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

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Trading Volatility 1
(100314882)

Created by: Jay_Wolberg Jay_Wolberg
Started: 02/2016
Stocks
Last trade: 29 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $80.00 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.

-0.1%
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.

(86.8%)
Max Drawdown
203
Num Trades
39.4%
Win Trades
1.0 : 1
Profit Factor
50.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +11.2%+32.7%+0.9%+20.5%(12.1%)+13.9%+10.8%(22.2%)(3.5%)+11.2%+7.2%+78.3%
2017+29.5%+4.1%+10.9%+12.5%(7.7%)(11.8%)+10.0%(11.3%)+16.3%+8.7%+6.0%+13.8%+103.8%
2018+1.7%(12.3%)(14%)(3.6%)+0.9%(0.5%)+2.6%(3.4%)+3.0%+11.9%(5.4%)+9.9%(11.8%)
2019(12.6%)+1.1%(3%)+5.7%(6.2%)+1.7%+2.9%(14.9%)(2.8%)(6.8%)+8.5%+3.2%(23.2%)
2020+5.2%(9.6%)+149.3%+2.5%+5.4%(13.9%)+7.0%+2.0%(0.5%)(1.1%)+12.0%(1.2%)+162.3%
2021(10.4%)+1.8%+7.3%+5.3%(5.6%)+2.4%(6%)+5.2%(6.6%)+6.7%(13.9%)(1.5%)(16.8%)
2022(6.3%)(4%)(5.1%)  -  (2.7%)(4.1%)+12.8%(4.3%)+0.1%  -  +0.9%(9.6%)(21.6%)
2023(2%)(6.9%)(11.1%)+7.8%(7.3%)(0.1%)+1.0%+0.6%(4.3%)(8.2%)+15.9%+7.7%(9.8%)
2024(8.5%)(10.4%)(6.2%)(20.3%)+4.7%+0.4%+0.3%(36%)(23.6%)(7%)+0.5%(11.2%)(73.8%)

Model Account Details

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

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

System developer has asked us to delay this information by 80 hours.

Trading Record

This strategy has placed 266 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 568 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/13/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,191 29.18 11/15 11:06 27.68 6.09%
Trade id #150080537
Max drawdown($3,394)
Time11/15/24 11:06
Quant open2,191
Worst price27.63
Drawdown as % of equity-6.09%
 ($3,292)
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,268 28.21 11/11 15:58 28.53 1.14%
Trade id #150033299
Max drawdown($635)
Time11/8/24 0:00
Quant open2,268
Worst price27.93
Drawdown as % of equity-1.14%
 $721
Includes Typical Broker Commissions trade costs of $5.00
9/19/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,088 28.16 10/1 15:58 25.11 13.01%
Trade id #149461956
Max drawdown($7,203)
Time10/1/24 12:47
Quant open2,088
Worst price24.71
Drawdown as % of equity-13.01%
 ($6,373)
Includes Typical Broker Commissions trade costs of $5.00
9/13/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,115 27.77 9/17 15:58 26.87 4.25%
Trade id #149391152
Max drawdown($2,728)
Time9/17/24 12:52
Quant open2,115
Worst price26.48
Drawdown as % of equity-4.25%
 ($1,909)
Includes Typical Broker Commissions trade costs of $5.00
8/29/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,253 31.09 9/3 15:58 25.61 18.16%
Trade id #149115354
Max drawdown($14,239)
Time9/3/24 15:47
Quant open2,253
Worst price24.77
Drawdown as % of equity-18.16%
 ($12,351)
Includes Typical Broker Commissions trade costs of $5.00
8/23/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,314 31.35 8/29 9:30 31.08 4.85%
Trade id #149033405
Max drawdown($3,956)
Time8/28/24 0:00
Quant open2,314
Worst price29.64
Drawdown as % of equity-4.85%
 ($630)
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,222 32.65 8/22 15:58 29.41 8.86%
Trade id #148960562
Max drawdown($7,232)
Time8/22/24 15:57
Quant open2,222
Worst price29.39
Drawdown as % of equity-8.86%
 ($7,204)
Includes Typical Broker Commissions trade costs of $5.00
8/14/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,360 30.74 8/15 15:58 31.97 n/a $2,898
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 4,789 21.61 8/6 12:21 16.01 24.34%
Trade id #148835822
Max drawdown($27,010)
Time8/6/24 12:20
Quant open4,789
Worst price15.97
Drawdown as % of equity-24.34%
 ($26,823)
Includes Typical Broker Commissions trade costs of $5.00
7/23/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,227 47.38 7/24 15:58 41.04 11.86%
Trade id #148722867
