9/28/22 15:37 VIXY PROSHARES VIX SHORT-TERM FUTUR SHORT 340 16.12 9/30 15:50 16.68 1.01%
Trade id #141967159
Max drawdown($355)
Time9/29/22 0:00
Quant open270
Worst price17.44
Drawdown as % of equity-1.01%
 ($198)
Includes Typical Broker Commissions trade costs of $6.80
3/15/22 15:26 VIXY PROSHARES VIX SHORT-TERM FUTUR SHORT 3,556 18.25 9/27 12:04 17.81 8.51%
Trade id #139794155
Max drawdown($2,853)
Time5/6/22 0:00
Quant open897
Worst price21.90
Drawdown as % of equity-8.51%
 $1,502
Includes Typical Broker Commissions trade costs of $71.12
3/15/22 9:44 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 69 22.14 3/15 10:54 21.64 0.09%
Trade id #139786445
Max drawdown($31)
Time3/15/22 10:04
Quant open69
Worst price21.68
Drawdown as % of equity-0.09%
 ($35)
Includes Typical Broker Commissions trade costs of $1.38
3/9/22 15:57 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 393 25.83 3/15 10:53 31.74 5.58%
Trade id #139722804
Max drawdown($1,992)
Time3/15/22 9:30
Quant open329
Worst price31.88
Drawdown as % of equity-5.58%
 ($2,332)
Includes Typical Broker Commissions trade costs of $7.86
2/25/22 13:18 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 171 23.72 3/8 15:53 27.05 1.45%
Trade id #139553342
Max drawdown($538)
Time3/7/22 0:00
Quant open112
Worst price28.53
Drawdown as % of equity-1.45%
 ($572)
Includes Typical Broker Commissions trade costs of $3.42
1/21/22 15:59 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,385 22.29 2/23 15:48 23.08 3.38%
Trade id #139054064
Max drawdown($1,368)
Time2/11/22 0:00
Quant open920
Worst price23.87
Drawdown as % of equity-3.38%
 ($1,129)
Includes Typical Broker Commissions trade costs of $27.70
5/13/21 16:00 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,591 27.74 1/21/22 9:57 25.34 3.73%
Trade id #135608299
Max drawdown($1,193)
Time5/19/21 0:00
Quant open357
Worst price46.32
Drawdown as % of equity-3.73%
 $8,566
Includes Typical Broker Commissions trade costs of $71.82
3/1/21 15:48 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,231 46.16 5/12 15:55 44.48 4.64%
Trade id #134348212
Max drawdown($1,631)
Time5/12/21 15:55
Quant open-474
Worst price49.60
Drawdown as % of equity-4.64%
 $2,043
Includes Typical Broker Commissions trade costs of $24.62
2/23/21 15:56 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 300 15.23 2/26 15:56 15.89 2.11%
Trade id #134237470
Max drawdown($618)
Time2/26/21 10:29
Quant open300
Worst price17.29
Drawdown as % of equity-2.11%
 ($204)
Includes Typical Broker Commissions trade costs of $6.00
2/18/21 15:57 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 275 15.67 2/22 15:52 15.69 0.05%
Trade id #134144861
Max drawdown($13)
Time2/22/21 15:50
Quant open275
Worst price15.72
Drawdown as % of equity-0.05%
 ($12)
Includes Typical Broker Commissions trade costs of $5.50
2/17/21 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 16.15 2/17 15:57 15.56 0.61%
Trade id #134105774
Max drawdown($183)
Time2/17/21 15:56
Quant open300
Worst price15.54
Drawdown as % of equity-0.61%
 ($183)
Includes Typical Broker Commissions trade costs of $6.00
2/2/21 15:57 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 450 18.21 2/12 15:58 16.37 0.19%
Trade id #133803716
Max drawdown($54)
Time2/2/21 16:00
Quant open450
Worst price18.33
Drawdown as % of equity-0.19%
 $821
Includes Typical Broker Commissions trade costs of $9.00
1/29/21 15:57 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 238 20.59 2/1 15:56 19.69 0.79%
Trade id #133724538
Max drawdown($234)
Time2/1/21 15:54
Quant open238
Worst price19.61
Drawdown as % of equity-0.79%
 ($219)
Includes Typical Broker Commissions trade costs of $4.76
1/27/21 15:49 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 402 20.08 1/28 15:57 19.96 0.41%
Trade id #133643788
Max drawdown($120)
Time1/28/21 11:09
Quant open96
Worst price18.82
Drawdown as % of equity-0.41%
 ($58)
Includes Typical Broker Commissions trade costs of $8.04
1/28/21 15:54 SPY SPDR S&P 500 SHORT 96 378.93 1/28 15:55 378.45 n/a $44
Includes Typical Broker Commissions trade costs of $1.92
12/15/20 15:53 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,850 17.07 1/27/21 15:49 17.98 6.56%
Trade id #132835532
Max drawdown($2,048)
Time1/27/21 15:37
Quant open587
Worst price20.56
Drawdown as % of equity-6.56%
 ($1,718)
Includes Typical Broker Commissions trade costs of $33.63
11/2/20 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,104 20.58 12/14 15:52 18.27 n/a $4,830
