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Volatility ETF Trader (104675684)

Created by: JonathanKinlay JonathanKinlay
Started: 07/2016
Stocks
Last trade: 8 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 $149.00 per month.

83.1%
Annual Return (Compounded)
38.2%
Max Drawdown
375
Num Trades
57.1%
Win Trades
1.4 : 1
Profit Factor
70.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          +4.8%(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%+18.3%(30.6%)+23.8%+6.6%+0.9%      +63.0%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 886 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/15/17 10:35 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 146 99.97 11/15 15:23 100.78 0.53%
Trade id #114867362
Max drawdown($252)
Time11/15/17 15:22
Quant open-146
Worst price101.70
Drawdown as % of equity-0.53%
($121)
Includes Typical Broker Commissions trade costs of $2.92
11/14/17 14:26 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 146 102.12 11/15 10:35 99.97 1.37%
Trade id #114853119
Max drawdown($673)
Time11/15/17 9:41
Quant open146
Worst price97.51
Drawdown as % of equity-1.37%
($317)
Includes Typical Broker Commissions trade costs of $2.92
10/26/17 11:00 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,450 34.03 11/15 9:38 34.55 2.67%
Trade id #114542000
Max drawdown($1,308)
Time11/15/17 9:37
Quant open-450
Worst price36.94
Drawdown as % of equity-2.67%
($783)
Includes Typical Broker Commissions trade costs of $29.00
11/14/17 12:33 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 142 102.66 11/14 14:26 102.12 0.02%
Trade id #114849655
Max drawdown($8)
Time11/14/17 12:37
Quant open-142
Worst price102.72
Drawdown as % of equity-0.02%
$74
Includes Typical Broker Commissions trade costs of $2.84
11/9/17 14:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 288 104.27 11/14 12:33 103.43 1.07%
Trade id #114777326
Max drawdown($525)
Time11/14/17 10:06
Quant open144
Worst price100.62
Drawdown as % of equity-1.07%
($248)
Includes Typical Broker Commissions trade costs of $5.76
11/9/17 12:54 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 138 103.14 11/9 14:45 104.63 0.81%
Trade id #114774205
Max drawdown($403)
Time11/9/17 14:14
Quant open-138
Worst price106.07
Drawdown as % of equity-0.81%
($209)
Includes Typical Broker Commissions trade costs of $2.76
11/9/17 12:34 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 138 100.95 11/9 12:54 103.14 0.01%
Trade id #114773467
Max drawdown($6)
Time11/9/17 12:36
Quant open138
Worst price100.91
Drawdown as % of equity-0.01%
$299
Includes Typical Broker Commissions trade costs of $2.76
11/9/17 10:00 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 138 105.15 11/9 12:34 100.95 0.51%
Trade id #114768631
Max drawdown($251)
Time11/9/17 11:10
Quant open-138
Worst price106.97
Drawdown as % of equity-0.51%
$576
Includes Typical Broker Commissions trade costs of $2.76
11/6/17 9:48 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 278 108.01 11/7 13:52 107.37 0.34%
Trade id #114701408
Max drawdown($171)
Time11/7/17 9:46
Quant open-138
Worst price109.90
Drawdown as % of equity-0.34%
$172
Includes Typical Broker Commissions trade costs of $5.56
11/1/17 10:15 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 282 108.14 11/1 11:02 108.20 0.19%
Trade id #114628525
Max drawdown($94)
Time11/1/17 10:34
Quant open282
Worst price107.81
Drawdown as % of equity-0.19%
$9
Includes Typical Broker Commissions trade costs of $5.64
11/1/17 10:09 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 141 108.50 11/1 10:15 108.37 0%
Trade id #114628270
Max drawdown$0
Time11/1/17 10:11
Quant open-141
Worst price108.50
Drawdown as % of equity0.00%
$15
Includes Typical Broker Commissions trade costs of $2.82
10/26/17 11:54 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 155 101.96 11/1 10:09 108.50 0.69%
Trade id #114543780
Max drawdown($331)
Time10/26/17 16:02
Quant open155
Worst price99.82
Drawdown as % of equity-0.69%
$1,011
Includes Typical Broker Commissions trade costs of $3.10
10/25/17 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 155 100.15 10/26 11:54 101.96 0.98%
