Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

Volatility ETF Trader (104675684)

Created by: JonathanKinlay JonathanKinlay
Started: 07/2016
Stocks
Last trade: Yesterday

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 $149.00 per month.

146.5%
Annual Return (Compounded)
24.6%
Max Drawdown
241
Num Trades
57.7%
Win Trades
1.9 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          +5.6%(0.7%)+18.5%(15.4%)+3.3%+29.5%+39.5%
2017+11.9%(2.9%)+8.7%(1.2%)+10.6%+15.3%+20.9%                              +80.0%

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.

Trading Record

This strategy has placed 527 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/21/17 10:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 170 89.73 7/21 14:00 90.13 n/a $65
Includes Typical Broker Commissions trade costs of $3.40
7/21/17 10:17 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 170 89.70 7/21 10:55 89.73 n/a ($8)
Includes Typical Broker Commissions trade costs of $3.40
7/20/17 14:25 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 170 89.91 7/21 10:17 89.75 n/a ($30)
Includes Typical Broker Commissions trade costs of $3.40
7/20/17 11:44 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 167 89.65 7/20 14:25 89.89 0.17%
Trade id #112702547
Max drawdown($90)
Time7/20/17 14:16
Quant open-167
Worst price90.19
Drawdown as % of equity-0.17%
($44)
Includes Typical Broker Commissions trade costs of $3.34
7/14/17 15:50 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 176 85.40 7/20 11:44 89.65 n/a $744
Includes Typical Broker Commissions trade costs of $3.52
7/18/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 89.42 7/20 9:30 93.34 0.34%
Trade id #112658196
Max drawdown($168)
Time7/18/17 9:35
Quant open220
Worst price88.65
Drawdown as % of equity-0.34%
$859
Includes Typical Broker Commissions trade costs of $4.40
7/13/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 466 85.79 7/17 9:30 89.71 0.13%
Trade id #112578203
Max drawdown($59)
Time7/13/17 9:32
Quant open466
Worst price85.66
Drawdown as % of equity-0.13%
$1,820
Includes Typical Broker Commissions trade costs of $9.32
7/13/17 14:46 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 89 166.74 7/14 15:50 170.80 0.83%
Trade id #112588822
Max drawdown($400)
Time7/14/17 15:41
Quant open-89
Worst price171.24
Drawdown as % of equity-0.83%
($363)
Includes Typical Broker Commissions trade costs of $1.78
7/12/17 12:01 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 118 164.01 7/13 14:46 166.74 0.17%
Trade id #112553912
Max drawdown($77)
Time7/12/17 12:16
Quant open118
Worst price163.35
Drawdown as % of equity-0.17%
$320
Includes Typical Broker Commissions trade costs of $2.36
6/15/17 15:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 4,671 12.68 7/12 14:00 12.46 5.34%
Trade id #112085031
Max drawdown($2,261)
Time6/29/17 13:30
Quant open-1,526
Worst price14.16
Drawdown as % of equity-5.34%
$1,007
Includes Typical Broker Commissions trade costs of $15.00
7/11/17 14:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 354 161.81 7/12 9:53 164.04 0.21%
Trade id #112531288
Max drawdown($93)
Time7/11/17 15:06
Quant open118
Worst price159.27
Drawdown as % of equity-0.21%
$779
Includes Typical Broker Commissions trade costs of $7.08
7/11/17 11:52 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 93 158.61 7/11 14:45 160.02 0.43%
Trade id #112524113
Max drawdown($192)
Time7/11/17 14:03
Quant open-93
Worst price160.68
Drawdown as % of equity-0.43%
($133)
Includes Typical Broker Commissions trade costs of $1.86
7/7/17 10:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 387 154.36 7/11 11:51 159.38 0.24%
Trade id #112468095
Max drawdown($107)
Time7/11/17 11:27
Quant open96
Worst price153.24
Drawdown as % of equity-0.24%
$1,936
Includes Typical Broker Commissions trade costs of $7.74
7/3/17 12:50 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 702 155.67 7/7 10:30 156.23 2.66%
Trade id #112389021
Max drawdown($1,135)
Time7/5/17 14:41
Quant open-287
Worst price161.02
Drawdown as % of equity-2.66%
($408)
Includes Typical Broker Commissions trade costs of $14.04
6/30/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 486 84.34 7/5 11:10 81.96 4.74%
Trade id #112300782
Max drawdown($2,073)
Time7/5/17 10:27
Quant open486