Includes Typical Broker Commissions trade costs of $39.28
10/28/20 15:10 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 307 26.01 11/2 10:30 26.25 1.05%
Trade id #131953462
Max drawdown($280)
Time10/29/20 0:00
Quant open139
Worst price24.94
Drawdown as % of equity-1.05%
 $69
Includes Typical Broker Commissions trade costs of $6.14
Next

Statistics

  • Strategy began
    9/4/2020
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1569.95
  • Age
    52 months ago
  • What it trades
    Stocks
  • # Trades
    35
  • # Profitable
    18
  • % Profitable
    51.40%
  • Avg trade duration
    40.4 days
  • Max peak-to-valley drawdown
    23.75%
  • drawdown period
    Feb 09, 2022 - May 19, 2022
  • Annual Return (Compounded)
    15.8%
  • Avg win
    $2,091
  • Avg loss
    $562.18
  • Model Account Values (Raw)
  • Cash
    $53,098
  • Margin Used
    $0
  • Buying Power
    $53,098
  • Ratios
  • W:L ratio
    3.94:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1
  • Calmar Ratio
    1.006
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.46%
  • Correlation to SP500
    0.48760
  • Return Percent SP500 (cumu) during strategy life
    73.06%
  • Return Statistics
  • Ann Return (w trading costs)
    15.8%
  • Slump
  • Current Slump as Pcnt Equity
    3.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.159%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    340
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    479
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $562
  • Avg Win
    $2,092
  • Sum Trade PL (losers)
    $9,557.000
  • Age
  • Num Months filled monthly returns table
    52
  • Win / Loss
  • Sum Trade PL (winners)
    $37,653.000
  • # Winners
    18
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    17
  • % Winners
    51.4%
  • Frequency
  • Avg Position Time (mins)
    58236.40
  • Avg Position Time (hrs)
    970.61
  • Avg Trade Length
    40.4 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.36
  • Daily leverage (max)
    1.30
  • Regression
  • Alpha
    0.02
  • Beta
    0.45
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.28
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.582
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.450
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.204
  • Hold-and-Hope Ratio
    0.632
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17300
  • SD
    0.16332
  • Sharpe ratio (Glass type estimate)
    1.05926
  • Sharpe ratio (Hedges UMVUE)
    1.04261
  • df
    48.00000
  • t
    2.14048
  • p
    0.01871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06133
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05051
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03471
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92394
  • Upside Potential Ratio
    3.32478
  • Upside part of mean
    0.29897
  • Downside part of mean
    -0.12596
  • Upside SD
    0.14331
  • Downside SD
    0.08992
  • N nonnegative terms
    33.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.12570
  • Mean of criterion
    0.17300
  • SD of predictor
    0.16552
  • SD of criterion
    0.16332
  • Covariance
    0.01692
  • r
    0.62584
  • b (slope, estimate of beta)
    0.61753
  • a (intercept, estimate of alpha)
    0.09538
  • Mean Square Error
    0.01657
  • DF error
    47.00000
  • t(b)
    5.50109
  • p(b)
    0.00000
  • t(a)
    1.46172
  • p(a)
    0.07524
  • Lowerbound of 95% confidence interval for beta
    0.39170
  • Upperbound of 95% confidence interval for beta
    0.84336
  • Lowerbound of 95% confidence interval for alpha
    -0.03589
  • Upperbound of 95% confidence interval for alpha
    0.22664
  • Treynor index (mean / b)
    0.28015
  • Jensen alpha (a)
    0.09538
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15876
  • SD
    0.16046
  • Sharpe ratio (Glass type estimate)
    0.98940
  • Sharpe ratio (Hedges UMVUE)
    0.97385
  • df
    48.00000
  • t
    1.99932
  • p
    0.02563
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00534
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96315
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69659
  • Upside Potential Ratio
    3.08508
  • Upside part of mean
    0.28869
  • Downside part of mean
    -0.12993
  • Upside SD
    0.13626
  • Downside SD
    0.09358
  • N nonnegative terms
