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For your consideration Long Horizon Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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VolatilityFutures

By VIXPro

Equity · Stocks, Futures · Started Jan 2021

hypothetical · Annual Return (Compounded)
25.1%
Max Drawdown
28.9%
Trades
817
Win Trades
50.7%
Profit Factor
1.30
Win Months
64.3%
Subscribe $195/mo

About this strategy

Our algorithmic trading strategy VolatilityFutures focusses on 'VIX Futures' (VX). We switch between long and short positions or go back to cash entirely. The strategy is designed to quickly adapt to any type of external market situation. All trading decisions are based on a set of technical and historical volatility indicators and our own proprietary trading signals.

Markets are meticulously monitored and under normal circumstances trades are executed around Market Open and Market Close. Average holding time is usually a couple of days but short-term daytrades are possible. In volatile markets protective Stop Loss orders are put in place.

Strategy go-live: 01/2021

Subscribe to this strategy now for $195/month


Be sure to also check out our other trading strategies on Collective2:

• SmartFutures: Our algorithmic + discretionary MES Futures trading strategy
collective2.com/details/132148218

• EliteFutures: Our algorithmic MES Futures trading strategy
collective2.com/details/125237603


-VIXPro-

Momentum

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2021-12.510.714.03.23.83.2-3.5-1.7-8.45.627.61.344.7
2022-21.512.352.71.41.2-0.616.60.72.82.61.61.074.5
2023-5.3-11.82.01.01.92.44.910.50.73.29.32.821.6
2024-0.54.6-1.6-10.9-0.80.33.2-7.2-7.725.4-8.623.413.5
2025-0.3-1.2-3.99.31.31.00.92.31.72.4-2.30.912.4
2026-0.2-17.0-0.35.513.9-7.1-4.97.0-3.93.3-6.9

Statistics

Overview

Strategy began1/3/2021
Suggested Minimum Capital$90,000
Age70 months
C2 Rank356
What it tradesStocks, Futures
# Trades817
# Profitable414
% Profitable50.7%
Avg trade duration2.6 days
Max peak-to-valley drawdown28.9%
drawdown periodNov 29, 2021 - Feb 18, 2022
Annual Return (Compounded)25.1%
Avg win$896
Avg loss$701

Ratios

W:L ratio1.31
Sharpe Ratio0.73
Sortino Ratio1.24
Calmar Ratio1.31

CORRELATION STATISTICS

Correlation to SP5000.17
Return Percent SP500 (cumu) during strategy life108.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)156.7%

Return Statistics

Ann Return (w trading costs)25.1%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)29.9%

Slump

Current Slump as Pcnt Equity9.7%
Current Slump, time of slump as pcnt of strategy life0.2%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.3%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.7%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss47.5%
Chance of 20% account loss20.0%
Chance of 30% account loss9.0%
Chance of 40% account loss2.0%
Chance of 50% account loss0.5%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)811
C2 Score356
Popularity (7 days, Percentile 1000 scale)689

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$701
Avg Win$896
# Winners414
Sum Trade PL (losers)$282,561
Sum Trade PL (winners)$370,900
Num Months Winners45
# Losers403
% Winners50.7%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table70

Frequency

Avg Position Time (mins)3756.70
Avg Position Time (hrs)62.61
Avg Trade Length2.60
Last Trade Ago2

Leverage

Daily leverage (average)0.72
Daily leverage (max)11.84

Regression

Alpha0.06
Beta0.29
Treynor Index0.23

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.02
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-13.31
MAE:PL (avg, all trades)-0.80
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.52
Avg(MAE) / Avg(PL) - Losing trades-1.41
Hold-and-Hope Ratio-0.07