Worst price80.07
Drawdown as % of equity-4.74%
($1,166)
Includes Typical Broker Commissions trade costs of $9.72
6/30/17 12:49 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 96 160.57 7/3 12:50 159.72 0.38%
Trade id #112307047
Max drawdown($169)
Time7/3/17 12:17
Quant open96
Worst price158.80
Drawdown as % of equity-0.38%
($84)
Includes Typical Broker Commissions trade costs of $1.92
6/27/17 14:15 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 293 159.05 6/29 15:15 162.18 4.63%
Trade id #112240300
Max drawdown($1,959)
Time6/29/17 13:30
Quant open115
Worst price142.01
Drawdown as % of equity-4.63%
$911
Includes Typical Broker Commissions trade costs of $5.86
6/26/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 234 86.32 6/28 10:10 85.30 1.83%
Trade id #112211185
Max drawdown($793)
Time6/28/17 4:26
Quant open234
Worst price82.93
Drawdown as % of equity-1.83%
($244)
Includes Typical Broker Commissions trade costs of $4.68
6/27/17 9:59 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 89 167.23 6/27 14:15 163.17 0.35%
Trade id #112231859
Max drawdown($157)
Time6/27/17 11:06
Quant open-89
Worst price169.00
Drawdown as % of equity-0.35%
$359
Includes Typical Broker Commissions trade costs of $1.78
6/20/17 15:25 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 92 161.19 6/27 9:59 167.23 0.7%
Trade id #112140667
Max drawdown($293)
Time6/21/17 5:38
Quant open92
Worst price158.00
Drawdown as % of equity-0.70%
$554
Includes Typical Broker Commissions trade costs of $1.84
6/20/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 235 84.14 6/23 9:30 84.38 1.29%
Trade id #112132413
Max drawdown($542)
Time6/21/17 5:39
Quant open235
Worst price81.83
Drawdown as % of equity-1.29%
$52
Includes Typical Broker Commissions trade costs of $4.70
6/19/17 15:15 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 91 163.70 6/20 15:25 161.19 0.21%
Trade id #112123428
Max drawdown($88)
Time6/19/17 15:51
Quant open-91
Worst price164.68
Drawdown as % of equity-0.21%
$227
Includes Typical Broker Commissions trade costs of $1.82
6/19/17 14:46 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 91 163.37 6/19 15:15 163.75 0.13%
Trade id #112122874
Max drawdown($56)
Time6/19/17 15:01
Quant open91
Worst price162.75
Drawdown as % of equity-0.13%
$33
Includes Typical Broker Commissions trade costs of $1.82
6/19/17 14:17 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 91 163.99 6/19 14:46 163.37 0.05%
Trade id #112122205
Max drawdown($21)
Time6/19/17 14:19
Quant open-91
Worst price164.23
Drawdown as % of equity-0.05%
$54
Includes Typical Broker Commissions trade costs of $1.82
6/15/17 13:29 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 95 155.05 6/19 14:17 163.99 0.07%
Trade id #112081140
Max drawdown($27)
Time6/15/17 14:01
Quant open95
Worst price154.76
Drawdown as % of equity-0.07%
$847
Includes Typical Broker Commissions trade costs of $1.90
6/15/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 483 79.53 6/19 9:30 82.02 0.43%
Trade id #112073137
Max drawdown($171)
Time6/15/17 9:47
Quant open483
Worst price79.18
Drawdown as % of equity-0.43%
$1,193
Includes Typical Broker Commissions trade costs of $9.66
6/13/17 12:00 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,511 13.03 6/15 15:15 13.02 1.99%
Trade id #112034047
Max drawdown($813)
Time6/15/17 6:33
Quant open-1,511
Worst price13.57
Drawdown as % of equity-1.99%
$16
Includes Typical Broker Commissions trade costs of $5.00
6/15/17 11:31 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 95 156.29 6/15 13:29 155.05 0.04%
Trade id #112077610
Max drawdown($14)
Time6/15/17 11:33
Quant open-95
Worst price156.44
Drawdown as % of equity-0.04%
$116
Includes Typical Broker Commissions trade costs of $1.90
6/14/17 15:11 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 95 156.63 6/15 11:31 156.29 1.18%
Trade id #112062134
Max drawdown($479)
Time6/15/17 6:46
Quant open95
Worst price151.58
Drawdown as % of equity-1.18%
($34)
Includes Typical Broker Commissions trade costs of $1.90
6/14/17 11:20 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 94 158.60 6/14 15:11 156.63 0.38%
Trade id #112054515
Max drawdown($151)
Time6/14/17 14:06
Quant open-94
Worst price160.21
Drawdown as % of equity-0.38%
$183
Includes Typical Broker Commissions trade costs of $1.88