Trade id #114529308
Max drawdown($472)
Time10/26/17 9:48
Quant open-155
Worst price103.20
Drawdown as % of equity-0.98%
($284)
Includes Typical Broker Commissions trade costs of $3.10
10/25/17 10:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 870 96.31 10/25 15:58 97.52 2.82%
Trade id #114518220
Max drawdown($1,288)
Time10/25/17 12:32
Quant open429
Worst price93.06
Drawdown as % of equity-2.82%
$1,039
Includes Typical Broker Commissions trade costs of $13.75
10/23/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 177 113.48 10/25 12:59 100.38 6.41%
Trade id #114420551
Max drawdown($2,926)
Time10/25/17 12:32
Quant open177
Worst price96.95
Drawdown as % of equity-6.41%
($2,324)
Includes Typical Broker Commissions trade costs of $3.54
10/24/17 15:24 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 143 104.27 10/25 10:45 99.32 0.01%
Trade id #114470165
Max drawdown($7)
Time10/24/17 15:36
Quant open-143
Worst price104.32
Drawdown as % of equity-0.01%
$705
Includes Typical Broker Commissions trade costs of $2.86
10/20/17 14:45 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 294 33.80 10/25 9:53 35.92 1.3%
Trade id #114401087
Max drawdown($623)
Time10/25/17 9:53
Quant open0
Worst price35.92
Drawdown as % of equity-1.30%
($629)
Includes Typical Broker Commissions trade costs of $5.88
10/24/17 11:56 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 138 105.25 10/24 15:24 104.27 0.62%
Trade id #114466179
Max drawdown($298)
Time10/24/17 15:08
Quant open138
Worst price103.09
Drawdown as % of equity-0.62%
($138)
Includes Typical Broker Commissions trade costs of $2.76
10/24/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 138 106.56 10/24 11:56 105.25 0.17%
Trade id #114461220
Max drawdown($81)
Time10/24/17 9:35
Quant open-138
Worst price107.15
Drawdown as % of equity-0.17%
$178
Includes Typical Broker Commissions trade costs of $2.76
10/23/17 15:07 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 138 107.68 10/24 9:30 106.68 1.23%
Trade id #114428581
Max drawdown($605)
Time10/23/17 16:15
Quant open138
Worst price103.29
Drawdown as % of equity-1.23%
($141)
Includes Typical Broker Commissions trade costs of $2.76
10/23/17 12:00 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 138 107.91 10/23 15:07 107.68 0.17%
Trade id #114424736
Max drawdown($84)
Time10/23/17 13:55
Quant open-138
Worst price108.52
Drawdown as % of equity-0.17%
$29
Includes Typical Broker Commissions trade costs of $2.76
10/23/17 10:05 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 138 108.57 10/23 12:00 107.91 0.34%
Trade id #114421861
Max drawdown($168)
Time10/23/17 11:49
Quant open138
Worst price107.35
Drawdown as % of equity-0.34%
($94)
Includes Typical Broker Commissions trade costs of $2.76
10/23/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 138 108.95 10/23 10:05 108.57 0.03%
Trade id #114420465
Max drawdown($13)
Time10/23/17 9:37
Quant open-138
Worst price109.05
Drawdown as % of equity-0.03%
$49
Includes Typical Broker Commissions trade costs of $2.76
10/19/17 12:38 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 141 103.49 10/23 9:30 108.97 0.1%
Trade id #114373655
Max drawdown($49)
Time10/19/17 12:43
Quant open141
Worst price103.14
Drawdown as % of equity-0.10%
$770
Includes Typical Broker Commissions trade costs of $2.82
10/18/17 11:45 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 288 34.50 10/20 14:30 33.81 1.43%
Trade id #114350689
Max drawdown($696)
Time10/19/17 4:03
Quant open-288
Worst price36.92
Drawdown as % of equity-1.43%
$193
Includes Typical Broker Commissions trade costs of $5.76
10/18/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 182 110.09 10/20 9:30 112.59 2.74%
Trade id #114346386
Max drawdown($1,332)
Time10/19/17 4:02
Quant open182
Worst price102.77
Drawdown as % of equity-2.74%
$451
Includes Typical Broker Commissions trade costs of $3.64
10/19/17 10:18 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 141 102.47 10/19 12:38 103.47 0.65%
Trade id #114369554
Max drawdown($305)
Time10/19/17 11:01
Quant open-141
Worst price104.64
Drawdown as % of equity-0.65%
($145)