RATIO STATISTICS

Mean0.28
SD0.33
Sharpe ratio (Glass type estimate)0.85
Sharpe ratio (Hedges UMVUE)0.84
df67
t2.02
p0.02
Lowerbound of 95% confidence interval for Sharpe Ratio0.01
Upperbound of 95% confidence interval for Sharpe Ratio1.68
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.67
Sortino ratio1.97
Upside Potential Ratio3.50
Upside part of mean0.50
Downside part of mean-0.22
Upside SD0.31
Downside SD0.14
N nonnegative terms41
N negative terms27
N of observations68
Mean of predictor0.11
Mean of criterion0.28
SD of predictor0.14
SD of criterion0.33
Covariance0.02
r0.36
b (slope, estimate of beta)0.82
a (intercept, estimate of alpha)0.19
Mean Square Error0.10
DF error66
t(b)3.09
p(b)0.00
t(a)1.41
p(a)0.08
Lowerbound of 95% confidence interval for beta0.29
Upperbound of 95% confidence interval for beta1.36
Lowerbound of 95% confidence interval for alpha-0.08
Upperbound of 95% confidence interval for alpha0.46
Treynor index (mean / b)0.34
Jensen alpha (a)0.19
Mean0.23
SD0.31
Sharpe ratio (Glass type estimate)0.75
Sharpe ratio (Hedges UMVUE)0.74
df67
t1.79
p0.04
Lowerbound of 95% confidence interval for Sharpe Ratio-0.08
Upperbound of 95% confidence interval for Sharpe Ratio1.58
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.09
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.58
Sortino ratio1.51
Upside Potential Ratio3.00
Upside part of mean0.46
Downside part of mean-0.23
Upside SD0.27
Downside SD0.15
N nonnegative terms41
N negative terms27
N of observations68
Mean of predictor0.10
Mean of criterion0.23
SD of predictor0.14
SD of criterion0.31
Covariance0.02
r0.36
b (slope, estimate of beta)0.77
a (intercept, estimate of alpha)0.15
Mean Square Error0.08
DF error66
t(b)3.15
p(b)0.00
t(a)1.24
p(a)0.11
Lowerbound of 95% confidence interval for beta0.28
Upperbound of 95% confidence interval for beta1.26
Lowerbound of 95% confidence interval for alpha-0.09
Upperbound of 95% confidence interval for alpha0.40
Treynor index (mean / b)0.30
Jensen alpha (a)0.15
VaR(95%)0.12
Expected Shortfall on VaR0.15
VaR(95%)0.04
Expected Shortfall on VaR0.08
Mean0.26
SD0.25
Sharpe ratio (Glass type estimate)1.04
Sharpe ratio (Hedges UMVUE)1.04
df1496
t2.48
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio0.22
Upperbound of 95% confidence interval for Sharpe Ratio1.86
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.22
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.86
Sortino ratio1.83
Upside Potential Ratio8.46
Upside part of mean1.21
Downside part of mean-0.95
Upside SD0.21
Downside SD0.14
N nonnegative terms783
N negative terms714
N of observations1497
Mean of predictor0.12
Mean of criterion0.26
SD of predictor0.17
SD of criterion0.25
Covariance0.01
r0.17
b (slope, estimate of beta)0.26
a (intercept, estimate of alpha)0.23
Mean Square Error0.06
DF error1495
t(b)6.72
p(b)0.39
t(a)2.22
p(a)0.46
Lowerbound of 95% confidence interval for beta0.18
Upperbound of 95% confidence interval for beta0.34
Lowerbound of 95% confidence interval for alpha0.03
Upperbound of 95% confidence interval for alpha0.44
Treynor index (mean / b)1.00
Jensen alpha (a)0.23
Mean0.23
SD0.25
Sharpe ratio (Glass type estimate)0.94
Sharpe ratio (Hedges UMVUE)0.94
df1496
t2.24
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio0.12
Upperbound of 95% confidence interval for Sharpe Ratio1.76
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.12
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.76
Sortino ratio1.59
Upside Potential Ratio8.16
Upside part of mean1.19
Downside part of mean-0.96
Upside SD0.20
Downside SD0.15
N nonnegative terms783
N negative terms714
N of observations1497
Mean of predictor0.10
Mean of criterion0.23
SD of predictor0.17
SD of criterion0.25
Covariance0.01
r0.17
b (slope, estimate of beta)0.26
a (intercept, estimate of alpha)0.20
Mean Square Error0.06
DF error1495
t(b)6.87
p(b)0.39
t(a)2.01
p(a)0.47
Lowerbound of 95% confidence interval for beta0.19
Upperbound of 95% confidence interval for beta0.34
Lowerbound of 95% confidence interval for alpha0.00
Upperbound of 95% confidence interval for alpha0.40
Treynor index (mean / b)0.89
Jensen alpha (a)0.20
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.19
SD0.13
Sharpe ratio (Glass type estimate)1.43
Sharpe ratio (Hedges UMVUE)1.42
df130
t1.01
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.35
Upperbound of 95% confidence interval for Sharpe Ratio4.20
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.36
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.20
Sortino ratio2.10
Upside Potential Ratio9.61
Upside part of mean0.88
Downside part of mean-0.69
Upside SD0.10
Downside SD0.09
N nonnegative terms71
N negative terms60
N of observations131
Mean of predictor0.25
Mean of criterion0.19
SD of predictor0.12
SD of criterion0.13
Covariance0.00
r0.30
b (slope, estimate of beta)0.33
a (intercept, estimate of alpha)0.11
Mean Square Error0.02
DF error129
t(b)3.53
p(b)0.31
t(a)0.60
p(a)0.47
Lowerbound of 95% confidence interval for beta0.15
Upperbound of 95% confidence interval for beta0.52
Lowerbound of 95% confidence interval for alpha-0.25
Upperbound of 95% confidence interval for alpha0.47
Treynor index (mean / b)0.58
Jensen alpha (a)0.11
Mean0.18
SD0.13
Sharpe ratio (Glass type estimate)1.36
Sharpe ratio (Hedges UMVUE)1.35
df130
t0.96
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.42
Upperbound of 95% confidence interval for Sharpe Ratio4.14
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.42
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.13
Sortino ratio1.99
Upside Potential Ratio9.48
Upside part of mean0.88
Downside part of mean-0.69
Upside SD0.10
Downside SD0.09
N nonnegative terms71
N negative terms60
N of observations131
Mean of predictor0.24
Mean of criterion0.18
SD of predictor0.12
SD of criterion0.13
Covariance0.00
r0.30
b (slope, estimate of beta)0.34
a (intercept, estimate of alpha)0.10
Mean Square Error0.02
DF error129
t(b)3.56
p(b)0.31
t(a)0.56
p(a)0.47
Lowerbound of 95% confidence interval for beta0.15
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0.52
Lowerbound of 95% confidence interval for alpha-0.26
Upperbound of 95% confidence interval for alpha0.47
Treynor index (mean / b)0.55
Jensen alpha (a)0.10
VaR(95%)0.01
Expected Shortfall on VaR0.02
VaR(95%)0.01
Expected Shortfall on VaR0.01

