Collective2 Collective2
Featured Strategy Cryptoverse Followed by live capital $1.80 million Hypothetical

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VXX Bias
(100707640)

Created by: Jay_Wolberg Jay_Wolberg
Started: 02/2016
Stocks
Last trade: 653 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 $130.00 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.

13.3%
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.

(82.1%)
Max Drawdown
195
Num Trades
38.5%
Win Trades
1.1 : 1
Profit Factor
42.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +3.0%+25.4%+0.5%+19.9%(7%)+34.3%+10.9%(14.9%)(3.4%)+2.6%+7.5%+95.6%
2017+30.9%+4.2%+4.6%+12.6%(12.9%)(17.9%)+6.9%(16.9%)+16.8%+6.5%+6.8%+14.0%+54.5%
2018+8.1%+37.2%+1.4%(0.8%)(3.2%)+5.4%(8.1%)(13.2%)+3.0%+29.2%(14.8%)+21.9%+68.0%
2019(15%)(5.2%)+0.7%+5.7%+9.4%(9.3%)+1.0%(14%)(4.7%)+1.6%(0.1%)(0.1%)(28.6%)
2020+18.8%+1.3%+147.9%(10.5%)+17.5%(30.8%)  -  (0.2%)+1.4%+6.2%(1.6%)(1.8%)+125.2%
2021(17%)(20%)+2.7%+5.4%(11.7%)(0.7%)(10%)+2.9%(8.4%)+1.8%(14.3%)(18.8%)(62.1%)
2022(6.5%)(0.1%)(0.1%)(0.1%)+3.6%(6.5%)+17.2%(2.5%)(5.1%)+3.3%+12.8%+2.7%+17.2%
2023+18.2%(3.7%)(25.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(15.5%)
2024(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(1.3%)

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 213 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1219 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/6/23 9:53 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 10,000 18.56 3/10 13:44 13.40 31.25%
Trade id #143785540
Max drawdown($51,750)
Time3/10/23 13:44
Quant open10,000
Worst price13.38
Drawdown as % of equity-31.25%
 ($51,605)
Includes Typical Broker Commissions trade costs of $5.00
5/26/22 9:36 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 10,000 10.82 2/8/23 11:51 17.20 11.76%
Trade id #140604260
Max drawdown($16,800)
Time6/13/22 0:00
Quant open10,000
Worst price9.14
Drawdown as % of equity-11.76%
 $63,795
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:44 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 2,050 62.18 1/20 15:50 57.36 6.94%
Trade id #138815719
Max drawdown($10,147)
Time1/20/22 15:50
Quant open2,050
Worst price57.23
Drawdown as % of equity-6.94%
 ($9,886)
Includes Typical Broker Commissions trade costs of $5.00
12/7/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 2,842 55.79 12/20 10:33 53.78 4.22%
Trade id #138497786
Max drawdown($6,877)
Time12/20/21 9:52
Quant open2,842
Worst price53.37
Drawdown as % of equity-4.22%
 ($5,717)
Includes Typical Broker Commissions trade costs of $5.00
12/1/21 15:32 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 7,100 26.26 12/7 15:58 23.09 13.32%
Trade id #138420402
Max drawdown($25,986)
Time12/7/21 12:52
Quant open7,100
Worst price22.60
Drawdown as % of equity-13.32%
 ($22,512)
Includes Typical Broker Commissions trade costs of $5.00
11/30/21 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 4,014 25.22 12/1 9:30 23.63 3.29%
Trade id #138402163
Max drawdown($6,583)
Time12/1/21 0:00
Quant open4,014
Worst price23.58
Drawdown as % of equity-3.29%
 ($6,387)
Includes Typical Broker Commissions trade costs of $5.00
11/29/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,300 58.12 11/30 10:54 55.12 4.96%
Trade id #138382809
Max drawdown($9,933)
Time11/30/21 10:54
Quant open3,300
Worst price55.11
Drawdown as % of equity-4.96%
 ($9,905)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,506 55.75 11/26 15:58 55.15 3.42%
Trade id #137699184
Max drawdown($7,643)
Time11/26/21 12:59
Quant open3,506
Worst price53.57
Drawdown as % of equity-3.42%
 ($2,109)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 10:11 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 10,000 27.97 10/6 13:40 27.53 1.94%
Trade id #137691277
Max drawdown($3,960)
Time10/6/21 13:39
Quant open4,000
Worst price26.98
Drawdown as % of equity-1.94%
 ($4,388)