Includes Typical Broker Commissions trade costs of $2.82
10/18/17 10:09 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 143 105.59 10/19 10:18 102.47 1.79%
Trade id #114347826
Max drawdown($869)
Time10/19/17 4:04
Quant open143
Worst price99.51
Drawdown as % of equity-1.79%
($449)
Includes Typical Broker Commissions trade costs of $2.86
10/17/17 12:08 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 147 104.72 10/18 10:09 105.59 0.42%
Trade id #114329940
Max drawdown($202)
Time10/18/17 9:46
Quant open-147
Worst price106.10
Drawdown as % of equity-0.42%
($131)
Includes Typical Broker Commissions trade costs of $2.94
10/17/17 11:34 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 147 104.57 10/17 12:08 104.72 0.05%
Trade id #114328814
Max drawdown($26)
Time10/17/17 11:52
Quant open147
Worst price104.39
Drawdown as % of equity-0.05%
$19
Includes Typical Broker Commissions trade costs of $2.94

Statistics

  • Strategy began
    7/18/2016
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    492.76
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    375
  • # Profitable
    214
  • % Profitable
    57.10%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    38.18%
  • drawdown period
    July 25, 2017 - Aug 11, 2017
  • Annual Return (Compounded)
    83.1%
  • Avg win
    $469.66
  • Avg loss
    $439.73
  • Model Account Values (Raw)
  • Cash
    $32,689
  • Margin Used
    $22,386
  • Buying Power
    $10,777
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    1.936
  • Sortino Ratio
    2.689
  • Calmar Ratio
    2.932
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.40400
  • Return Statistics
  • Ann Return (w trading costs)
    83.1%
  • Ann Return (Compnd, No Fees)
    96.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    16.00%
  • Chance of 30% account loss
    5.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    289
  • Popularity (Last 6 weeks)
    903
  • C2 Score
    72.6
  • 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
    $440
  • Avg Win
    $471
  • # Winners
    214
  • # Losers
    161
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    3076.43
  • Avg Position Time (hrs)
    51.27
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77514
  • SD
    0.53252
  • Sharpe ratio (Glass type estimate)
    1.45561
  • Sharpe ratio (Hedges UMVUE)
    1.38139
  • df
    15.00000
  • t
    1.68080
  • p
    0.25342
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38650
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14928
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15945
  • Upside Potential Ratio
    4.45909
  • Upside part of mean
    1.09400
  • Downside part of mean
    -0.31885
  • Upside SD
    0.50570
  • Downside SD
    0.24534
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.10530
  • Mean of criterion
    0.77514
  • SD of predictor
    0.06550
  • SD of criterion
    0.53252
  • Covariance
    0.02195
  • r
    0.62925
  • b (slope, estimate of beta)
    5.11565
  • a (intercept, estimate of alpha)
    0.23644
  • Mean Square Error
    0.18353
  • DF error
    14.00000
  • t(b)
    3.02937
  • p(b)
    0.18538
  • t(a)
    0.57469
  • p(a)
    0.42409
  • Lowerbound of 95% confidence interval for beta
    1.49378
  • Upperbound of 95% confidence interval for beta
    8.73752
  • Lowerbound of 95% confidence interval for alpha
    -0.64597
  • Upperbound of 95% confidence interval for alpha
    1.11885
  • Treynor index (mean / b)
    0.15152
  • Jensen alpha (a)
    0.23644
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62935
  • SD
    0.51142
  • Sharpe ratio (Glass type estimate)
    1.23060
  • Sharpe ratio (Hedges UMVUE)
    1.16785
  • df
    15.00000
  • t
    1.42097
  • p
    0.28514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91591
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23082
  • Upside Potential Ratio
    3.48667
  • Upside part of mean
    0.98364
  • Downside part of mean
    -0.35429
  • Upside SD
    0.44567
  • Downside SD
    0.28212
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.10263
