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

The Volatility Chameleon
(83242512)

Created by: PhylumFinancial PhylumFinancial
Started: 10/2013
Options
Last trade: 23 days ago
Subscriptions not currently available.

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 $100.00 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.

20.3%
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.

(70.2%)
Max Drawdown
766
Num Trades
68.0%
Win Trades
1.5 : 1
Profit Factor
61.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                               +4.5%+5.6%+3.2%+13.8%
2014(7.1%)+13.3%+6.2%+4.2%(3.9%)(0.7%)(0.8%)+17.0%(0.6%)+6.2%+4.2%(0.6%)+41.1%
2015(7.7%)+17.9%+2.2%+0.1%+1.7%  -  +8.5%(43.3%)+37.0%+20.9%+3.7%(14.7%)+2.0%
2016(20.9%)(8.2%)+37.2%(2.2%)+16.4%(15.5%)+10.3%(0.1%)+1.5%+0.5%+4.8%+4.3%+17.6%
2017+6.7%+10.4%+1.4%(1.2%)+2.3%+6.9%+0.7%(4%)+14.4%+9.7%+10.0%+7.9%+85.8%
2018+7.1%(4.8%)(9.2%)+1.2%+12.5%+3.4%+6.6%+1.5%(0.4%)(13%)+2.3%(24.6%)(21.2%)
2019+18.1%+7.1%+4.5%+8.0%(16.5%)+27.3%+11.4%(10.6%)+4.5%+11.7%+9.4%+7.2%+106.7%
2020+1.1%(14.1%)(14.4%)+21.4%+4.2%+4.9%+3.1%+2.8%(2.4%)(2.3%)+2.4%+1.9%+4.1%
2021+1.1%+0.4%(6.5%)(0.2%)(6.3%)+0.4%+0.8%(5.2%)(13.7%)+4.4%+13.3%(18.9%)(29.6%)
2022(17.5%)+25.3%+2.1%(6.2%)(2.1%)(13.7%)+9.5%(9.1%)(7.5%)+8.2%+3.1%(5.7%)(18.9%)
2023+19.1%(0.2%)+15.5%(5%)+5.2%(3.4%)+5.8%(0.5%)(5.6%)(11.4%)+38.6%+26.4%+104.3%
2024(0.5%)+2.9%+3.4%(6%)                                                (0.5%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/14/24 15:22 XLE2616A100 XLE Jan16'26 100 call LONG 12 7.80 4/1 10:16 9.70 n/a $2,263
Includes Typical Broker Commissions trade costs of $16.80
2/28/22 9:53 RSX2419A15 RSX Jan19'24 15 call LONG 16 3.00 1/20/24 9:35 0.00 0.64%
Trade id #139572231
Max drawdown($2,800)
Time3/2/22 0:00
Quant open16
Worst price1.25
Drawdown as % of equity-0.64%
($4,811)
Includes Typical Broker Commissions trade costs of $11.20
1/19/24 9:58 DFS2517A90 DFS Jan17'25 90 call SHORT 4 16.10 1/19 9:59 18.20 0.12%
Trade id #147065494
Max drawdown($840)
Time1/19/24 9:59
Quant open4
Worst price18.20
Drawdown as % of equity-0.12%
($846)
Includes Typical Broker Commissions trade costs of $5.60
10/10/23 10:00 SOXL DIREXION DAILY SEMICONDCT BULL LONG 15,500 21.77 1/19/24 9:58 27.58 4.37%
Trade id #146087156
Max drawdown($17,540)
Time10/31/23 0:00
Quant open3,000
Worst price14.01
Drawdown as % of equity-4.37%
$89,958
Includes Typical Broker Commissions trade costs of $47.50
9/15/23 13:28 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,400 91.39 1/19/24 9:58 101.18 2.67%
Trade id #145839432
Max drawdown($10,566)
Time10/27/23 0:00
Quant open600
Worst price67.60
Drawdown as % of equity-2.67%
$23,464
Includes Typical Broker Commissions trade costs of $32.00
9/15/23 13:27 DFS2517A90 DFS Jan17'25 90 call LONG 8 14.30 1/19/24 9:58 19.70 0.93%
Trade id #145839422
Max drawdown($4,320)
Time11/10/23 0:00
Quant open8
Worst price8.90
Drawdown as % of equity-0.93%
$4,309
Includes Typical Broker Commissions trade costs of $11.20
10/10/23 10:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 6,700 42.50 1/19/24 9:58 47.58 2.95%
Trade id #146087199
Max drawdown($11,955)
Time10/26/23 0:00
Quant open1,500