Statistics

  • Strategy began
    7/18/2016
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    369.38
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    241
  • # Profitable
    139
  • % Profitable
    57.70%
  • Avg trade duration
    2.0 days
  • Max peak-to-valley drawdown
    24.57%
  • drawdown period
    Sept 29, 2016 - Nov 11, 2016
  • Annual Return (Compounded)
    146.5%
  • Avg win
    $522.18
  • Avg loss
    $383.31
  • Model Account Values (Raw)
  • Cash
    $114,276
  • Margin Used
    $111,464
  • Buying Power
    $5,741
  • Ratios
  • W:L ratio
    1.86:1
  • Sharpe Ratio
    2.815
  • Sortino Ratio
    4.304
  • Calmar Ratio
    8.136
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.34700
  • Return Statistics
  • Ann Return (w trading costs)
    146.5%
  • Ann Return (Compnd, No Fees)
    163.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.50%
  • Chance of 20% account loss
    6.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    934
  • Popularity (Last 6 weeks)
    983
  • C2 Score
    89.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $383
  • Avg Win
    $522
  • # Winners
    139
  • # Losers
    102
  • % Winners
    57.7%
  • Frequency
  • Avg Position Time (mins)
    2810.77
  • Avg Position Time (hrs)
    46.85
  • Avg Trade Length
    2.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.06818
  • SD
    0.48861
  • Sharpe ratio (Glass type estimate)
    2.18616
  • Sharpe ratio (Hedges UMVUE)
    2.03304
  • df
    11.00000
  • t
    2.18616
  • p
    0.02566
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16920
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.24390
  • Upside Potential Ratio
    14.02760
  • Upside part of mean
    1.22379
  • Downside part of mean
    -0.15561
  • Upside SD
    0.55346
  • Downside SD
    0.08724
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.10714
  • Mean of criterion
    1.06818
  • SD of predictor
    0.06425
  • SD of criterion
    0.48861
  • Covariance
    0.01574
  • r
    0.50147
  • b (slope, estimate of beta)
    3.81341
  • a (intercept, estimate of alpha)
    0.65960
  • Mean Square Error
    0.19657
  • DF error
    10.00000
  • t(b)
    1.83292
  • p(b)
    0.04836
  • t(a)
    1.32918
  • p(a)
    0.10666
  • Lowerbound of 95% confidence interval for beta
    -0.82227
  • Upperbound of 95% confidence interval for beta
    8.44910
  • Lowerbound of 95% confidence interval for alpha
    -0.44610
  • Upperbound of 95% confidence interval for alpha
    1.76531
  • Treynor index (mean / b)
    0.28011
  • Jensen alpha (a)
    0.65960
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93358
  • SD
    0.43145
  • Sharpe ratio (Glass type estimate)
    2.16382
  • Sharpe ratio (Hedges UMVUE)
    2.01227
  • df
    11.00000
  • t
    2.16382
  • p
    0.02667
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27767
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14499
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.42420
  • Upside Potential Ratio
    12.20170
  • Upside part of mean
    1.09276
  • Downside part of mean
    -0.15918
  • Upside SD
    0.48502
  • Downside SD
    0.08956
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.10457
  • Mean of criterion
    0.93358
  • SD of predictor
    0.06356
  • SD of criterion
    0.43145
  • Covariance
    0.01306
  • r
    0.47635
  • b (slope, estimate of beta)
    3.23330
  • a (intercept, estimate of alpha)
    0.59548
  • Mean Square Error
    0.15830
  • DF error
    10.00000
  • t(b)
    1.71319
  • p(b)
    0.05873
  • t(a)
    1.34079
  • p(a)
    0.10483
  • Lowerbound of 95% confidence interval for beta
    -0.97187
  • Upperbound of 95% confidence interval for beta
    7.43847
  • Lowerbound of 95% confidence interval for alpha
    -0.39410