  • Mean of criterion
    0.62935
  • SD of predictor
    0.06489
  • SD of criterion
    0.51142
  • Covariance
    0.02072
  • r
    0.62434
  • b (slope, estimate of beta)
    4.92036
  • a (intercept, estimate of alpha)
    0.12437
  • Mean Square Error
    0.17100
  • DF error
    14.00000
  • t(b)
    2.99056
  • p(b)
    0.18783
  • t(a)
    0.31412
  • p(a)
    0.45817
  • Lowerbound of 95% confidence interval for beta
    1.39154
  • Upperbound of 95% confidence interval for beta
    8.44917
  • Lowerbound of 95% confidence interval for alpha
    -0.72482
  • Upperbound of 95% confidence interval for alpha
    0.97355
  • Treynor index (mean / b)
    0.12791
  • Jensen alpha (a)
    0.12437
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17336
  • Expected Shortfall on VaR
    0.22168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04259
  • Expected Shortfall on VaR
    0.09976
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.73280
  • Quartile 1
    0.98249
  • Median
    1.04519
  • Quartile 3
    1.13928
  • Maximum
    1.34043
  • Mean of quarter 1
    0.90099
  • Mean of quarter 2
    1.00545
  • Mean of quarter 3
    1.09227
  • Mean of quarter 4
    1.26899
  • Inter Quartile Range
    0.15679
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.73280
  • 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)
    -0.26744
  • VaR(95%) (moments method)
    0.05926
  • Expected Shortfall (moments method)
    0.07993
  • Extreme Value Index (regression method)
    0.95438
  • VaR(95%) (regression method)
    0.15553
  • Expected Shortfall (regression method)
    3.88952
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.06487
  • Quartile 1
    0.07217
  • Median
    0.07948
  • Quartile 3
    0.17334
  • Maximum
    0.26720
  • Mean of quarter 1
    0.06487
  • Mean of quarter 2
    0.07948
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26720
  • Inter Quartile Range
    0.10117
  • 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)
    1.05157
  • Compounded annual return (geometric extrapolation)
    0.92949
  • Calmar ratio (compounded annual return / max draw down)
    3.47866
  • Compounded annual return / average of 25% largest draw downs
    3.47866
  • Compounded annual return / Expected Shortfall lognormal
    4.19298
  • 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
    0.72371
  • SD
    0.37309
  • Sharpe ratio (Glass type estimate)
    1.93976
  • Sharpe ratio (Hedges UMVUE)
    1.93563
  • df
    352.00000
  • t
    2.25157
  • p
    0.01248
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24380
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24105
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63021
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68920
  • Upside Potential Ratio
    8.93564
  • Upside part of mean
    2.40472
  • Downside part of mean
    -1.68102
  • Upside SD
    0.26149
  • Downside SD
    0.26912
  • N nonnegative terms
    211.00000
  • N negative terms
    142.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    353.00000
  • Mean of predictor
    0.10947
  • Mean of criterion
    0.72371
  • SD of predictor
    0.07673
  • SD of criterion
    0.37309
  • Covariance
    0.01133
  • r
    0.39585
  • b (slope, estimate of beta)
    1.92477
  • a (intercept, estimate of alpha)
    0.51300
  • Mean Square Error
    0.11772
  • DF error
    351.00000
  • t(b)
    8.07594
  • p(b)
    -0.00000
  • t(a)
    1.72879
  • p(a)
    0.04236
  • Lowerbound of 95% confidence interval for beta
    1.45603
  • Upperbound of 95% confidence interval for beta
    2.39351
  • Lowerbound of 95% confidence interval for alpha
    -0.07061
  • Upperbound of 95% confidence interval for alpha
    1.09660
  • Treynor index (mean / b)
    0.37600
  • Jensen alpha (a)
    0.51299
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65228
  • SD
    0.37758
  • Sharpe ratio (Glass type estimate)
    1.72753
  • Sharpe ratio (Hedges UMVUE)
    1.72384
  • df
    352.00000
  • t
    2.00522
  • p
    0.02285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41967