Worst price30.47
Drawdown as % of equity-2.95%
$33,941
Includes Typical Broker Commissions trade costs of $44.50
10/30/23 9:39 BITO2419A18 BITO Jan19'24 18 call LONG 50 0.95 1/4/24 13:02 2.77 0.37%
Trade id #146274724
Max drawdown($1,500)
Time10/31/23 0:00
Quant open50
Worst price0.65
Drawdown as % of equity-0.37%
$9,055
Includes Typical Broker Commissions trade costs of $70.00
11/3/21 9:49 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION LONG 350 14.16 12/14/23 11:38 18.25 0.52%
Trade id #138057337
Max drawdown($2,453)
Time6/15/23 0:00
Quant open350
Worst price7.14
Drawdown as % of equity-0.52%
$1,428
Includes Typical Broker Commissions trade costs of $7.00
9/28/23 11:03 SMH2421F150 SMH Jun21'24 150 call LONG 30 15.72 12/14 11:38 25.12 0.73%
Trade id #145959990
Max drawdown($2,960)
Time10/26/23 0:00
Quant open8
Worst price9.80
Drawdown as % of equity-0.73%
$28,183
Includes Typical Broker Commissions trade costs of $42.00
9/21/23 14:08 SPY2415C450 SPY Mar15'24 450 call LONG 40 14.63 12/14 11:38 23.97 5.29%
Trade id #145897738
Max drawdown($20,920)
Time10/27/23 0:00
Quant open20
Worst price4.11
Drawdown as % of equity-5.29%
$37,319
Includes Typical Broker Commissions trade costs of $56.00
9/28/23 11:02 TLT2420I90 TLT Sep20'24 90 call LONG 20 6.25 12/1 12:28 7.65 0.51%
Trade id #145959963
Max drawdown($2,300)
Time10/19/23 0:00
Quant open10
Worst price4.20
Drawdown as % of equity-0.51%
$2,772
Includes Typical Broker Commissions trade costs of $28.00
9/20/23 12:01 QQQ2320J370 QQQ Oct20'23 370 call LONG 20 8.16 10/21 9:35 0.00 3.71%
Trade id #145880273
Max drawdown($16,300)
Time10/20/23 0:00
Quant open20
Worst price0.01
Drawdown as % of equity-3.71%
($16,334)
Includes Typical Broker Commissions trade costs of $14.00
7/26/23 10:39 SPY2315U425 SPY Sep15'23 425 put LONG 20 1.88 9/16 9:35 0.00 0.77%
Trade id #145328159
Max drawdown($3,740)
Time9/15/23 0:00
Quant open20
Worst price0.01
Drawdown as % of equity-0.77%
($3,774)
Includes Typical Broker Commissions trade costs of $14.00
4/6/23 13:09 SCHW2517A50 SCHW Jan17'25 50 call LONG 24 11.82 7/26 10:41 17.73 0.81%
Trade id #144214791
Max drawdown($3,663)
Time5/11/23 0:00
Quant open18
Worst price9.79
Drawdown as % of equity-0.81%
$14,136
Includes Typical Broker Commissions trade costs of $33.60
6/2/23 12:15 SPY2323R427 SPY Jun23'23 427 put LONG 12 4.94 6/8 13:11 3.38 0.43%
Trade id #144816314
Max drawdown($2,064)
Time6/8/23 12:30
Quant open12
Worst price3.22
Drawdown as % of equity-0.43%
($1,889)
Includes Typical Broker Commissions trade costs of $16.80
12/9/21 9:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 7,800 32.24 5/23/23 9:44 35.94 20.09%
Trade id #138523417
Max drawdown($69,621)
Time12/28/22 0:00
Quant open2,400
Worst price16.10
Drawdown as % of equity-20.09%
$28,834
Includes Typical Broker Commissions trade costs of $26.50
4/6/23 13:11 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,000 72.71 5/23 9:42 75.42 0.59%
Trade id #144214819
Max drawdown($2,508)
Time4/26/23 0:00
Quant open800
Worst price69.58
Drawdown as % of equity-0.59%
$2,702
Includes Typical Broker Commissions trade costs of $12.50
1/23/23 9:54 GOOGL2315I100 GOOGL Sep15'23 100 call LONG 6 11.00 4/3 12:16 12.05 0.82%