Max drawdown($14,542)
Time7/24/24 15:55
Quant open2,227
Worst price40.85
Drawdown as % of equity-11.86%
 ($14,124)
Includes Typical Broker Commissions trade costs of $5.00
6/26/24 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,244 47.25 7/17 15:58 47.89 0.27%
Trade id #148503027
Max drawdown($336)
Time6/26/24 11:34
Quant open2,244
Worst price47.10
Drawdown as % of equity-0.27%
 $1,431
Includes Typical Broker Commissions trade costs of $5.00
6/21/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,289 46.46 6/24 15:58 46.40 1.11%
Trade id #148473404
Max drawdown($1,373)
Time6/24/24 9:38
Quant open2,289
Worst price45.86
Drawdown as % of equity-1.11%
 ($142)
Includes Typical Broker Commissions trade costs of $5.00
6/3/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,293 45.55 6/20 15:58 45.45 2.39%
Trade id #148319902
Max drawdown($2,912)
Time6/4/24 0:00
Quant open2,293
Worst price44.28
Drawdown as % of equity-2.39%
 ($234)
Includes Typical Broker Commissions trade costs of $5.00
5/9/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,300 43.49 5/28 15:58 45.85 0.53%
Trade id #148136091
Max drawdown($612)
Time5/14/24 0:00
Quant open2,300
Worst price43.22
Drawdown as % of equity-0.53%
 $5,423
Includes Typical Broker Commissions trade costs of $5.00
5/6/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,341 42.77 5/7 15:58 42.85 0.32%
Trade id #148104320
Max drawdown($376)
Time5/7/24 15:18
Quant open2,341
Worst price42.61
Drawdown as % of equity-0.32%
 $182
Includes Typical Broker Commissions trade costs of $5.00
4/24/24 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,678 39.40 4/25 9:32 37.15 5.02%
Trade id #147995472
Max drawdown($6,147)
Time4/25/24 9:32
Quant open2,678
Worst price37.10
Drawdown as % of equity-5.02%
 ($6,031)
Includes Typical Broker Commissions trade costs of $5.00
4/11/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,973 40.51 4/12 9:30 38.46 4.86%
Trade id #147878914
Max drawdown($6,243)
Time4/12/24 9:30
Quant open2,973
Worst price38.41
Drawdown as % of equity-4.86%
 ($6,100)
Includes Typical Broker Commissions trade costs of $5.00
4/8/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,997 40.14 4/10 13:41 38.18 4.18%
Trade id #147842434
Max drawdown($5,934)
Time4/10/24 13:41
Quant open2,997
Worst price38.16
Drawdown as % of equity-4.18%
 ($5,879)
Includes Typical Broker Commissions trade costs of $5.00
4/4/24 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,925 41.70 4/4 14:59 39.10 5.36%
Trade id #147805266
Max drawdown($7,605)
Time4/4/24 14:59
Quant open2,925
Worst price39.10
Drawdown as % of equity-5.36%
 ($7,610)
Includes Typical Broker Commissions trade costs of $5.00
3/15/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,101 39.33 4/2 15:58 40.90 n/a $4,864
Includes Typical Broker Commissions trade costs of $5.00
3/12/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,987 40.77 3/14 15:32 38.80 4.25%
Trade id #147613377
Max drawdown($6,129)
Time3/14/24 15:32
Quant open2,987
Worst price38.72
Drawdown as % of equity-4.25%
 ($5,889)
Includes Typical Broker Commissions trade costs of $5.00
3/7/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,208 39.58 3/8 13:35 37.67 4.32%
Trade id #147569560
Max drawdown($6,223)
Time3/8/24 13:35
Quant open3,208
Worst price37.64
Drawdown as % of equity-4.32%
 ($6,132)
Includes Typical Broker Commissions trade costs of $5.00
3/1/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,199 41.22 3/5 13:44 39.16 4.38%
Trade id #147517280
Max drawdown($6,589)
Time3/5/24 13:44
Quant open3,199
Worst price39.16
Drawdown as % of equity-4.38%
 ($6,595)
Includes Typical Broker Commissions trade costs of $5.00
2/26/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,282 40.75 2/28 15:58 40.79 0.63%
Trade id #147455148
Max drawdown($984)
Time2/28/24 14:36
Quant open3,282
Worst price40.45
Drawdown as % of equity-0.63%
 $126
Includes Typical Broker Commissions trade costs of $5.00