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03051
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41718
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.33468
  • Upside Potential Ratio
    8.48707
  • Upside part of mean
    2.37117
  • Downside part of mean
    -1.71890
  • Upside SD
    0.25638
  • Downside SD
    0.27939
  • N nonnegative terms
    211.00000
  • N negative terms
    142.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    353.00000
  • Mean of predictor
    0.10650
  • Mean of criterion
    0.65228
  • SD of predictor
    0.07676
  • SD of criterion
    0.37758
  • Covariance
    0.01146
  • r
    0.39536
  • b (slope, estimate of beta)
    1.94477
  • a (intercept, estimate of alpha)
    0.44515
  • Mean Square Error
    0.12062
  • DF error
    351.00000
  • t(b)
    8.06409
  • p(b)
    -0.00000
  • t(a)
    1.48230
  • p(a)
    0.06958
  • Lowerbound of 95% confidence interval for beta
    1.47046
  • Upperbound of 95% confidence interval for beta
    2.41907
  • Lowerbound of 95% confidence interval for alpha
    -0.14549
  • Upperbound of 95% confidence interval for alpha
    1.03579
  • Treynor index (mean / b)
    0.33540
  • Jensen alpha (a)
    0.44515
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03524
  • Expected Shortfall on VaR
    0.04457
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01246
  • Expected Shortfall on VaR
    0.02762
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    353.00000
  • Minimum
    0.87555
  • Quartile 1
    0.99461
  • Median
    1.00316
  • Quartile 3
    1.01423
  • Maximum
    1.08104
  • Mean of quarter 1
    0.97592
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00830
  • Mean of quarter 4
    1.02808
  • Inter Quartile Range
    0.01962
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.04533
  • Mean of outliers low
    0.93683
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.03683
  • Mean of outliers high
    1.05464
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32902
  • VaR(95%) (moments method)
    0.01921
  • Expected Shortfall (moments method)
    0.03571
  • Extreme Value Index (regression method)
    0.40118
  • VaR(95%) (regression method)
    0.01916
  • Expected Shortfall (regression method)
    0.03850
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00668
  • Median
    0.03468
  • Quartile 3
    0.07171
  • Maximum
    0.33227
  • Mean of quarter 1
    0.00264
  • Mean of quarter 2
    0.02051
  • Mean of quarter 3
    0.04474
  • Mean of quarter 4
    0.16137
  • Inter Quartile Range
    0.06503
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.23714
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14993
  • VaR(95%) (moments method)
    0.17017
  • Expected Shortfall (moments method)
    0.25221
  • Extreme Value Index (regression method)
    1.85312
  • VaR(95%) (regression method)
    0.13590
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.11357
  • Compounded annual return (geometric extrapolation)
    0.97424
  • Calmar ratio (compounded annual return / max draw down)
    2.93207
  • Compounded annual return / average of 25% largest draw downs
    6.03736
  • Compounded annual return / Expected Shortfall lognormal
    21.86060
  • 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
    0.66497
  • SD
    0.39143
  • Sharpe ratio (Glass type estimate)
    1.69885
  • Sharpe ratio (Hedges UMVUE)
    1.68903
  • df
    130.00000
  • t
    1.20127
  • p
    0.44761
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08378
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47520
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46843
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20267
  • Upside Potential Ratio
    7.94551
  • Upside part of mean
    2.39870
  • Downside part of mean
    -1.73372
  • Upside SD
    0.25018
  • Downside SD
    0.30189
  • N nonnegative terms
    87.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12842
  • Mean of criterion
    0.66497
  • SD of predictor
    0.06500
  • SD of criterion
    0.39143
  • Covariance
    0.01440
  • r
    0.56581