Trade id #143301541
Max drawdown($3,420)
Time2/24/23 0:00
Quant open6
Worst price5.30
Drawdown as % of equity-0.82%
$622
Includes Typical Broker Commissions trade costs of $8.40
3/21/23 13:00 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,000 66.81 4/3 12:16 73.38 0.8%
Trade id #143984111
Max drawdown($3,638)
Time3/24/23 0:00
Quant open1,000
Worst price63.17
Drawdown as % of equity-0.80%
$6,565
Includes Typical Broker Commissions trade costs of $5.00
8/19/22 9:57 BITO2331O13 BITO Mar31'23 13 put LONG 300 0.94 3/10/23 10:50 1.10 6.32%
Trade id #141475219
Max drawdown($25,200)
Time3/7/23 0:00
Quant open300
Worst price0.10
Drawdown as % of equity-6.32%
$4,380
Includes Typical Broker Commissions trade costs of $420.00
1/23/23 9:55 AAPL2315I150 AAPL Sep15'23 150 call LONG 6 10.15 2/10 10:15 15.75 0.13%
Trade id #143301591
Max drawdown($480)
Time1/25/23 0:00
Quant open6
Worst price9.35
Drawdown as % of equity-0.13%
$3,352
Includes Typical Broker Commissions trade costs of $8.40
9/6/22 10:13 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,500 64.85 2/10/23 10:15 74.89 6.18%
Trade id #141669726
Max drawdown($20,290)
Time10/13/22 0:00
Quant open1,500
Worst price48.97
Drawdown as % of equity-6.18%
$25,085
Includes Typical Broker Commissions trade costs of $15.00
12/6/22 10:34 BABA2316F110 BABA Jun16'23 110 call LONG 10 8.95 2/3/23 11:50 11.10 0.92%
Trade id #142783845
Max drawdown($3,200)
Time12/23/22 0:00
Quant open10
Worst price5.75
Drawdown as % of equity-0.92%
$2,136
Includes Typical Broker Commissions trade costs of $14.00
12/7/22 9:43 SPY2317C395 SPY Mar17'23 395 call LONG 33 14.98 2/3/23 11:49 25.42 2.07%
Trade id #142796267
Max drawdown($7,730)
Time1/25/23 0:00
Quant open14
Worst price11.72
Drawdown as % of equity-2.07%
$34,397
Includes Typical Broker Commissions trade costs of $46.20
2/1/21 10:18 BIDU2320A250 BIDU Jan20'23 250 call LONG 10 34.72 1/21/23 9:35 0.00 9.18%
Trade id #133754282
Max drawdown($34,710)
Time11/14/22 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-9.18%
($34,727)
Includes Typical Broker Commissions trade costs of $7.00
3/28/22 12:40 TLRY2320A10 TLRY Jan20'23 10 call LONG 8 2.44 1/21/23 9:35 0.00 0.56%
Trade id #139943444
Max drawdown($1,944)
Time12/20/22 0:00
Quant open8
Worst price0.01
Drawdown as % of equity-0.56%
($1,958)
Includes Typical Broker Commissions trade costs of $5.60
5/24/21 10:00 SMH2320A260 SMH Jan20'23 260 call LONG 20 12.48 1/21/23 9:35 6.96 6.51%
Trade id #135746428
Max drawdown($22,446)
Time1/4/23 0:00
Quant open18
Worst price0.01
Drawdown as % of equity-6.51%
($11,065)
Includes Typical Broker Commissions trade costs of $15.40
3/29/22 13:22 NEM2320A100 NEM Jan20'23 100 call LONG 20 3.40 1/21/23 9:35 0.00 1.86%
Trade id #139957310
Max drawdown($6,780)
Time10/31/22 0:00
Quant open20
Worst price0.01
Drawdown as % of equity-1.86%
($6,814)
Includes Typical Broker Commissions trade costs of $14.00
9/16/22 12:17 IWM2320M170 IWM Jan20'23 170 put LONG 24 8.76 1/21/23 9:35 8.34 1.9%
Trade id #141833057
Max drawdown($7,000)
Time1/17/23 0:00
Quant open8
Worst price0.01
Drawdown as % of equity-1.90%
($1,038)
Includes Typical Broker Commissions trade costs of $28.00