Includes Typical Broker Commissions trade costs of $7.50
10/5/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,634 55.65 10/6 10:10 53.95 3.17%
Trade id #137679105
Max drawdown($6,722)
Time10/6/21 10:06
Quant open3,634
Worst price53.80
Drawdown as % of equity-3.17%
 ($6,183)
Includes Typical Broker Commissions trade costs of $5.00
9/28/21 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 4,377 27.37 10/5 15:58 26.49 2.67%
Trade id #137569786
Max drawdown($5,821)
Time10/5/21 14:48
Quant open4,377
Worst price26.04
Drawdown as % of equity-2.67%
 ($3,857)
Includes Typical Broker Commissions trade costs of $5.00
9/23/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,760 57.29 9/28 10:20 54.60 4.52%
Trade id #137505918
Max drawdown($10,309)
Time9/28/21 10:20
Quant open3,760
Worst price54.55
Drawdown as % of equity-4.52%
 ($10,119)
Includes Typical Broker Commissions trade costs of $5.00
9/17/21 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 4,577 26.57 9/23 15:58 25.34 2.58%
Trade id #137422553
Max drawdown($6,018)
Time9/23/21 15:28
Quant open4,577
Worst price25.25
Drawdown as % of equity-2.58%
 ($5,635)
Includes Typical Broker Commissions trade costs of $5.00
8/20/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,969 55.67 9/17 15:56 56.36 0.03%
Trade id #137061779
Max drawdown($79)
Time8/26/21 0:00
Quant open3,969
Worst price55.65
Drawdown as % of equity-0.03%
 $2,734
Includes Typical Broker Commissions trade costs of $5.00
8/18/21 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 4,423 28.98 8/20 15:58 27.66 2.73%
Trade id #137025251
Max drawdown($6,391)
Time8/20/21 15:48
Quant open4,423
Worst price27.53
Drawdown as % of equity-2.73%
 ($5,806)
Includes Typical Broker Commissions trade costs of $5.00
7/26/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,080 53.94 8/18 15:56 54.71 3.68%
Trade id #136684115
Max drawdown($8,568)
Time7/27/21 0:00
Quant open4,080
Worst price51.84
Drawdown as % of equity-3.68%
 $3,137
Includes Typical Broker Commissions trade costs of $5.00
7/26/21 9:46 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 4,100 30.73 7/26 15:58 30.14 1.25%
Trade id #136675767
Max drawdown($2,952)
Time7/26/21 15:54
Quant open4,100
Worst price30.01
Drawdown as % of equity-1.25%
 ($2,445)
Includes Typical Broker Commissions trade costs of $5.00
7/23/21 9:35 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,100 54.11 7/26 9:30 53.41 1.32%
Trade id #136648560
Max drawdown($3,107)
Time7/26/21 9:30
Quant open4,100
Worst price53.35
Drawdown as % of equity-1.32%
 ($2,875)
Includes Typical Broker Commissions trade costs of $5.00
7/23/21 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 4,100 29.81 7/23 9:33 29.95 n/a $573
Includes Typical Broker Commissions trade costs of $5.00
7/20/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,192 52.55 7/22 15:58 53.65 n/a $4,626
Includes Typical Broker Commissions trade costs of $5.00
7/19/21 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,612 34.92 7/20 10:22 32.85 3.13%
Trade id #136565069
Max drawdown($7,508)
Time7/20/21 10:22
Quant open3,612
Worst price32.84
Drawdown as % of equity-3.13%
 ($7,478)
Includes Typical Broker Commissions trade costs of $5.00
6/22/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,380 54.26 7/19 10:00 51.58 4.77%
Trade id #136165996
Max drawdown($12,008)
Time7/19/21 10:00
Quant open4,380
Worst price51.52
Drawdown as % of equity-4.77%
 ($11,735)
Includes Typical Broker Commissions trade costs of $5.00
6/18/21 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,982 34.02 6/22 10:16 32.02 3.16%
Trade id #136123731
Max drawdown($8,041)
Time6/22/21 10:16
Quant open3,982
Worst price32.00
Drawdown as % of equity-3.16%
 ($7,967)
Includes Typical Broker Commissions trade costs of $5.00
5/20/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,732 48.43 6/18 15:58 52.01 n/a $16,946
Includes Typical Broker Commissions trade costs of $5.00