2/15/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,501 39.16 2/20 12:38 37.15 4.71%
Trade id #147349497
Max drawdown($7,457)
Time2/20/24 12:38
Quant open3,501
Worst price37.03
Drawdown as % of equity-4.71%
 ($7,042)
Includes Typical Broker Commissions trade costs of $5.00
2/9/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,491 40.73 2/13 9:30 38.74 4.62%
Trade id #147278477
Max drawdown($7,715)
Time2/13/24 9:30
Quant open3,491
Worst price38.52
Drawdown as % of equity-4.62%
 ($6,952)
Includes Typical Broker Commissions trade costs of $5.00
2/6/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,581 40.68 2/7 15:58 40.77 0.32%
Trade id #147242195
Max drawdown($537)
Time2/7/24 13:00
Quant open3,581
Worst price40.53
Drawdown as % of equity-0.32%
 $317
Includes Typical Broker Commissions trade costs of $5.00
1/30/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,712 39.94 1/31 10:57 37.93 4.46%
Trade id #147172010
Max drawdown($7,750)
Time1/31/24 10:57
Quant open3,712
Worst price37.85
Drawdown as % of equity-4.46%
 ($7,466)
Includes Typical Broker Commissions trade costs of $5.00
1/23/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,771 41.03 1/29 10:28 38.92 4.88%
Trade id #147106511
Max drawdown($8,711)
Time1/29/24 10:28
Quant open3,771
Worst price38.72
Drawdown as % of equity-4.88%
 ($7,962)
Includes Typical Broker Commissions trade costs of $5.00
1/5/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 4,228 37.50 1/16 15:58 37.61 0.94%
Trade id #146921133
Max drawdown($1,803)
Time1/16/24 14:19
Quant open4,228
Worst price37.07
Drawdown as % of equity-0.94%
 $460
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    2/2/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    3244.94
  • Age
    108 months ago
  • What it trades
    Stocks
  • # Trades
    203
  • # Profitable
    80
  • % Profitable
    39.40%
  • Avg trade duration
    9.8 days
  • Max peak-to-valley drawdown
    86.75%
  • drawdown period
    March 18, 2020 - Dec 18, 2024
  • Annual Return (Compounded)
    -0.1%
  • Avg win
    $9,896
  • Avg loss
    $6,359
  • Model Account Values (Raw)
  • Cash
    $59,408
  • Margin Used
    $0
  • Buying Power
    $59,408
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    0.08
  • Sortino Ratio
    0.11
  • Calmar Ratio
    0.031
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -212.18%
  • Correlation to SP500
    0.04160
  • Return Percent SP500 (cumu) during strategy life
    211.65%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.1%
  • Slump
  • Current Slump as Pcnt Equity
    654.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.001%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.50%
  • Chance of 20% account loss
    82.00%
  • Chance of 30% account loss
    70.00%
  • Chance of 40% account loss
    51.50%
  • Chance of 60% account loss (Monte Carlo)
    22.00%
  • Chance of 70% account loss (Monte Carlo)
    8.00%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • 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
    26.50%
  • Popularity
  • Popularity (Today)
    404
  • Popularity (Last 6 weeks)
    649
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    367
  • Popularity (7 days, Percentile 1000 scale)
    485
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,360
  • Avg Win
    $9,896
  • Sum Trade PL (losers)
    $782,279.000
  • Age
  • Num Months filled monthly returns table
    107
  • Win / Loss
  • Sum Trade PL (winners)
    $791,688.000
  • # Winners
    80
  • Num Months Winners
    54
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    123
  • % Winners
    39.4%
  • Frequency
  • Avg Position Time (mins)
    14099.30
  • Avg Position Time (hrs)
    234.99
  • Avg Trade Length
    9.8 days
  • Last Trade Ago
    29
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    1.16
  • Regression
  • Alpha
    0.01
  • Beta
    0.07
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    76.59