Statistics

  • Strategy began
    10/1/2013
  • Suggested Minimum Cap
    $700,000
  • Strategy Age (days)
    3857.75
  • Age
    129 months ago
  • What it trades
    Options
  • # Trades
    766
  • # Profitable
    521
  • % Profitable
    68.00%
  • Avg trade duration
    64.9 days
  • Max peak-to-valley drawdown
    70.16%
  • drawdown period
    Aug 10, 2015 - Sept 01, 2015
  • Annual Return (Compounded)
    20.3%
  • Avg win
    $3,437
  • Avg loss
    $4,771
  • Model Account Values (Raw)
  • Cash
    $620,957
  • Margin Used
    $0
  • Buying Power
    $627,931
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    0.47
  • Sortino Ratio
    0.74
  • Calmar Ratio
    0.365
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    405.28%
  • Correlation to SP500
    0.29360
  • Return Percent SP500 (cumu) during strategy life
    199.15%
  • Return Statistics
  • Ann Return (w trading costs)
    20.3%
  • Slump
  • Current Slump as Pcnt Equity
    6.40%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    6.16%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.203%
  • Instruments
  • Percent Trades Options
    0.88%
  • Percent Trades Stocks
    0.12%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    93.00%
  • Chance of 20% account loss
    88.50%
  • Chance of 30% account loss
    80.50%
  • Chance of 40% account loss
    79.00%
  • Chance of 60% account loss (Monte Carlo)
    62.00%
  • Chance of 70% account loss (Monte Carlo)
    55.50%
  • Chance of 80% account loss (Monte Carlo)
    39.00%
  • Chance of 90% account loss (Monte Carlo)
    21.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    70.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    834
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    949
  • Popularity (7 days, Percentile 1000 scale)
    746
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,772
  • Avg Win
    $3,478
  • Sum Trade PL (losers)
    $1,169,050.000
  • Age
  • Num Months filled monthly returns table
    127
  • Win / Loss
  • Sum Trade PL (winners)
    $1,812,150.000
  • # Winners
    521
  • Num Months Winners
    79
  • Dividends
  • Dividends Received in Model Acct
    2668
  • Win / Loss
  • # Losers
    245
  • % Winners
    68.0%
  • Frequency
  • Avg Position Time (mins)
    127392.00
  • Avg Position Time (hrs)
    2123.20
  • Avg Trade Length
    88.5 days
  • Last Trade Ago
    23
  • Leverage
  • Daily leverage (average)
    3.60
  • Daily leverage (max)
    18.54
  • Regression
  • Alpha
    0.06
  • Beta
    0.94
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    86.86
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    58.85
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.85
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    5.874
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.929
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.207
  • Hold-and-Hope Ratio
    0.173
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28677
  • SD
    0.50470
  • Sharpe ratio (Glass type estimate)
    0.56820
  • Sharpe ratio (Hedges UMVUE)
    0.56464
  • df
    120.00000
  • t
    1.80426
  • p
    0.41874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05436
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18599
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10025
  • Upside Potential Ratio
    2.43005
  • Upside part of mean
    0.63337
  • Downside part of mean
    -0.34660
  • Upside SD
    0.43765
  • Downside SD
    0.26064
  • N nonnegative terms
    71.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    121.00000
  • Mean of predictor
    0.09192
  • Mean of criterion
    0.28677
  • SD of predictor
    0.14709
  • SD of criterion
    0.50470
  • Covariance
    0.04294
  • r
    0.57837
  • b (slope, estimate of beta)
    1.98448
  • a (intercept, estimate of alpha)
    0.10436
  • Mean Square Error
    0.17094
  • DF error
    119.00000
  • t(b)
    7.73400
  • p(b)
    0.15351
  • t(a)
    0.78868
  • p(a)
    0.45413
  • Lowerbound of 95% confidence interval for beta
    1.47641
  • Upperbound of 95% confidence interval for beta
    2.49256
  • Lowerbound of 95% confidence interval for alpha
    -0.15765
  • Upperbound of 95% confidence interval for alpha
    0.36637
  • Treynor index (mean / b)
    0.14451
  • Jensen alpha (a)
    0.10436
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17079
  • SD
    0.47904
  • Sharpe ratio (Glass type estimate)
    0.35653