5/14/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,883 49.59 5/19 9:30 46.63 6.17%
Trade id #135627889
Max drawdown($15,637)
Time5/19/21 9:30
Quant open4,883
Worst price46.39
Drawdown as % of equity-6.17%
 ($14,484)
Includes Typical Broker Commissions trade costs of $5.00
5/12/21 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,803 48.46 5/13 9:30 45.65 3.34%
Trade id #135584161
Max drawdown($9,609)
Time5/13/21 0:00
Quant open2,803
Worst price45.03
Drawdown as % of equity-3.34%
 ($7,886)
Includes Typical Broker Commissions trade costs of $5.00
3/19/21 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,583 44.78 5/12 13:49 44.81 2.37%
Trade id #134741430
Max drawdown($6,306)
Time3/25/21 0:00
Quant open5,583
Worst price43.65
Drawdown as % of equity-2.37%
 $180
Includes Typical Broker Commissions trade costs of $5.00
3/19/21 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 12,855 13.20 3/19 15:58 12.75 2.32%
Trade id #134729170
Max drawdown($6,427)
Time3/19/21 13:31
Quant open12,855
Worst price12.70
Drawdown as % of equity-2.32%
 ($5,781)
Includes Typical Broker Commissions trade costs of $5.00
3/8/21 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 5,877 41.33 3/18 15:58 43.92 1.22%
Trade id #134480631
Max drawdown($3,114)
Time3/8/21 9:36
Quant open5,877
Worst price40.80
Drawdown as % of equity-1.22%
 $15,213
Includes Typical Broker Commissions trade costs of $5.00
3/4/21 15:58 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 10,212 16.30 3/5 14:29 15.34 3.73%
Trade id #134429630
Max drawdown($9,913)
Time3/5/21 14:29
Quant open10,212
Worst price15.33
Drawdown as % of equity-3.73%
 ($9,788)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    2/19/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    3229.05
  • Age
    108 months ago
  • What it trades
    Stocks
  • # Trades
    195
  • # Profitable
    75
  • % Profitable
    38.50%
  • Avg trade duration
    10.9 days
  • Max peak-to-valley drawdown
    82.09%
  • drawdown period
    March 18, 2020 - June 16, 2022
  • Annual Return (Compounded)
    13.3%
  • Avg win
    $15,632
  • Avg loss
    $8,765
  • Model Account Values (Raw)
  • Cash
    $170,570
  • Margin Used
    $0
  • Buying Power
    $170,570
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    0.39
  • Sortino Ratio
    0.59
  • Calmar Ratio
    0.254
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.26%
  • Correlation to SP500
    -0.13630
  • Return Percent SP500 (cumu) during strategy life
    209.26%
  • Return Statistics
  • Ann Return (w trading costs)
    13.3%
  • Slump
  • Current Slump as Pcnt Equity
    372.70%
  • 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)
    0.133%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.00%
  • Chance of 20% account loss
    60.50%
  • Chance of 30% account loss
    46.00%
  • Chance of 40% account loss
    29.00%
  • Chance of 60% account loss (Monte Carlo)
    7.00%
  • Chance of 70% account loss (Monte Carlo)
    2.50%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
    18.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    456
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    242
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $8,766
  • Avg Win
    $15,633
  • Sum Trade PL (losers)
    $1,051,880.000
  • Age
  • Num Months filled monthly returns table
    107
  • Win / Loss
  • Sum Trade PL (winners)
    $1,172,450.000
  • # Winners
    75
  • Num Months Winners
    45
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    120
  • % Winners
    38.5%
  • Frequency
  • Avg Position Time (mins)
    15723.70
  • Avg Position Time (hrs)
    262.06
  • Avg Trade Length
    10.9 days
  • Last Trade Ago
    653
  • Leverage
  • Daily leverage (average)
    0.87
  • Daily leverage (max)
    2.01
  • Regression
  • Alpha
    0.06
  • Beta
    -0.28
  • Treynor Index