  • b (slope, estimate of beta)
    3.40702
  • a (intercept, estimate of alpha)
    0.22745
  • Mean Square Error
    0.10497
  • DF error
    129.00000
  • t(b)
    7.79392
  • p(b)
    0.16006
  • t(a)
    0.49271
  • p(a)
    0.47242
  • Lowerbound of 95% confidence interval for beta
    2.54213
  • Upperbound of 95% confidence interval for beta
    4.27191
  • Lowerbound of 95% confidence interval for alpha
    -0.68588
  • Upperbound of 95% confidence interval for alpha
    1.14077
  • Treynor index (mean / b)
    0.19518
  • Jensen alpha (a)
    0.22745
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58590
  • SD
    0.40030
  • Sharpe ratio (Glass type estimate)
    1.46367
  • Sharpe ratio (Hedges UMVUE)
    1.45521
  • df
    130.00000
  • t
    1.03497
  • p
    0.45480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31662
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23840
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23265
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85390
  • Upside Potential Ratio
    7.49235
  • Upside part of mean
    2.36787
  • Downside part of mean
    -1.78196
  • Upside SD
    0.24586
  • Downside SD
    0.31604
  • N nonnegative terms
    87.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12628
  • Mean of criterion
    0.58590
  • SD of predictor
    0.06505
  • SD of criterion
    0.40030
  • Covariance
    0.01455
  • r
    0.55871
  • b (slope, estimate of beta)
    3.43805
  • a (intercept, estimate of alpha)
    0.15176
  • Mean Square Error
    0.11107
  • DF error
    129.00000
  • t(b)
    7.65124
  • p(b)
    0.16380
  • t(a)
    0.31967
  • p(a)
    0.48209
  • Lowerbound of 95% confidence interval for beta
    2.54901
  • Upperbound of 95% confidence interval for beta
    4.32709
  • Lowerbound of 95% confidence interval for alpha
    -0.78750
  • Upperbound of 95% confidence interval for alpha
    1.09102
  • Treynor index (mean / b)
    0.17042
  • Jensen alpha (a)
    0.15176
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03771
  • Expected Shortfall on VaR
    0.04757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01114
  • Expected Shortfall on VaR
    0.02609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87555
  • Quartile 1
    0.99448
  • Median
    1.00413
  • Quartile 3
    1.01377
  • Maximum
    1.05664
  • Mean of quarter 1
    0.97457
  • Mean of quarter 2
    1.00084
  • Mean of quarter 3
    1.00823
  • Mean of quarter 4
    1.02710
  • Inter Quartile Range
    0.01929
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.91863
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.05151
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51308
  • VaR(95%) (moments method)
    0.02362
  • Expected Shortfall (moments method)
    0.05567
  • Extreme Value Index (regression method)
    0.69166
  • VaR(95%) (regression method)
    0.02058
  • Expected Shortfall (regression method)
    0.06700
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00265
  • Quartile 1
    0.01060
  • Median
    0.03696
  • Quartile 3
    0.05974
  • Maximum
    0.33227
  • Mean of quarter 1
    0.00663
  • Mean of quarter 2
    0.03696
  • Mean of quarter 3
    0.05974
  • Mean of quarter 4
    0.33227
  • Inter Quartile Range
    0.04915
  • 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
    0.20000
  • Mean of outliers high
    0.33227
  • 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)
    0.71842
  • Compounded annual return (geometric extrapolation)
    0.84746
  • Calmar ratio (compounded annual return / max draw down)
    2.55050
  • Compounded annual return / average of 25% largest draw downs
    2.55050
  • Compounded annual return / Expected Shortfall lognormal
    17.81680

Strategy Description

For more information go to www.jonathankinlay.com

Summary Statistics

Strategy began
2016-07-18
Minimum Capital Required
$25,000
# Trades
375
# Profitable
214
% Profitable
57.1%
Correlation S&P500
0.404
Sharpe Ratio
1.936

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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