ORDER STATISTICS

Number of observations68
Minimum0.81
Quartile 10.98
Median1.01
Quartile 31.05
Maximum1.50
Mean of quarter 10.93
Mean of quarter 21.00
Mean of quarter 31.02
Mean of quarter 41.15
Inter Quartile Range0.06
Number outliers low3
Percentage of outliers low0.04
Mean of outliers low0.85
Number of outliers high6
Percentage of outliers high0.09
Mean of outliers high1.24
Extreme Value Index (moments method)0.24
VaR(95%) (moments method)0.05
Expected Shortfall (moments method)0.09
Extreme Value Index (regression method)0.18
VaR(95%) (regression method)0.08
Expected Shortfall (regression method)0.13
Number of observations1497
Minimum0.93
Quartile 11.00
Median1.00
Quartile 31.01
Maximum1.19
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.02
Inter Quartile Range0.01
Number outliers low83
Percentage of outliers low0.06
Mean of outliers low0.97
Number of outliers high95
Percentage of outliers high0.06
Mean of outliers high1.04
Extreme Value Index (moments method)0.38
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0.21
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations131
Minimum0.97
Quartile 11.00
Median1.00
Quartile 31.01
Maximum1.03
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.01
Number outliers low5
Percentage of outliers low0.04
Mean of outliers low0.98
Number of outliers high4
Percentage of outliers high0.03
Mean of outliers high1.02
Extreme Value Index (moments method)-0.26
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.20
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01