    -0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    43.62
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    38.71
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.14
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -230.906
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.412
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.251
  • Hold-and-Hope Ratio
    -0.004
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32107
  • SD
    0.66074
  • Sharpe ratio (Glass type estimate)
    0.48593
  • Sharpe ratio (Hedges UMVUE)
    0.48131
  • df
    79.00000
  • t
    1.25468
  • p
    0.10665
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27842
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28149
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24410
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13435
  • Upside Potential Ratio
    3.00301
  • Upside part of mean
    0.84999
  • Downside part of mean
    -0.52892
  • Upside SD
    0.59966
  • Downside SD
    0.28305
  • N nonnegative terms
    41.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.16201
  • Mean of criterion
    0.32107
  • SD of predictor
    0.21331
  • SD of criterion
    0.66074
  • Covariance
    -0.04920
  • r
    -0.34909
  • b (slope, estimate of beta)
    -1.08136
  • a (intercept, estimate of alpha)
    0.49627
  • Mean Square Error
    0.38828
  • DF error
    78.00000
  • t(b)
    -3.29012
  • p(b)
    0.99925
  • t(a)
    2.00804
  • p(a)
    0.02405
  • Lowerbound of 95% confidence interval for beta
    -1.73569
  • Upperbound of 95% confidence interval for beta
    -0.42703
  • Lowerbound of 95% confidence interval for alpha
    0.00425
  • Upperbound of 95% confidence interval for alpha
    0.98828
  • Treynor index (mean / b)
    -0.29692
  • Jensen alpha (a)
    0.49627
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15344
  • SD
    0.55006
  • Sharpe ratio (Glass type estimate)
    0.27895
  • Sharpe ratio (Hedges UMVUE)
    0.27629
  • df
    79.00000
  • t
    0.72024
  • p
    0.23675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48226
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03660
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48935
  • Upside Potential Ratio
    2.31836
  • Upside part of mean
    0.72693
  • Downside part of mean
    -0.57349
  • Upside SD
    0.44992
  • Downside SD
    0.31355
  • N nonnegative terms
    41.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.13765
  • Mean of criterion
    0.15344
  • SD of predictor
    0.21866
  • SD of criterion
    0.55006
  • Covariance
    -0.03597
  • r
    -0.29903
  • b (slope, estimate of beta)
    -0.75225
  • a (intercept, estimate of alpha)
    0.25699
  • Mean Square Error
    0.27904
  • DF error
    78.00000
  • t(b)
    -2.76760
  • p(b)
    0.99647
  • t(a)
    1.23562
  • p(a)
    0.11016
  • Lowerbound of 95% confidence interval for beta
    -1.29338
  • Upperbound of 95% confidence interval for beta
    -0.21113
  • Lowerbound of 95% confidence interval for alpha
    -0.15707
  • Upperbound of 95% confidence interval for alpha
    0.67104
  • Treynor index (mean / b)
    -0.20397
  • Jensen alpha (a)
    0.25699
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21995
  • Expected Shortfall on VaR
    0.26879
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10089
  • Expected Shortfall on VaR
    0.18714
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.69688
  • Quartile 1
    0.92568
  • Median
    1.00614
  • Quartile 3
    1.08961
  • Maximum
    2.22719
  • Mean of quarter 1
    0.85372
  • Mean of quarter 2
    0.97479
  • Mean of quarter 3
    1.03806
  • Mean of quarter 4
    1.24976
  • Inter Quartile Range
    0.16393
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02500
  • Mean of outliers high
    1.82210
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22103
