Collective2 Collective2
For your consideration SharpeQuant Strategy +28.3% Annual Return (Compounded) since Jun 13, 2025 Hypothetical

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SVXY/VXX/ETFs

By wmwmw

Stocks · Started Jun 2016

hypothetical · Annual Return (Compounded)
97.0%
Max Drawdown
19.8%
Trades
124
Win Trades
56.5%
Profit Factor
1.40
Win Months
2.4%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201626.611.13.1-2.9-9.30.00.027.8
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began6/7/2016
Suggested Minimum Capital$25,000
Age126 months
What it tradesStocks
# Trades124
# Profitable70
% Profitable56.5%
Avg trade duration20.7 hours
Max peak-to-valley drawdown19.8%
drawdown periodAug 15, 2016 - Oct 14, 2016
Cumul. Return28.4%
Avg win$449
Avg loss$412

Ratios

W:L ratio1.41
Sharpe Ratio0.07
Sortino Ratio0.12
Calmar Ratio1.15

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life263.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)27.4%

Return Statistics

Ann Return (w trading costs)97.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.1%

Slump

Current Slump as Pcnt Equity24.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss20.5%
Chance of 20% account loss1.5%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)783
Popularity (Last 6 weeks)977
Popularity (7 days, Percentile 1000 scale)942

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$412
Avg Win$449
# Winners70
Sum Trade PL (losers)$22,227
Sum Trade PL (winners)$31,409
Num Months Winners3
# Losers54
% Winners56.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table125

Frequency

Avg Position Time (mins)1243.05
Avg Position Time (hrs)20.72
Avg Trade Length0.90
Last Trade Ago3665

Regression

Alpha0
Beta0.01
Treynor Index0.26

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.05
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades4.96
MAE:PL (avg, all trades)-1.11
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats91.22
MAE:PL - Winning Trades - this strat Percentile of All Strats85.10
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.52
Avg(MAE) / Avg(PL) - Losing trades-1.21
Hold-and-Hope Ratio0.20

RATIO STATISTICS

Mean1.33
SD0.40
Sharpe ratio (Glass type estimate)3.29
Sharpe ratio (Hedges UMVUE)2.38
df3
t1.90
p0.08
Lowerbound of 95% confidence interval for Sharpe Ratio-1.08
Upperbound of 95% confidence interval for Sharpe Ratio7.35
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.51
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.27
Sortino ratio399.26
Upside Potential Ratio400.99
Upside part of mean1.33
Downside part of mean-0.01
Upside SD0.52
Downside SD0.00
N nonnegative terms3
N negative terms1
N of observations4
Mean of predictor0.07
Mean of criterion1.33
SD of predictor0.06
SD of criterion0.40
Covariance0.00
r0.20
b (slope, estimate of beta)1.44
a (intercept, estimate of alpha)1.23
Mean Square Error0.24
DF error2
t(b)0.29
p(b)0.40
t(a)1.35
p(a)0.15
Lowerbound of 95% confidence interval for beta-19.90
Upperbound of 95% confidence interval for beta22.79
Lowerbound of 95% confidence interval for alpha-2.68
Upperbound of 95% confidence interval for alpha5.14
Treynor index (mean / b)0.92
Jensen alpha (a)1.23
Mean1.21
SD0.36
Sharpe ratio (Glass type estimate)3.33
Sharpe ratio (Hedges UMVUE)2.41
df3
t1.92
p0.08
Lowerbound of 95% confidence interval for Sharpe Ratio-1.06
Upperbound of 95% confidence interval for Sharpe Ratio7.42
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.49
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.32
Sortino ratio363.45
Upside Potential Ratio365.18
Upside part of mean1.22
Downside part of mean-0.01
Upside SD0.47
Downside SD0.00
N nonnegative terms3
N negative terms1
N of observations4
Mean of predictor0.07
Mean of criterion1.21
SD of predictor0.06
SD of criterion0.36
Covariance0.00
r0.22
b (slope, estimate of beta)1.42
a (intercept, estimate of alpha)1.11
Mean Square Error0.19
DF error2
t(b)0.31
p(b)0.39
t(a)1.37
p(a)0.15
Lowerbound of 95% confidence interval for beta-17.95
Upperbound of 95% confidence interval for beta20.78
Lowerbound of 95% confidence interval for alpha-2.38
Upperbound of 95% confidence interval for alpha4.61
Treynor index (mean / b)0.85
Jensen alpha (a)1.11
VaR(95%)0.07
Expected Shortfall on VaR0.11
VaR(95%)0.00
Expected Shortfall on VaR0.00
Mean0.88
SD0.38
Sharpe ratio (Glass type estimate)2.35
Sharpe ratio (Hedges UMVUE)2.33
df130
t1.45
p0.44
Lowerbound of 95% confidence interval for Sharpe Ratio-0.85
Upperbound of 95% confidence interval for Sharpe Ratio5.53
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.86
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.52
Sortino ratio4.02
Upside Potential Ratio11.17
Upside part of mean2.45
Downside part of mean-1.57
Upside SD0.31
Downside SD0.22
N nonnegative terms60
N negative terms71
N of observations131
Mean of predictor0.02
Mean of criterion0.88
SD of predictor0.12
SD of criterion0.38
Covariance0.00
r0.11
b (slope, estimate of beta)0.34
a (intercept, estimate of alpha)0.16
Mean Square Error0.14
DF error129
t(b)1.25
p(b)0.43
t(a)1.44
p(a)0.42
Lowerbound of 95% confidence interval for beta-0.20
Upperbound of 95% confidence interval for beta0.88
Lowerbound of 95% confidence interval for alpha-0.33
Upperbound of 95% confidence interval for alpha2.07
Treynor index (mean / b)2.59
Jensen alpha (a)0.87
Mean0.81
SD0.37
Sharpe ratio (Glass type estimate)2.18
Sharpe ratio (Hedges UMVUE)2.17
df130
t1.35
p0.44
Lowerbound of 95% confidence interval for Sharpe Ratio-1.01
Upperbound of 95% confidence interval for Sharpe Ratio5.36
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.02
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.36
Sortino ratio3.61
Upside Potential Ratio10.72
Upside part of mean2.41
Downside part of mean-1.60
Upside SD0.30
Downside SD0.22
N nonnegative terms60
N negative terms71
N of observations131
Mean of predictor0.02
Mean of criterion0.81
SD of predictor0.12
SD of criterion0.37
Covariance0.01
r0.11
b (slope, estimate of beta)0.35
a (intercept, estimate of alpha)0.81
Mean Square Error0.14
DF error129
t(b)1.30
p(b)0.43
t(a)1.34
p(a)0.43
Lowerbound of 95% confidence interval for beta-0.18
Upperbound of 95% confidence interval for beta0.88
Lowerbound of 95% confidence interval for alpha-0.38
Upperbound of 95% confidence interval for alpha2.00
Treynor index (mean / b)2.32
Jensen alpha (a)0.81
VaR(95%)0.03
Expected Shortfall on VaR0.04
VaR(95%)0.01
Expected Shortfall on VaR0.02
VAR (95 Confidence Intrvl)0.02