  • Sharpe ratio (Hedges UMVUE)
    0.35430
  • df
    120.00000
  • t
    1.13215
  • p
    0.44860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97468
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97315
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50748
  • Upside Potential Ratio
    1.67517
  • Upside part of mean
    0.56378
  • Downside part of mean
    -0.39299
  • Upside SD
    0.34168
  • Downside SD
    0.33655
  • N nonnegative terms
    71.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    121.00000
  • Mean of predictor
    0.08059
  • Mean of criterion
    0.17079
  • SD of predictor
    0.14823
  • SD of criterion
    0.47904
  • Covariance
    0.04450
  • r
    0.62673
  • b (slope, estimate of beta)
    2.02539
  • a (intercept, estimate of alpha)
    0.00756
  • Mean Square Error
    0.14051
  • DF error
    119.00000
  • t(b)
    8.77378
  • p(b)
    0.12894
  • t(a)
    0.06327
  • p(a)
    0.49631
  • Lowerbound of 95% confidence interval for beta
    1.56829
  • Upperbound of 95% confidence interval for beta
    2.48249
  • Lowerbound of 95% confidence interval for alpha
    -0.22907
  • Upperbound of 95% confidence interval for alpha
    0.24419
  • Treynor index (mean / b)
    0.08433
  • Jensen alpha (a)
    0.00756
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19203
  • Expected Shortfall on VaR
    0.23641
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05714
  • Expected Shortfall on VaR
    0.12632
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    121.00000
  • Minimum
    0.43184
  • Quartile 1
    0.96658
  • Median
    1.01893
  • Quartile 3
    1.06789
  • Maximum
    2.06528
  • Mean of quarter 1
    0.89545
  • Mean of quarter 2
    1.00029
  • Mean of quarter 3
    1.04255
  • Mean of quarter 4
    1.17097
  • Inter Quartile Range
    0.10131
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02479
  • Mean of outliers low
    0.64918
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05785
  • Mean of outliers high
    1.39138
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52900
  • VaR(95%) (moments method)
    0.10822
  • Expected Shortfall (moments method)
    0.25527
  • Extreme Value Index (regression method)
    0.51726
  • VaR(95%) (regression method)
    0.11047
  • Expected Shortfall (regression method)
    0.25564
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00008
  • Quartile 1
    0.01412
  • Median
    0.03870
  • Quartile 3
    0.11044
  • Maximum
    0.56816
  • Mean of quarter 1
    0.00323
  • Mean of quarter 2
    0.02900
  • Mean of quarter 3
    0.06627
  • Mean of quarter 4
    0.35189
  • Inter Quartile Range
    0.09633
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    0.45061
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.63414
  • VaR(95%) (moments method)
    0.36736
  • Expected Shortfall (moments method)
    0.38137
  • Extreme Value Index (regression method)
    -0.58854
  • VaR(95%) (regression method)
    0.52116
  • Expected Shortfall (regression method)
    0.60699
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63624
  • Compounded annual return (geometric extrapolation)
    0.21982
  • Calmar ratio (compounded annual return / max draw down)
    0.38689
  • Compounded annual return / average of 25% largest draw downs
    0.62468
  • Compounded annual return / Expected Shortfall lognormal
    0.92981
  • 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
    0.29320
  • SD
    0.49831
  • Sharpe ratio (Glass type estimate)
    0.58840
  • Sharpe ratio (Hedges UMVUE)
    0.58823
  • df
    2647.00000
  • t
    1.87059
  • p
    0.03076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02848
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20494
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90416
  • Upside Potential Ratio
    6.50389
  • Upside part of mean
    2.10908
  • Downside part of mean
    -1.81588
  • Upside SD
    0.37866
  • Downside SD
    0.32428
  • N nonnegative terms
    1406.00000
  • N negative terms
    1242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2648.00000
  • Mean of predictor
    0.09656
  • Mean of criterion
    0.29320
  • SD of predictor
    0.17868
  • SD of criterion
    0.49831
  • Covariance
    0.02882
  • r
    0.32364
  • b (slope, estimate of beta)
    0.90257
  • a (intercept, estimate of alpha)
    0.20600
  • Mean Square Error
    0.22238
  • DF error
    2646.00000
  • t(b)
    17.59470
  • p(b)