  • Upperbound of 95% confidence interval for alpha
    1.58506
  • Treynor index (mean / b)
    0.28874
  • Jensen alpha (a)
    0.59548
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11932
  • Expected Shortfall on VaR
    0.16311
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02302
  • Expected Shortfall on VaR
    0.04679
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.93685
  • Quartile 1
    0.98249
  • Median
    1.05433
  • Quartile 3
    1.14861
  • Maximum
    1.34043
  • Mean of quarter 1
    0.95705
  • Mean of quarter 2
    1.00645
  • Mean of quarter 3
    1.10299
  • Mean of quarter 4
    1.29888
  • Inter Quartile Range
    0.16612
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -32.39000
  • VaR(95%) (moments method)
    0.03844
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.99629
  • VaR(95%) (regression method)
    0.08260
  • Expected Shortfall (regression method)
    0.08474
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06487
  • Quartile 1
    0.06852
  • Median
    0.07217
  • Quartile 3
    0.07583
  • Maximum
    0.07948
  • Mean of quarter 1
    0.06487
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07948
  • Inter Quartile Range
    0.00731
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.61558
  • Compounded annual return (geometric extrapolation)
    1.61558
  • Calmar ratio (compounded annual return / max draw down)
    20.32690
  • Compounded annual return / average of 25% largest draw downs
    20.32690
  • Compounded annual return / Expected Shortfall lognormal
    9.90487
  • 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
    0.99991
  • SD
    0.35424
  • Sharpe ratio (Glass type estimate)
    2.82272
  • Sharpe ratio (Hedges UMVUE)
    2.81467
  • df
    263.00000
  • t
    2.83348
  • p
    0.00248
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78744
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78195
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.30399
  • Upside Potential Ratio
    10.88370
  • Upside part of mean
    2.52852
  • Downside part of mean
    -1.52861
  • Upside SD
    0.27359
  • Downside SD
    0.23232
  • N nonnegative terms
    155.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    264.00000
  • Mean of predictor
    0.10631
  • Mean of criterion
    0.99991
  • SD of predictor
    0.08053
  • SD of criterion
    0.35424
  • Covariance
    0.00983
  • r
    0.34458
  • b (slope, estimate of beta)
    1.51580
  • a (intercept, estimate of alpha)
    0.83900
  • Mean Square Error
    0.11101
  • DF error
    262.00000
  • t(b)
    5.94133
  • p(b)
    0.00000
  • t(a)
    2.51869
  • p(a)
    0.00619
  • Lowerbound of 95% confidence interval for beta
    1.01344
  • Upperbound of 95% confidence interval for beta
    2.01816
  • Lowerbound of 95% confidence interval for alpha
    0.18304
  • Upperbound of 95% confidence interval for alpha
    1.49450
  • Treynor index (mean / b)
    0.65966
  • Jensen alpha (a)
    0.83877
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93534
  • SD
    0.35527
  • Sharpe ratio (Glass type estimate)
    2.63278
  • Sharpe ratio (Hedges UMVUE)
    2.62527
  • df
    263.00000
  • t
    2.64281
  • p
    0.00436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59064
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91032
  • Upside Potential Ratio
    10.41750
  • Upside part of mean
    2.49184
  • Downside part of mean
    -1.55650
  • Upside SD
    0.26807
  • Downside SD
    0.23920
  • N nonnegative terms
    155.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    264.00000
  • Mean of predictor
    0.10305
  • Mean of criterion
    0.93534
  • SD of predictor
    0.08055
  • SD of criterion
    0.35527
  • Covariance
    0.00991
  • r
    0.34627
  • b (slope, estimate of beta)
    1.52730