    33.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.11134
  • Mean of criterion
    0.15876
  • SD of predictor
    0.16666
  • SD of criterion
    0.16046
  • Covariance
    0.01721
  • r
    0.64371
  • b (slope, estimate of beta)
    0.61976
  • a (intercept, estimate of alpha)
    0.08976
  • Mean Square Error
    0.01540
  • DF error
    47.00000
  • t(b)
    5.76663
  • p(b)
    0.00000
  • t(a)
    1.43458
  • p(a)
    0.07901
  • Lowerbound of 95% confidence interval for beta
    0.40355
  • Upperbound of 95% confidence interval for beta
    0.83597
  • Lowerbound of 95% confidence interval for alpha
    -0.03611
  • Upperbound of 95% confidence interval for alpha
    0.21562
  • Treynor index (mean / b)
    0.25616
  • Jensen alpha (a)
    0.08976
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06102
  • Expected Shortfall on VaR
    0.07888
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01758
  • Expected Shortfall on VaR
    0.03991
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.89263
  • Quartile 1
    0.99924
  • Median
    1.01935
  • Quartile 3
    1.03638
  • Maximum
    1.15933
  • Mean of quarter 1
    0.96299
  • Mean of quarter 2
    1.00870
  • Mean of quarter 3
    1.02814
  • Mean of quarter 4
    1.07164
  • Inter Quartile Range
    0.03714
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06122
  • Mean of outliers low
    0.91537
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06122
  • Mean of outliers high
    1.13143
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.36183
  • VaR(95%) (moments method)
    0.00416
  • Expected Shortfall (moments method)
    0.00416
  • Extreme Value Index (regression method)
    0.20757
  • VaR(95%) (regression method)
    0.04117
  • Expected Shortfall (regression method)
    0.07768
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00872
  • Quartile 1
    0.02279
  • Median
    0.04212
  • Quartile 3
    0.04878
  • Maximum
    0.19212
  • Mean of quarter 1
    0.01351
  • Mean of quarter 2
    0.03469
  • Mean of quarter 3
    0.04709
  • Mean of quarter 4
    0.12130
  • Inter Quartile Range
    0.02600
  • 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
    0.14286
  • Mean of outliers high
    0.19212
  • 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)
    0.27993
  • Compounded annual return (geometric extrapolation)
    0.20523
  • Calmar ratio (compounded annual return / max draw down)
    1.06821
  • Compounded annual return / average of 25% largest draw downs
    1.69190
  • Compounded annual return / Expected Shortfall lognormal
    2.60160
  • 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
    0.16451
  • SD
    0.14862
  • Sharpe ratio (Glass type estimate)
    1.10696
  • Sharpe ratio (Hedges UMVUE)
    1.10619
  • df
    1075.00000
  • t
    2.24330
  • p
    0.45658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13845
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07446
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46854
  • Upside Potential Ratio
    7.39021
  • Upside part of mean
    0.82790
  • Downside part of mean
    -0.66338
  • Upside SD
    0.09808
  • Downside SD
    0.11203
  • N nonnegative terms
    603.00000
  • N negative terms
    473.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1076.00000
  • Mean of predictor
    0.12007
  • Mean of criterion
    0.16451
  • SD of predictor
    0.16962
  • SD of criterion
    0.14862
  • Covariance
    0.01229
  • r
    0.48739
  • b (slope, estimate of beta)
    0.42703
  • a (intercept, estimate of alpha)
    0.11300
  • Mean Square Error
    0.01686
  • DF error
    1074.00000
  • t(b)
    18.29230
  • p(b)
    0.25631
  • t(a)
    1.76588
  • p(a)
    0.47310
  • Lowerbound of 95% confidence interval for beta
    0.38122
  • Upperbound of 95% confidence interval for beta
    0.47284
  • Lowerbound of 95% confidence interval for alpha
    -0.01259
  • Upperbound of 95% confidence interval for alpha
    0.23907
  • Treynor index (mean / b)
    0.38525
  • Jensen alpha (a)
    0.11324
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15333
  • SD
    0.14950
  • Sharpe ratio (Glass type estimate)
    1.02566
  • Sharpe ratio (Hedges UMVUE)
    1.02494
  • df
    1075.00000
  • t
    2.07854
  • p
    0.45975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05683
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99306