DRAW DOWN STATISTICS

Number of observations10
Minimum0.01
Quartile 10.06
Median0.12
Quartile 30.14
Maximum0.20
Mean of quarter 10.02
Mean of quarter 20.10
Mean of quarter 30.13
Mean of quarter 40.18
Inter Quartile Range0.08
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)-152.74
VaR(95%) (moments method)0.18
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-3.81
VaR(95%) (regression method)0.26
Expected Shortfall (regression method)0.26
Number of observations68
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.05
Maximum0.23
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.12
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high7
Percentage of outliers high0.10
Mean of outliers high0.18
Extreme Value Index (moments method)0.03
VaR(95%) (moments method)0.12
Expected Shortfall (moments method)0.17
Extreme Value Index (regression method)-0.38
VaR(95%) (regression method)0.14
Expected Shortfall (regression method)0.17
Number of observations7
Minimum0.01
Quartile 10.01
Median0.01
Quartile 30.02
Maximum0.08
Mean of quarter 10.01
Mean of quarter 20.01
Mean of quarter 30.01
Mean of quarter 40.05
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.14
Mean of outliers high0.08
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-396222784
Max Equity Drawdown (num days)81
Last 4 Months - Pcnt Negative0.5%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.59
Compounded annual return (geometric extrapolation)0.30
Calmar ratio (compounded annual return / max draw down)1.51
Compounded annual return / average of 25% largest draw downs1.69
Compounded annual return / Expected Shortfall lognormal1.97
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.59
Compounded annual return (geometric extrapolation)0.30
Calmar ratio (compounded annual return / max draw down)1.31
Compounded annual return / average of 25% largest draw downs2.39
Compounded annual return / Expected Shortfall lognormal9.84
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.22
Compounded annual return (geometric extrapolation)0.24
Calmar ratio (compounded annual return / max draw down)2.81
Compounded annual return / average of 25% largest draw downs4.53
Compounded annual return / Expected Shortfall lognormal14.42

Trading record

Placed 41 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
@VX V6short2Oct 5, 2026Oct 7, 2026($16)
@VX X6short2Oct 5, 2026Oct 7, 2026$434
@VX V6short4Sep 27, 2026Oct 4, 2026($2,332)
@VX X6short2Oct 1, 2026Oct 4, 2026$484
@VX V6short4Sep 22, 2026Sep 23, 2026($1,032)
@VX V6short4Sep 17, 2026Sep 21, 2026$568
@VX V6short3Aug 31, 2026Sep 10, 2026($1,674)
@VX U6short3Aug 31, 2026Sep 9, 2026($1,024)
@VX U6short4Aug 19, 2026Aug 30, 2026$1,768
@VX U6short1Aug 18, 2026Aug 19, 2026($108)
@VX U6short4Aug 10, 2026Aug 17, 2026$2,168
@VX Q6short1Jul 31, 2026Aug 6, 2026$842
@VX U6short3Jul 30, 2026Aug 6, 2026$1,076
@VX Q6short1Jul 30, 2026Jul 31, 2026($658)
@VX Q6short3Jul 27, 2026Jul 29, 2026($1,924)
@VX Q6short5Jul 8, 2026Jul 23, 2026($2,290)
@VX N6short1Jul 8, 2026Jul 13, 2026$292
@VX Q6short2Jun 29, 2026Jul 7, 2026$1,284
@VX N6short1Jun 29, 2026Jul 7, 2026$842
@VX N6short3Jun 18, 2026Jun 23, 2026($3,174)
@VX N6short4Jun 15, 2026Jun 17, 2026($1,732)
@VX G7long1Jun 15, 2026Jun 16, 2026$42
@VX N6short2Jun 4, 2026Jun 5, 2026($1,916)
@VX M6short1Jun 4, 2026Jun 5, 2026($758)
@VX M6short7May 7, 2026Jun 2, 2026$7,844
@VX K6long3May 11, 2026May 11, 2026$476
@VX K6long5May 7, 2026May 8, 2026$1,110
@VX K6long3May 6, 2026May 6, 2026$1,326
@VX K6long3May 6, 2026May 6, 2026$1,326

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.