    0.00000
  • t(a)
    1.38830
  • p(a)
    0.08258
  • Lowerbound of 95% confidence interval for beta
    0.80198
  • Upperbound of 95% confidence interval for beta
    1.00315
  • Lowerbound of 95% confidence interval for alpha
    -0.08498
  • Upperbound of 95% confidence interval for alpha
    0.49708
  • Treynor index (mean / b)
    0.32485
  • Jensen alpha (a)
    0.20605
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17089
  • SD
    0.49530
  • Sharpe ratio (Glass type estimate)
    0.34503
  • Sharpe ratio (Hedges UMVUE)
    0.34493
  • df
    2647.00000
  • t
    1.09690
  • p
    0.13639
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96159
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96151
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47764
  • Upside Potential Ratio
    5.71945
  • Upside part of mean
    2.04635
  • Downside part of mean
    -1.87545
  • Upside SD
    0.34253
  • Downside SD
    0.35779
  • N nonnegative terms
    1406.00000
  • N negative terms
    1242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2648.00000
  • Mean of predictor
    0.08051
  • Mean of criterion
    0.17089
  • SD of predictor
    0.17930
  • SD of criterion
    0.49530
  • Covariance
    0.02919
  • r
    0.32869
  • b (slope, estimate of beta)
    0.90795
  • a (intercept, estimate of alpha)
    0.09779
  • Mean Square Error
    0.21890
  • DF error
    2646.00000
  • t(b)
    17.90220
  • p(b)
    0.00000
  • t(a)
    0.66424
  • p(a)
    0.25330
  • Lowerbound of 95% confidence interval for beta
    0.80850
  • Upperbound of 95% confidence interval for beta
    1.00739
  • Lowerbound of 95% confidence interval for alpha
    -0.19089
  • Upperbound of 95% confidence interval for alpha
    0.38648
  • Treynor index (mean / b)
    0.18822
  • Jensen alpha (a)
    0.09779
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04847
  • Expected Shortfall on VaR
    0.06049
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01486
  • Expected Shortfall on VaR
    0.03309
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2648.00000
  • Minimum
    0.61207
  • Quartile 1
    0.99347
  • Median
    1.00068
  • Quartile 3
    1.00881
  • Maximum
    1.59635
  • Mean of quarter 1
    0.97484
  • Mean of quarter 2
    0.99769
  • Mean of quarter 3
    1.00405
  • Mean of quarter 4
    1.02833
  • Inter Quartile Range
    0.01533
  • Number outliers low
    150.00000
  • Percentage of outliers low
    0.05665
  • Mean of outliers low
    0.93920
  • Number of outliers high
    162.00000
  • Percentage of outliers high
    0.06118
  • Mean of outliers high
    1.06456
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47244
  • VaR(95%) (moments method)
    0.02276
  • Expected Shortfall (moments method)
    0.05005
  • Extreme Value Index (regression method)
    0.37276
  • VaR(95%) (regression method)
    0.02135
  • Expected Shortfall (regression method)
    0.04088
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    107.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00282
  • Median
    0.01251
  • Quartile 3
    0.03152
  • Maximum
    0.60332
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.00633
  • Mean of quarter 3
    0.02162
  • Mean of quarter 4
    0.15690
  • Inter Quartile Range
    0.02870
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.14953
  • Mean of outliers high
    0.22988
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59185
  • VaR(95%) (moments method)
    0.13893
  • Expected Shortfall (moments method)
    0.39268
  • Extreme Value Index (regression method)
    0.48694
  • VaR(95%) (regression method)
    0.14860
  • Expected Shortfall (regression method)
    0.35125
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63894
  • Compounded annual return (geometric extrapolation)
    0.21994
  • Calmar ratio (compounded annual return / max draw down)
    0.36455
  • Compounded annual return / average of 25% largest draw downs
    1.40176
  • Compounded annual return / Expected Shortfall lognormal
    3.63567
  • 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
    0.85201
  • SD
    0.26687
  • Sharpe ratio (Glass type estimate)
    3.19259
  • Sharpe ratio (Hedges UMVUE)
    3.17414
  • df
    130.00000
  • t
    2.25750
  • p
    0.40289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.98546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.97266
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.14228