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34693
  • Upside Potential Ratio
    7.23003
  • Upside part of mean
    0.82305
  • Downside part of mean
    -0.66972
  • Upside SD
    0.09726
  • Downside SD
    0.11384
  • N nonnegative terms
    603.00000
  • N negative terms
    473.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1076.00000
  • Mean of predictor
    0.10565
  • Mean of criterion
    0.15333
  • SD of predictor
    0.16977
  • SD of criterion
    0.14950
  • Covariance
    0.01238
  • r
    0.48799
  • b (slope, estimate of beta)
    0.42971
  • a (intercept, estimate of alpha)
    0.10793
  • Mean Square Error
    0.01704
  • DF error
    1074.00000
  • t(b)
    18.32180
  • p(b)
    0.25601
  • t(a)
    1.67425
  • p(a)
    0.47449
  • Lowerbound of 95% confidence interval for beta
    0.38369
  • Upperbound of 95% confidence interval for beta
    0.47573
  • Lowerbound of 95% confidence interval for alpha
    -0.01856
  • Upperbound of 95% confidence interval for alpha
    0.23443
  • Treynor index (mean / b)
    0.35683
  • Jensen alpha (a)
    0.10793
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01450
  • Expected Shortfall on VaR
    0.01829
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00521
  • Expected Shortfall on VaR
    0.01156
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1076.00000
  • Minimum
    0.92822
  • Quartile 1
    0.99830
  • Median
    1.00067
  • Quartile 3
    1.00446
  • Maximum
    1.04158
  • Mean of quarter 1
    0.99047
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00235
  • Mean of quarter 4
    1.01044
  • Inter Quartile Range
    0.00616
  • Number outliers low
    71.00000
  • Percentage of outliers low
    0.06599
  • Mean of outliers low
    0.97726
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.05948
  • Mean of outliers high
    1.01927
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57249
  • VaR(95%) (moments method)
    0.00772
  • Expected Shortfall (moments method)
    0.02110
  • Extreme Value Index (regression method)
    0.18284
  • VaR(95%) (regression method)
    0.00800
  • Expected Shortfall (regression method)
    0.01352
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    52.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00231
  • Median
    0.01111
  • Quartile 3
    0.02753
  • Maximum
    0.19757
  • Mean of quarter 1
    0.00090
  • Mean of quarter 2
    0.00574
  • Mean of quarter 3
    0.01681
  • Mean of quarter 4
    0.07192
  • Inter Quartile Range
    0.02522
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    0.10918
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29433
  • VaR(95%) (moments method)
    0.07364
  • Expected Shortfall (moments method)
    0.12444
  • Extreme Value Index (regression method)
    0.70683
  • VaR(95%) (regression method)
    0.06278
  • Expected Shortfall (regression method)
    0.18170
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26907
  • Compounded annual return (geometric extrapolation)
    0.19870
  • Calmar ratio (compounded annual return / max draw down)
    1.00574
  • Compounded annual return / average of 25% largest draw downs
    2.76300
  • Compounded annual return / Expected Shortfall lognormal
    10.86360
  • 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
    -0.01900
  • SD
    0.08763
  • Sharpe ratio (Glass type estimate)
    -0.21684
  • Sharpe ratio (Hedges UMVUE)
    -0.21559
  • df
    130.00000
  • t
    -0.15333
  • p
    0.50672
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55545
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.98752
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55634
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26447
  • Upside Potential Ratio
    4.87605
  • Upside part of mean
    0.35033
  • Downside part of mean
    -0.36933
  • Upside SD
    0.04959
  • Downside SD
    0.07185
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17893
  • Mean of criterion
    -0.01900
  • SD of predictor
    0.14218
  • SD of criterion
    0.08763
  • Covariance
    0.00438
  • r
    0.35153
  • b (slope, estimate of beta)
    0.21666
  • a (intercept, estimate of alpha)
    -0.05777
  • Mean Square Error
    0.00678
  • DF error
    129.00000
  • t(b)
    4.26486
  • p(b)
    0.28091
  • t(a)
    -0.49451
  • p(a)
    0.52768
  • Lowerbound of 95% confidence interval for beta
    0.11615