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    20.08
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.50
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -5.618
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    0.301
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.888
  • Hold-and-Hope Ratio
    -0.178
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18501
  • SD
    0.54425
  • Sharpe ratio (Glass type estimate)
    0.33993
  • Sharpe ratio (Hedges UMVUE)
    0.33677
  • df
    81.00000
  • t
    0.88860
  • p
    0.18842
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09050
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08834
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64211
  • Upside Potential Ratio
    2.33490
  • Upside part of mean
    0.67275
  • Downside part of mean
    -0.48774
  • Upside SD
    0.46091
  • Downside SD
    0.28813
  • N nonnegative terms
    38.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.14291
  • Mean of criterion
    0.18501
  • SD of predictor
    0.15545
  • SD of criterion
    0.54425
  • Covariance
    0.00005
  • r
    0.00064
  • b (slope, estimate of beta)
    0.00225
  • a (intercept, estimate of alpha)
    0.18469
  • Mean Square Error
    0.29991
  • DF error
    80.00000
  • t(b)
    0.00575
  • p(b)
    0.49772
  • t(a)
    0.85172
  • p(a)
    0.19846
  • Lowerbound of 95% confidence interval for beta
    -0.77676
  • Upperbound of 95% confidence interval for beta
    0.78126
  • Lowerbound of 95% confidence interval for alpha
    -0.24684
  • Upperbound of 95% confidence interval for alpha
    0.61621
  • Treynor index (mean / b)
    82.24440
  • Jensen alpha (a)
    0.18469
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05417
  • SD
    0.50834
  • Sharpe ratio (Glass type estimate)
    0.10656
  • Sharpe ratio (Hedges UMVUE)
    0.10557
  • df
    81.00000
  • t
    0.27854
  • p
    0.39065
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64371
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85620
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85552
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.15494
  • Upside Potential Ratio
    1.69921
  • Upside part of mean
    0.59405
  • Downside part of mean
    -0.53988
  • Upside SD
    0.36508
  • Downside SD
    0.34960
  • N nonnegative terms
    38.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.12984
  • Mean of criterion
    0.05417
  • SD of predictor
    0.15637
  • SD of criterion
    0.50834
  • Covariance
    -0.00145
  • r
    -0.01827
  • b (slope, estimate of beta)
    -0.05939
  • a (intercept, estimate of alpha)
    0.06188
  • Mean Square Error
    0.26155
  • DF error
    80.00000
  • t(b)
    -0.16342
  • p(b)
    0.56470
  • t(a)
    0.30746
  • p(a)
    0.37965
  • Lowerbound of 95% confidence interval for beta
    -0.78255
  • Upperbound of 95% confidence interval for beta
    0.66378
  • Lowerbound of 95% confidence interval for alpha
    -0.33863
  • Upperbound of 95% confidence interval for alpha
    0.46238
  • Treynor index (mean / b)
    -0.91213
  • Jensen alpha (a)
    0.06188
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21090
  • Expected Shortfall on VaR
    0.25676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09785
  • Expected Shortfall on VaR
    0.18962
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    82.00000
  • Minimum
    0.51076
  • Quartile 1
    0.95595
  • Median
    0.99654
  • Quartile 3
    1.07843
  • Maximum
    1.94578
  • Mean of quarter 1
    0.86925
  • Mean of quarter 2
    0.97610
  • Mean of quarter 3
    1.03201
  • Mean of quarter 4
    1.19232
  • Inter Quartile Range
    0.12247
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02439
  • Mean of outliers low
    0.63392
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01220
  • Mean of outliers high
    1.94578