  • VaR(95%) (moments method)
    0.15253
  • Expected Shortfall (moments method)
    0.18449
  • Extreme Value Index (regression method)
    0.09684
  • VaR(95%) (regression method)
    0.15540
  • Expected Shortfall (regression method)
    0.21187
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.05990
  • Quartile 1
    0.18855
  • Median
    0.21468
  • Quartile 3
    0.34662
  • Maximum
    0.72420
  • Mean of quarter 1
    0.12208
  • Mean of quarter 2
    0.20377
  • Mean of quarter 3
    0.28646
  • Mean of quarter 4
    0.56549
  • Inter Quartile Range
    0.15807
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.72420
  • 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)
    0.35250
  • Compounded annual return (geometric extrapolation)
    0.19883
  • Calmar ratio (compounded annual return / max draw down)
    0.27455
  • Compounded annual return / average of 25% largest draw downs
    0.35160
  • Compounded annual return / Expected Shortfall lognormal
    0.73971
  • 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
    0.23142
  • SD
    0.39918
  • Sharpe ratio (Glass type estimate)
    0.57974
  • Sharpe ratio (Hedges UMVUE)
    0.57949
  • df
    1750.00000
  • t
    1.49874
  • p
    0.48210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17872
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33789
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89863
  • Upside Potential Ratio
    7.82752
  • Upside part of mean
    2.01581
  • Downside part of mean
    -1.78439
  • Upside SD
    0.30519
  • Downside SD
    0.25753
  • N nonnegative terms
    812.00000
  • N negative terms
    939.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1751.00000
  • Mean of predictor
    0.16174
  • Mean of criterion
    0.23142
  • SD of predictor
    0.20291
  • SD of criterion
    0.39918
  • Covariance
    -0.00951
  • r
    -0.11742
  • b (slope, estimate of beta)
    -0.23099
  • a (intercept, estimate of alpha)
    0.26900
  • Mean Square Error
    0.15724
  • DF error
    1749.00000
  • t(b)
    -4.94464
  • p(b)
    0.57458
  • t(a)
    1.75019
  • p(a)
    0.47339
  • Lowerbound of 95% confidence interval for beta
    -0.32261
  • Upperbound of 95% confidence interval for beta
    -0.13937
  • Lowerbound of 95% confidence interval for alpha
    -0.03242
  • Upperbound of 95% confidence interval for alpha
    0.56999
  • Treynor index (mean / b)
    -1.00188
  • Jensen alpha (a)
    0.26878
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15299
  • SD
    0.39467
  • Sharpe ratio (Glass type estimate)
    0.38764
  • Sharpe ratio (Hedges UMVUE)
    0.38747
  • df
    1750.00000
  • t
    1.00211
  • p
    0.48803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14573
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57524
  • Upside Potential Ratio
    7.41392
  • Upside part of mean
    1.97179
  • Downside part of mean
    -1.81880
  • Upside SD
    0.29160
  • Downside SD
    0.26596
  • N nonnegative terms
    812.00000
  • N negative terms
    939.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1751.00000
  • Mean of predictor
    0.14102
  • Mean of criterion
    0.15299
  • SD of predictor
    0.20356
  • SD of criterion
    0.39467
  • Covariance
    -0.00920
  • r
    -0.11453
  • b (slope, estimate of beta)
    -0.22206
  • a (intercept, estimate of alpha)
    0.18430
  • Mean Square Error
    0.15381
  • DF error
    1749.00000
  • t(b)
    -4.82159
  • p(b)
    0.57275
  • t(a)
    1.21378
  • p(a)
    0.48153
  • Lowerbound of 95% confidence interval for beta
    -0.31239
  • Upperbound of 95% confidence interval for beta
    -0.13173
  • Lowerbound of 95% confidence interval for alpha
    -0.11351
  • Upperbound of 95% confidence interval for alpha
    0.48212
  • Treynor index (mean / b)
    -0.68895
  • Jensen alpha (a)
    0.18430