  • Upperbound of 95% confidence interval for beta
    0.31717
  • Lowerbound of 95% confidence interval for alpha
    -0.28890
  • Upperbound of 95% confidence interval for alpha
    0.17336
  • Treynor index (mean / b)
    -0.08770
  • Jensen alpha (a)
    -0.05777
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02283
  • SD
    0.08805
  • Sharpe ratio (Glass type estimate)
    -0.25933
  • Sharpe ratio (Hedges UMVUE)
    -0.25784
  • df
    130.00000
  • t
    -0.18338
  • p
    0.50804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.03084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02982
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51415
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31471
  • Upside Potential Ratio
    4.81094
  • Upside part of mean
    0.34907
  • Downside part of mean
    -0.37191
  • Upside SD
    0.04930
  • Downside SD
    0.07256
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16879
  • Mean of criterion
    -0.02283
  • SD of predictor
    0.14253
  • SD of criterion
    0.08805
  • Covariance
    0.00446
  • r
    0.35519
  • b (slope, estimate of beta)
    0.21942
  • a (intercept, estimate of alpha)
    -0.05987
  • Mean Square Error
    0.00683
  • DF error
    129.00000
  • t(b)
    4.31562
  • p(b)
    0.27873
  • t(a)
    -0.51099
  • p(a)
    0.52860
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.11883
  • Upperbound of 95% confidence interval for beta
    0.32002
  • Lowerbound of 95% confidence interval for alpha
    -0.29169
  • Upperbound of 95% confidence interval for alpha
    0.17195
  • Treynor index (mean / b)
    -0.10407
  • Jensen alpha (a)
    -0.05987
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00899
  • Expected Shortfall on VaR
    0.01124
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00316
  • Expected Shortfall on VaR
    0.00709
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97534
  • Quartile 1
    0.99955
  • Median
    1.00010
  • Quartile 3
    1.00174
  • Maximum
    1.01967
  • Mean of quarter 1
    0.99467
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00069
  • Mean of quarter 4
    1.00485
  • Inter Quartile Range
    0.00219
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98697
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.00922
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98188
  • VaR(95%) (moments method)
    0.00476
  • Expected Shortfall (moments method)
    0.28499
  • Extreme Value Index (regression method)
    0.73090
  • VaR(95%) (regression method)
    0.00369
  • Expected Shortfall (regression method)
    0.01535
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00153
  • Quartile 1
    0.02429
  • Median
    0.04705
  • Quartile 3
    0.04877
  • Maximum
    0.05048
  • Mean of quarter 1
    0.00153
  • Mean of quarter 2
    0.04705
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05048
  • Inter Quartile Range
    0.02447
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -363736000
  • Max Equity Drawdown (num days)
    99
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00508
  • Compounded annual return (geometric extrapolation)
    0.00509
  • Calmar ratio (compounded annual return / max draw down)
    0.10075
  • Compounded annual return / average of 25% largest draw downs
    0.10075
  • Compounded annual return / Expected Shortfall lognormal
    0.45235

Strategy Description

Diversified program with six proprietary volatility strategies, each with a distinct return driver
Variable market exposure with fast adaptability to shifts in market environment
Daily trading and daily risk management

Strategy benefits
Harvesting structural risk premia - Volatility ETFs are long term decaying assets due to VIX term structure contango
Price of volatility is normally structurally overstated due to excess demand of portfolio insurance
Statistical trading edge due to volatility clustering
Ultra liquid trading - Volatility ETFs are amongst the most traded securities at the US exchanges
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-09-04
Suggested Minimum Capital
$5,000
# Trades
35
# Profitable
18
% Profitable
51.4%
Correlation S&P500
0.488
Sharpe Ratio
0.75
Sortino Ratio
1.00
Beta
0.45
Alpha
0.02
Leverage
0.36 Average
1.30 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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

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.