  • a (intercept, estimate of alpha)
    0.77795
  • Mean Square Error
    0.11151
  • DF error
    262.00000
  • t(b)
    5.97441
  • p(b)
    0.00000
  • t(a)
    2.33132
  • p(a)
    0.01025
  • Lowerbound of 95% confidence interval for beta
    1.02393
  • Upperbound of 95% confidence interval for beta
    2.03067
  • Lowerbound of 95% confidence interval for alpha
    0.12089
  • Upperbound of 95% confidence interval for alpha
    1.43503
  • Treynor index (mean / b)
    0.61241
  • Jensen alpha (a)
    0.77795
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03201
  • Expected Shortfall on VaR
    0.04081
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01161
  • Expected Shortfall on VaR
    0.02521
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    264.00000
  • Minimum
    0.90330
  • Quartile 1
    0.99522
  • Median
    1.00304
  • Quartile 3
    1.01523
  • Maximum
    1.08104
  • Mean of quarter 1
    0.97811
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00890
  • Mean of quarter 4
    1.02940
  • Inter Quartile Range
    0.02000
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.94511
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.03409
  • Mean of outliers high
    1.05753
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26461
  • VaR(95%) (moments method)
    0.01757
  • Expected Shortfall (moments method)
    0.03043
  • Extreme Value Index (regression method)
    0.16898
  • VaR(95%) (regression method)
    0.02017
  • Expected Shortfall (regression method)
    0.03291
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00662
  • Median
    0.03240
  • Quartile 3
    0.05974
  • Maximum
    0.19915
  • Mean of quarter 1
    0.00264
  • Mean of quarter 2
    0.02051
  • Mean of quarter 3
    0.04474
  • Mean of quarter 4
    0.12719
  • Inter Quartile Range
    0.05312
  • 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
    0.09524
  • Mean of outliers high
    0.18957
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.26822
  • VaR(95%) (moments method)
    0.12497
  • Expected Shortfall (moments method)
    0.15150
  • Extreme Value Index (regression method)
    -0.03506
  • VaR(95%) (regression method)
    0.08828
  • Expected Shortfall (regression method)
    0.10405
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.62710
  • Compounded annual return (geometric extrapolation)
    1.62018
  • Calmar ratio (compounded annual return / max draw down)
    8.13559
  • Compounded annual return / average of 25% largest draw downs
    12.73850
  • Compounded annual return / Expected Shortfall lognormal
    39.69690
  • 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
    1.10177
  • SD
    0.35530
  • Sharpe ratio (Glass type estimate)
    3.10093
  • Sharpe ratio (Hedges UMVUE)
    3.08300
  • df
    130.00000
  • t
    2.19269
  • p
    0.40558
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.89240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.88003
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.68617
  • Upside Potential Ratio
    10.84300
  • Upside part of mean
    2.54932
  • Downside part of mean
    -1.44755
  • Upside SD
    0.27319
  • Downside SD
    0.23511
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15114
  • Mean of criterion
    1.10177
  • SD of predictor
    0.07083
  • SD of criterion
    0.35530
  • Covariance
    0.00955
  • r
    0.37947
  • b (slope, estimate of beta)
    1.90352
  • a (intercept, estimate of alpha)
    0.81407
  • Mean Square Error
    0.10890
  • DF error
    129.00000
  • t(b)
    4.65832
  • p(b)
    0.26435
  • t(a)
    1.72927
  • p(a)
    0.40454
  • Lowerbound of 95% confidence interval for beta
    1.09504
  • Upperbound of 95% confidence interval for beta
    2.71201
  • Lowerbound of 95% confidence interval for alpha
    -0.11734