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03875
  • Expected Shortfall on VaR
    0.04846
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01623
  • Expected Shortfall on VaR
    0.03332
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1751.00000
  • Minimum
    0.84409
  • Quartile 1
    0.99287
  • Median
    1.00000
  • Quartile 3
    1.00921
  • Maximum
    1.23269
  • Mean of quarter 1
    0.97495
  • Mean of quarter 2
    0.99805
  • Mean of quarter 3
    1.00389
  • Mean of quarter 4
    1.02707
  • Inter Quartile Range
    0.01634
  • Number outliers low
    110.00000
  • Percentage of outliers low
    0.06282
  • Mean of outliers low
    0.94922
  • Number of outliers high
    88.00000
  • Percentage of outliers high
    0.05026
  • Mean of outliers high
    1.06445
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14173
  • VaR(95%) (moments method)
    0.02061
  • Expected Shortfall (moments method)
    0.03152
  • Extreme Value Index (regression method)
    0.06217
  • VaR(95%) (regression method)
    0.02261
  • Expected Shortfall (regression method)
    0.03338
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00977
  • Median
    0.02666
  • Quartile 3
    0.06483
  • Maximum
    0.77953
  • Mean of quarter 1
    0.00395
  • Mean of quarter 2
    0.01847
  • Mean of quarter 3
    0.04756
  • Mean of quarter 4
    0.31248
  • Inter Quartile Range
    0.05505
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.21622
  • Mean of outliers high
    0.33762
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.51599
  • VaR(95%) (moments method)
    0.20363
  • Expected Shortfall (moments method)
    0.21199
  • Extreme Value Index (regression method)
    -0.00524
  • VaR(95%) (regression method)
    0.39309
  • Expected Shortfall (regression method)
    0.58886
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35163
  • Compounded annual return (geometric extrapolation)
    0.19829
  • Calmar ratio (compounded annual return / max draw down)
    0.25437
  • Compounded annual return / average of 25% largest draw downs
    0.63457
  • Compounded annual return / Expected Shortfall lognormal
    4.09212
  • 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
    -0.19426
  • SD
    0.28939
  • Sharpe ratio (Glass type estimate)
    -0.67127
  • Sharpe ratio (Hedges UMVUE)
    -0.66739
  • df
    130.00000
  • t
    -0.47466
  • p
    0.52080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.44307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10295
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.44038
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10560
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78792
  • Upside Potential Ratio
    2.35609
  • Upside part of mean
    0.58089
  • Downside part of mean
    -0.77515
  • Upside SD
    0.14989
  • Downside SD
    0.24655
  • N nonnegative terms
    15.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.80807
  • Mean of criterion
    -0.19426
  • SD of predictor
    0.24121
  • SD of criterion
    0.28939
  • Covariance
    0.01576
  • r
    0.22572
  • b (slope, estimate of beta)
    0.27081
  • a (intercept, estimate of alpha)
    -0.41309
  • Mean Square Error
    0.08010
  • DF error
    129.00000
  • t(b)
    2.63164
  • p(b)
    0.35753
  • t(a)
    -1.01053
  • p(a)
    0.55634
  • Lowerbound of 95% confidence interval for beta
    0.06721
  • Upperbound of 95% confidence interval for beta
    0.47441
  • Lowerbound of 95% confidence interval for alpha
    -1.22189
  • Upperbound of 95% confidence interval for alpha
    0.39570
  • Treynor index (mean / b)
    -0.71733
  • Jensen alpha (a)
    -0.41309
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.23850
  • SD
    0.30317
  • Sharpe ratio (Glass type estimate)
    -0.78668
  • Sharpe ratio (Hedges UMVUE)
    -0.78213
  • df
    130.00000
  • t
    -0.55627
  • p