ORDER STATISTICS

Number of observations4
Minimum1.00
Quartile 11.02
Median1.10
Quartile 31.19
Maximum1.24
Mean of quarter 11.00
Mean of quarter 21.03
Mean of quarter 31.18
Mean of quarter 41.24
Inter Quartile Range0.17
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations131
Minimum0.94
Quartile 11.00
Median1
Quartile 31.01
Maximum1.10
Mean of quarter 10.98
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.03
Inter Quartile Range0.01
Number outliers low10
Percentage of outliers low0.08
Mean of outliers low0.96
Number of outliers high14
Percentage of outliers high0.11
Mean of outliers high1.04
Extreme Value Index (moments method)0.50
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.04
Extreme Value Index (regression method)0.09
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.03

DRAW DOWN STATISTICS

Number of observations1
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.00
Maximum0.00
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations8
Minimum0.00
Quartile 10.01
Median0.02
Quartile 30.05
Maximum0.17
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.12
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.12
Mean of outliers high0.17
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Max Equity Drawdown (num days)60
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.50
Compounded annual return (geometric extrapolation)2.38
Calmar ratio (compounded annual return / max draw down)2185.33
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal22.02
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.96
Compounded annual return (geometric extrapolation)1.27
Calmar ratio (compounded annual return / max draw down)7.69
Compounded annual return / average of 25% largest draw downs10.80
Compounded annual return / Expected Shortfall lognormal33.30

Trading record

Placed 341 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
VXX long400Oct 14, 2016Oct 14, 2016$69
TZA long500Oct 14, 2016Oct 14, 2016$80
SVXY long400Oct 14, 2016Oct 14, 2016($96)
TZA long2000Oct 13, 2016Oct 13, 2016($998)
SVXY long1100Oct 11, 2016Oct 13, 2016($2,791)
TZA long500Oct 11, 2016Oct 11, 2016$230
SVXY long600Oct 5, 2016Oct 10, 2016$890
SVXY long600Oct 4, 2016Oct 5, 2016$9
SVXY long600Oct 4, 2016Oct 4, 2016$215
SVXY long800Sep 30, 2016Oct 3, 2016($1,205)
SVXY long600Sep 30, 2016Sep 30, 2016$302
TZA long3300Sep 28, 2016Sep 30, 2016$345
VXX long300Sep 28, 2016Sep 28, 2016($158)
SVXY long800Sep 27, 2016Sep 28, 2016$550
TZA long300Sep 26, 2016Sep 27, 2016$75
VXX long500Sep 26, 2016Sep 27, 2016($80)
SVXY long800Sep 21, 2016Sep 26, 2016($1,129)
SVXY long200Sep 21, 2016Sep 21, 2016($181)
TNA long200Sep 21, 2016Sep 21, 2016($212)
VXX long200Sep 21, 2016Sep 21, 2016($95)
SVXY long400Sep 20, 2016Sep 21, 2016$415
TQQQ long200Sep 20, 2016Sep 20, 2016($135)
SVXY long200Sep 19, 2016Sep 20, 2016$192
SVXY long1000Sep 16, 2016Sep 19, 2016$177
SVXY long300Sep 16, 2016Sep 16, 2016$161
TQQQ long100Sep 16, 2016Sep 16, 2016$6
TQQQ long300Sep 15, 2016Sep 16, 2016$562
VXX long300Sep 14, 2016Sep 15, 2016$18
TQQQ long300Sep 14, 2016Sep 14, 2016($197)
TQQQ long300Sep 14, 2016Sep 14, 2016$17

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.