  • Upside Potential Ratio
    13.53270
  • Upside part of mean
    1.87717
  • Downside part of mean
    -1.02515
  • Upside SD
    0.23282
  • Downside SD
    0.13871
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32872
  • Mean of criterion
    0.85201
  • SD of predictor
    0.12041
  • SD of criterion
    0.26687
  • Covariance
    0.01750
  • r
    0.54448
  • b (slope, estimate of beta)
    1.20675
  • a (intercept, estimate of alpha)
    0.45533
  • Mean Square Error
    0.05050
  • DF error
    129.00000
  • t(b)
    7.37269
  • p(b)
    0.17136
  • t(a)
    1.41269
  • p(a)
    0.42162
  • Lowerbound of 95% confidence interval for beta
    0.88291
  • Upperbound of 95% confidence interval for beta
    1.53059
  • Lowerbound of 95% confidence interval for alpha
    -0.18238
  • Upperbound of 95% confidence interval for alpha
    1.09304
  • Treynor index (mean / b)
    0.70604
  • Jensen alpha (a)
    0.45533
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81581
  • SD
    0.26390
  • Sharpe ratio (Glass type estimate)
    3.09141
  • Sharpe ratio (Hedges UMVUE)
    3.07354
  • df
    130.00000
  • t
    2.18596
  • p
    0.40585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28852
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.88273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.87041
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.80697
  • Upside Potential Ratio
    13.17290
  • Upside part of mean
    1.85064
  • Downside part of mean
    -1.03483
  • Upside SD
    0.22784
  • Downside SD
    0.14049
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32130
  • Mean of criterion
    0.81581
  • SD of predictor
    0.12028
  • SD of criterion
    0.26390
  • Covariance
    0.01737
  • r
    0.54723
  • b (slope, estimate of beta)
    1.20067
  • a (intercept, estimate of alpha)
    0.43003
  • Mean Square Error
    0.04916
  • DF error
    129.00000
  • t(b)
    7.42591
  • p(b)
    0.16989
  • t(a)
    1.35294
  • p(a)
    0.42487
  • VAR (95 Confidence Intrvl)
    0.04800
  • Lowerbound of 95% confidence interval for beta
    0.88077
  • Upperbound of 95% confidence interval for beta
    1.52057
  • Lowerbound of 95% confidence interval for alpha
    -0.19884
  • Upperbound of 95% confidence interval for alpha
    1.05890
  • Treynor index (mean / b)
    0.67946
  • Jensen alpha (a)
    0.43003
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02342
  • Expected Shortfall on VaR
    0.03004
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00808
  • Expected Shortfall on VaR
    0.01671
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96104
  • Quartile 1
    0.99593
  • Median
    1.00162
  • Quartile 3
    1.00931
  • Maximum
    1.06513
  • Mean of quarter 1
    0.98577
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00509
  • Mean of quarter 4
    1.02347
  • Inter Quartile Range
    0.01338
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96910
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.05414
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11264
  • VaR(95%) (moments method)
    0.01134
  • Expected Shortfall (moments method)
    0.01508
  • Extreme Value Index (regression method)
    -0.09198
  • VaR(95%) (regression method)
    0.01394
  • Expected Shortfall (regression method)
    0.01913
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00114
  • Quartile 1
    0.00600
  • Median
    0.00910
  • Quartile 3
    0.04141
  • Maximum
    0.15556
  • Mean of quarter 1
    0.00304
  • Mean of quarter 2
    0.00741
  • Mean of quarter 3
    0.02627
  • Mean of quarter 4
    0.09303
  • Inter Quartile Range
    0.03541
  • 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
    0.08333
  • Mean of outliers high
    0.15556
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12571
  • VaR(95%) (moments method)
    0.09995
  • Expected Shortfall (moments method)
    0.14418
  • Extreme Value Index (regression method)
    2.14317
  • VaR(95%) (regression method)
    0.15708
  • 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?
    -372440000
  • Max Equity Drawdown (num days)
    22
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.04959
  • Compounded annual return (geometric extrapolation)
    1.32499
  • Calmar ratio (compounded annual return / max draw down)
    8.51777
  • Compounded annual return / average of 25% largest draw downs
    14.24240
  • Compounded annual return / Expected Shortfall lognormal
    44.11190