    0.52436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.55869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98822
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.55557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99130
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90049
  • Upside Potential Ratio
    2.15210
  • Upside part of mean
    0.56999
  • Downside part of mean
    -0.80849
  • Upside SD
    0.14588
  • Downside SD
    0.26486
  • N nonnegative terms
    15.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.77817
  • Mean of criterion
    -0.23850
  • SD of predictor
    0.23976
  • SD of criterion
    0.30317
  • Covariance
    0.01614
  • r
    0.22198
  • b (slope, estimate of beta)
    0.28069
  • a (intercept, estimate of alpha)
    -0.45692
  • Mean Square Error
    0.08806
  • DF error
    129.00000
  • t(b)
    2.58572
  • p(b)
    0.35985
  • t(a)
    -1.06736
  • p(a)
    0.55948
  • VAR (95 Confidence Intrvl)
    0.03900
  • Lowerbound of 95% confidence interval for beta
    0.06591
  • Upperbound of 95% confidence interval for beta
    0.49546
  • Lowerbound of 95% confidence interval for alpha
    -1.30390
  • Upperbound of 95% confidence interval for alpha
    0.39006
  • Treynor index (mean / b)
    -0.84969
  • Jensen alpha (a)
    -0.45692
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03122
  • Expected Shortfall on VaR
    0.03875
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00953
  • Expected Shortfall on VaR
    0.02130
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84409
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06766
  • Mean of quarter 1
    0.98863
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00885
  • Inter Quartile Range
    0.00000
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.97655
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.01947
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.69434
  • VaR(95%) (moments method)
    0.00294
  • Expected Shortfall (moments method)
    0.00411
  • Extreme Value Index (regression method)
    0.53264
  • VaR(95%) (regression method)
    0.00655
  • Expected Shortfall (regression method)
    0.02426
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00071
  • Quartile 1
    0.00397
  • Median
    0.01266
  • Quartile 3
    0.03289
  • Maximum
    0.27327
  • Mean of quarter 1
    0.00204
  • Mean of quarter 2
    0.00574
  • Mean of quarter 3
    0.01958
  • Mean of quarter 4
    0.15530
  • Inter Quartile Range
    0.02892
  • 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
    0.16667
  • Mean of outliers high
    0.27327
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369704000
  • Max Equity Drawdown (num days)
    820
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19988
  • Compounded annual return (geometric extrapolation)
    -0.18990
  • Calmar ratio (compounded annual return / max draw down)
    -0.69489
  • Compounded annual return / average of 25% largest draw downs
    -1.22278
  • Compounded annual return / Expected Shortfall lognormal
    -4.90054

Strategy Description

This strategy utilizes automated buy and sell signals based on our VXX Bias indicator.
The following are the detailed mechanics of this automated trading system:
- Trades will typically be placed at approximately 3:57pm ET if our indicators detect a change in direction.
- Since our VXX Bias values become official at 4:33pm ET, any discrepancies with the official signal will be resolved at the open on the next trading session.
- This strategy makes ~18 trades per year.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-02-19
Suggested Minimum Capital
$15,000
# Trades
195
# Profitable
75
% Profitable
38.5%
Correlation S&P500
-0.136
Sharpe Ratio
0.39
Sortino Ratio
0.59
Beta
-0.28
Alpha
0.06
Leverage
0.87 Average
2.01 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.