  • Upperbound of 95% confidence interval for alpha
    1.74549
  • Treynor index (mean / b)
    0.57881
  • Jensen alpha (a)
    0.81407
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.03636
  • SD
    0.35766
  • Sharpe ratio (Glass type estimate)
    2.89764
  • Sharpe ratio (Hedges UMVUE)
    2.88089
  • df
    130.00000
  • t
    2.04894
  • p
    0.41157
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09819
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.68626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.67473
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.25049
  • Upside Potential Ratio
    10.30580
  • Upside part of mean
    2.51276
  • Downside part of mean
    -1.47640
  • Upside SD
    0.26757
  • Downside SD
    0.24382
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14859
  • Mean of criterion
    1.03636
  • SD of predictor
    0.07085
  • SD of criterion
    0.35766
  • Covariance
    0.00966
  • r
    0.38136
  • b (slope, estimate of beta)
    1.92507
  • a (intercept, estimate of alpha)
    0.75031
  • Mean Square Error
    0.11016
  • DF error
    129.00000
  • t(b)
    4.68546
  • p(b)
    0.26324
  • t(a)
    1.58513
  • p(a)
    0.41229
  • Lowerbound of 95% confidence interval for beta
    1.11217
  • Upperbound of 95% confidence interval for beta
    2.73797
  • Lowerbound of 95% confidence interval for alpha
    -0.18621
  • Upperbound of 95% confidence interval for alpha
    1.68682
  • Treynor index (mean / b)
    0.53835
  • Jensen alpha (a)
    0.75031
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03187
  • Expected Shortfall on VaR
    0.04074
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01031
  • Expected Shortfall on VaR
    0.02317
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90330
  • Quartile 1
    0.99437
  • Median
    1.00395
  • Quartile 3
    1.01470
  • Maximum
    1.08104
  • Mean of quarter 1
    0.97968
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00904
  • Mean of quarter 4
    1.02907
  • Inter Quartile Range
    0.02033
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.92464
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06015
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19438
  • VaR(95%) (moments method)
    0.01659
  • Expected Shortfall (moments method)
    0.02654
  • Extreme Value Index (regression method)
    0.38994
  • VaR(95%) (regression method)
    0.01613
  • Expected Shortfall (regression method)
    0.03051
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00265
  • Quartile 1
    0.02482
  • Median
    0.03798
  • Quartile 3
    0.07171
  • Maximum
    0.17999
  • Mean of quarter 1
    0.01218
  • Mean of quarter 2
    0.03318
  • Mean of quarter 3
    0.04937
  • Mean of quarter 4
    0.11542
  • Inter Quartile Range
    0.04689
  • 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
    0.10000
  • Mean of outliers high
    0.17999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.13578
  • VaR(95%) (moments method)
    0.13249
  • Expected Shortfall (moments method)
    0.16527
  • Extreme Value Index (regression method)
    1.58848
  • VaR(95%) (regression method)
    0.21138
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.40512
  • Compounded annual return (geometric extrapolation)
    1.89871
  • Calmar ratio (compounded annual return / max draw down)
    10.54890
  • Compounded annual return / average of 25% largest draw downs
    16.45070
  • Compounded annual return / Expected Shortfall lognormal
    46.61040

Strategy Description

For more information go to www.jonathankinlay.com

Summary Statistics

Strategy began
2016-07-18
Minimum Capital Required
$25,000
# Trades
241
# Profitable
139
% Profitable
57.7%
Correlation S&P500
0.347
Sharpe Ratio
2.815

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.