Strategy Description

The Volatility Chameleon

In addition to the ability to change color to blend with their surroundings, chameleons’ eyes work independently of one and other, allowing them to see multiple directions at the same time, thus providing them with 360 Degree vision.

As it namesake implies, The Volatility Chameleon will shift with market conditions in an effort to get the best possible returns, engaging in trades that work in different directions, and multiple time frames, simultaneously.

The portfolio will achieve Long and Short positions in Index and Equity positions by taking Long Call or Long Put positions. The system will not take Naked, or Short, Option positions. The system will not ‘borrow’ to hold Short positions.

The system will trade a minimum of two contracts per position, and all trades will be multiples of two, such that the system can be easily scaled and followed by subscribers with a wide range of trading capital.

Trades will be predominantly weeks to months, with some trades lasting only a few days. The system will open and close some trades within a given trading day, but not commonly.

We will not be ‘scalping’, so you could trade the signals manually, or take advantage of the convenience of AutoTrade.

Due to the leverage involved, all options trading is volatile. Options trading is risky, and is not for everyone. If you feel that you will not be able to tolerate the draw downs typical to options trading, then this portfolio is probably not for you.

It should be understood that this is an aggressive portfolio. As a result, this portfolio may experience considerable volatility, despite taking on trades with favorable probabilities.

This volatility can be offset by scaling the system, such that it is a smaller percentage of your overall portfolio — either by maintaining higher relative levels of Cash, or allotting the system for the aggressive portion of an overall portfolio.

Summary Statistics

Strategy began
2013-10-01
Suggested Minimum Capital
$700,000
Rank at C2 %
Top 5.1%
Rank # 
#41
# Trades
766
# Profitable
521
% Profitable
68.0%
Net Dividends
Correlation S&P500
0.294
Sharpe Ratio
0.47
Sortino Ratio
0.74
Beta
0.94
Alpha
0.06
Leverage
3.60 Average
18.54 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.