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24160
  • VaR(95%) (moments method)
    0.11488
  • Expected Shortfall (moments method)
    0.14394
  • Extreme Value Index (regression method)
    0.17627
  • VaR(95%) (regression method)
    0.11692
  • Expected Shortfall (regression method)
    0.17865
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01360
  • Quartile 1
    0.12757
  • Median
    0.20280
  • Quartile 3
    0.30305
  • Maximum
    0.74037
  • Mean of quarter 1
    0.05702
  • Mean of quarter 2
    0.14530
  • Mean of quarter 3
    0.25955
  • Mean of quarter 4
    0.57506
  • Inter Quartile Range
    0.17547
  • 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
    0.12500
  • Mean of outliers high
    0.74037
  • 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)
    0.11007
  • Compounded annual return (geometric extrapolation)
    0.08554
  • Calmar ratio (compounded annual return / max draw down)
    0.11553
  • Compounded annual return / average of 25% largest draw downs
    0.14874
  • Compounded annual return / Expected Shortfall lognormal
    0.33314
  • 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
    0.05779
  • SD
    0.34787
  • Sharpe ratio (Glass type estimate)
    0.16613
  • Sharpe ratio (Hedges UMVUE)
    0.16606
  • df
    1802.00000
  • t
    0.43581
  • p
    0.49487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58103
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91329
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91322
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23376
  • Upside Potential Ratio
    6.12391
  • Upside part of mean
    1.51402
  • Downside part of mean
    -1.45623
  • Upside SD
    0.24462
  • Downside SD
    0.24723
  • N nonnegative terms
    803.00000
  • N negative terms
    1000.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1803.00000
  • Mean of predictor
    0.15881
  • Mean of criterion
    0.05779
  • SD of predictor
    0.20684
  • SD of criterion
    0.34787
  • Covariance
    0.00145
  • r
    0.02011
  • b (slope, estimate of beta)
    0.03381
  • a (intercept, estimate of alpha)
    0.05200
  • Mean Square Error
    0.12104
  • DF error
    1801.00000
  • t(b)
    0.85343
  • p(b)
    0.48720
  • t(a)
    0.39484
  • p(a)
    0.49408
  • Lowerbound of 95% confidence interval for beta
    -0.04390
  • Upperbound of 95% confidence interval for beta
    0.11152
  • Lowerbound of 95% confidence interval for alpha
    -0.20797
  • Upperbound of 95% confidence interval for alpha
    0.31282
  • Treynor index (mean / b)
    1.70908
  • Jensen alpha (a)
    0.05242
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00285
  • SD
    0.34898
  • Sharpe ratio (Glass type estimate)
    -0.00818
  • Sharpe ratio (Hedges UMVUE)
    -0.00817
  • df
    1802.00000
  • t
    -0.02145
  • p
    0.50025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73896
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01102
  • Upside Potential Ratio
    5.73506
  • Upside part of mean
    1.48572
  • Downside part of mean
    -1.48858
  • Upside SD
    0.23368
  • Downside SD
    0.25906
  • N nonnegative terms
    803.00000
  • N negative terms
    1000.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1803.00000
  • Mean of predictor
    0.13727
  • Mean of criterion
    -0.00285
  • SD of predictor
    0.20765
  • SD of criterion
    0.34898
  • Covariance
    0.00191
  • r
    0.02630
  • b (slope, estimate of beta)
    0.04421
  • a (intercept, estimate of alpha)
    -0.00892
  • Mean Square Error
    0.12177
  • DF error
    1801.00000
  • t(b)
    1.11667
  • p(b)
    0.48326
  • t(a)
    -0.06702
  • p(a)
    0.50101
  • Lowerbound of 95% confidence interval for beta
    -0.03344
  • Upperbound of 95% confidence interval for beta
    0.12185
  • Lowerbound of 95% confidence interval for alpha
    -0.27003
  • Upperbound of 95% confidence interval for alpha
    0.25219
  • Treynor index (mean / b)
    -0.06456
  • Jensen alpha (a)
    -0.00892
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03485
  • Expected Shortfall on VaR
    0.04348
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01340
  • Expected Shortfall on VaR
    0.02880
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1803.00000
  • Minimum
    0.80034
  • Quartile 1
    0.99539
  • Median
    1.00000
  • Quartile 3
    1.00693
  • Maximum
    1.19781
  • Mean of quarter 1
    0.97902
  • Mean of quarter 2
    0.99899
  • Mean of quarter 3
    1.00252
  • Mean of quarter 4
    1.02078
  • Inter Quartile Range
    0.01154
  • Number outliers low
    138.00000
  • Percentage of outliers low
    0.07654
  • Mean of outliers low
    0.95652
  • Number of outliers high
    104.00000
  • Percentage of outliers high
    0.05768
  • Mean of outliers high
    1.04530
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43522
  • VaR(95%) (moments method)
    0.01746
  • Expected Shortfall (moments method)
    0.03710
  • Extreme Value Index (regression method)
    0.27773
  • VaR(95%) (regression method)
    0.01756
  • Expected Shortfall (regression method)
    0.03135
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00391
  • Median
    0.02371
  • Quartile 3
    0.06431
  • Maximum
    0.83094
  • Mean of quarter 1
    0.00162
  • Mean of quarter 2
    0.01047
  • Mean of quarter 3
    0.04139
  • Mean of quarter 4
    0.26884
  • Inter Quartile Range
    0.06041
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.42436
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.81898
  • VaR(95%) (moments method)
    0.29513
  • Expected Shortfall (moments method)
    1.72916
  • Extreme Value Index (regression method)
    1.18526
  • VaR(95%) (regression method)
    0.19102
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02734
  • Compounded annual return (geometric extrapolation)
    0.02537
  • Calmar ratio (compounded annual return / max draw down)
    0.03053
  • Compounded annual return / average of 25% largest draw downs
    0.09437
  • Compounded annual return / Expected Shortfall lognormal
    0.58351
  • 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
    -2.29885
  • SD
    0.58332
  • Sharpe ratio (Glass type estimate)
    -3.94101
  • Sharpe ratio (Hedges UMVUE)
    -3.91823
  • df
    130.00000
  • t
    -2.78672
  • p
    0.61871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.74657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.12089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.73066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10581
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.15047
  • Upside Potential Ratio
    2.21016
  • Upside part of mean
    1.22416
  • Downside part of mean
    -3.52301
  • Upside SD
    0.22594
  • Downside SD
    0.55388
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.74882
  • Mean of criterion
    -2.29885
  • SD of predictor
    0.25738
  • SD of criterion
    0.58332
  • Covariance
    0.02971
  • r
    0.19790
  • b (slope, estimate of beta)
    0.44852
  • a (intercept, estimate of alpha)
    -2.63471
  • Mean Square Error
    0.32946
  • DF error
    129.00000
  • t(b)
    2.29312
  • p(b)
    0.37484
  • t(a)
    -3.19417
  • p(a)
    0.67022
  • Lowerbound of 95% confidence interval for beta
    0.06153
  • Upperbound of 95% confidence interval for beta
    0.83550
  • Lowerbound of 95% confidence interval for alpha
    -4.26670
  • Upperbound of 95% confidence interval for alpha
    -1.00272
  • Treynor index (mean / b)
    -5.12545
  • Jensen alpha (a)
    -2.63471
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.49350
  • SD
    0.62187
  • Sharpe ratio (Glass type estimate)
    -4.00968
  • Sharpe ratio (Hedges UMVUE)
    -3.98651
  • df
    130.00000
  • t
    -2.83527
  • p
    0.62066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.81654
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.18800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.80035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17266
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.15939
  • Upside Potential Ratio
    2.00086
  • Upside part of mean
    1.19949
  • Downside part of mean
    -3.69300
  • Upside SD
    0.21935
  • Downside SD
    0.59949
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.71511
  • Mean of criterion
    -2.49350
  • SD of predictor
    0.25599
  • SD of criterion
    0.62187
  • Covariance
    0.03089
  • r
    0.19403
  • b (slope, estimate of beta)
    0.47135
  • a (intercept, estimate of alpha)
    -2.83057
  • Mean Square Error
    0.37505
  • DF error
    129.00000
  • t(b)
    2.24644
  • p(b)
    0.37726
  • t(a)
    -3.22028
  • p(a)
    0.67148
  • VAR (95 Confidence Intrvl)
    0.03500
  • Lowerbound of 95% confidence interval for beta
    0.05621
  • Upperbound of 95% confidence interval for beta
    0.88648
  • Lowerbound of 95% confidence interval for alpha
    -4.56966
  • Upperbound of 95% confidence interval for alpha
    -1.09148
  • Treynor index (mean / b)
    -5.29019
  • Jensen alpha (a)
    -2.83057
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07013
  • Expected Shortfall on VaR
    0.08485
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03933
  • Expected Shortfall on VaR
    0.07995
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80034
  • Quartile 1
    0.98686
  • Median
    0.99968
  • Quartile 3
    1.00020
  • Maximum
    1.09404
  • Mean of quarter 1
    0.95306
  • Mean of quarter 2
    0.99388
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01865
  • Inter Quartile Range
    0.01334
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.90675
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.03946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70606
  • VaR(95%) (moments method)
    0.04946
  • Expected Shortfall (moments method)
    0.17804
  • Extreme Value Index (regression method)
    0.65750
  • VaR(95%) (regression method)
    0.03303
  • Expected Shortfall (regression method)
    0.09075
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00009
  • Quartile 1
    0.17742
  • Median
    0.35475
  • Quartile 3
    0.53209
  • Maximum
    0.70942
  • Mean of quarter 1
    0.00009
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.70942
  • Inter Quartile Range
    0.35467
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -364990000
  • Max Equity Drawdown (num days)
    1736
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.41705
  • Compounded annual return (geometric extrapolation)
    -0.91504
  • Calmar ratio (compounded annual return / max draw down)
    -1.28984
  • Compounded annual return / average of 25% largest draw downs
    -1.28984
  • Compounded annual return / Expected Shortfall lognormal
    -10.78460

Strategy Description

This strategy utilizes automated buy and sell signals based on our VRP VXX Bias indicator.
The following are the detailed mechanics of this automated trading system:
- Trades will typically be placed around 3:57pm ET if our indicators detect a change in direction.
- Since our VRP VXX Bias values become official at 4:33pm ET, any discrepancies with the official signal will try to be resolved at the open on the next trading session.
- This strategy is in 100% cash approximately 30% of the time.
- This strategy makes ~24 trades per year.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-02-02
Suggested Minimum Capital
$15,000
# Trades
203
# Profitable
80
% Profitable
39.4%
Correlation S&P500
0.042
Sharpe Ratio
0.08
Sortino Ratio
0.11
Beta
0.07
Alpha
0.01
Leverage
0.88 Average
1.16 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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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.