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Featured Strategy IC Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Elite Vol Trader
(110062706)

Created by: VIXStrategies VIXStrategies
Started: 03/2017
Stocks
Last trade: 2,478 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 $99.00 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.

1.5%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(25.4%)
Max Drawdown
86
Num Trades
43.0%
Win Trades
1.1 : 1
Profit Factor
2.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              (1.2%)+10.6%(3.8%)(5.4%)+0.5%  -    -    -    -    -  (0.1%)
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 67 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2520 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/14/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 455 86.73 7/14 15:50 88.36 0.34%
Trade id #112607056
Max drawdown($91)
Time7/14/17 9:32
Quant open455
Worst price86.53
Drawdown as % of equity-0.34%
 $733
Includes Typical Broker Commissions trade costs of $9.10
7/13/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,250 12.36 7/13 15:50 12.23 1.96%
Trade id #112578359
Max drawdown($520)
Time7/13/17 12:25
Quant open3,250
Worst price12.20
Drawdown as % of equity-1.96%
 ($428)
Includes Typical Broker Commissions trade costs of $5.00
7/12/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,280 12.52 7/12 15:50 12.36 2.31%
Trade id #112547438
Max drawdown($623)
Time7/12/17 15:15
Quant open3,280
Worst price12.33
Drawdown as % of equity-2.31%
 ($530)
Includes Typical Broker Commissions trade costs of $5.00
7/11/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,225 12.82 7/11 15:50 12.75 1.87%
Trade id #112517351
Max drawdown($516)
Time7/11/17 10:42
Quant open3,225
Worst price12.66
Drawdown as % of equity-1.87%
 ($231)
Includes Typical Broker Commissions trade costs of $5.00
7/10/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,290 13.09 7/10 15:50 12.75 5.09%
Trade id #112492984
Max drawdown($1,414)
Time7/10/17 13:57
Quant open3,290
Worst price12.66
Drawdown as % of equity-5.09%
 ($1,124)
Includes Typical Broker Commissions trade costs of $5.00
7/7/17 9:32 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,015 13.30 7/7 15:50 13.08 2.41%
Trade id #112464923
Max drawdown($693)
Time7/7/17 15:42
Quant open3,015
Worst price13.07
Drawdown as % of equity-2.41%
 ($668)
Includes Typical Broker Commissions trade costs of $5.00
7/6/17 9:41 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,165 13.17 7/6 15:50 13.61 0.9%
Trade id #112441287
Max drawdown($253)
Time7/6/17 13:24
Quant open3,165
Worst price13.09
Drawdown as % of equity-0.90%
 $1,388
Includes Typical Broker Commissions trade costs of $5.00
7/3/17 9:31 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,200 12.55 7/5 16:01 12.90 0.96%
Trade id #112383193
Max drawdown($256)
Time7/3/17 10:14
Quant open3,200
Worst price12.47
Drawdown as % of equity-0.96%
 $1,115
Includes Typical Broker Commissions trade costs of $5.00
6/30/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,165 12.62 6/30 15:50 12.64 1.19%
Trade id #112300832
Max drawdown($317)
Time6/30/17 9:51
Quant open3,165
Worst price12.52
Drawdown as % of equity-1.19%
 $58
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 9:31 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,085 12.34 6/29 15:50 12.94 0%
Trade id #112279586
Max drawdown$0
Time6/29/17 9:33
Quant open3,085
Worst price12.34
Drawdown as % of equity0.00%
 $1,846
Includes Typical Broker Commissions trade costs of $5.00
6/28/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,055 12.46 6/28 15:50 12.31 2.57%
Trade id #112255100
Max drawdown($641)
Time6/28/17 13:46
Quant open3,055
Worst price12.25
Drawdown as % of equity-2.57%
 ($463)
Includes Typical Broker Commissions trade costs of $5.00
6/27/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,980 12.33 6/27 15:50 12.63 1.73%
Trade id #112230317
Max drawdown($417)
Time6/27/17 10:47
Quant open2,980
Worst price12.19
Drawdown as % of equity-1.73%
 $889
Includes Typical Broker Commissions trade costs of $5.00
6/26/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,000 12.38 6/26 15:50 12.27 1.58%
Trade id #112211204
Max drawdown($390)
Time6/26/17 14:34
Quant open3,000
Worst price12.25
Drawdown as % of equity-1.58%
 ($335)
Includes Typical Broker Commissions trade costs of $5.00
6/23/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,990 12.65 6/23 15:50 12.52 1.68%
Trade id #112189548
Max drawdown($418)
Time6/23/17 13:37
Quant open2,990
Worst price12.51
Drawdown as % of equity-1.68%
 ($394)
Includes Typical Broker Commissions trade costs of $5.00
6/22/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,950 12.76 6/22 15:50 12.66 1.99%
Trade id #112169191
Max drawdown($501)
Time6/22/17 15:08
Quant open2,950
Worst price12.59
Drawdown as % of equity-1.99%
 ($300)
Includes Typical Broker Commissions trade costs of $5.00
6/21/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,980 12.69 6/21 15:50 12.79 0.95%
Trade id #112149743
Max drawdown($238)
Time6/21/17 10:43
Quant open2,980
Worst price12.61
Drawdown as % of equity-0.95%
 $293
Includes Typical Broker Commissions trade costs of $5.00
6/20/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 460 84.15 6/20 15:50 82.82 3.1%
Trade id #112132478
Max drawdown($791)
Time6/20/17 12:30
Quant open460
Worst price82.43
Drawdown as % of equity-3.10%
 ($621)
Includes Typical Broker Commissions trade costs of $9.20
6/19/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,110 12.75 6/19 15:51 12.52 3.01%
Trade id #112115939
Max drawdown($777)
Time6/19/17 13:37
Quant open3,110
Worst price12.50
Drawdown as % of equity-3.01%
 ($720)
Includes Typical Broker Commissions trade costs of $5.00
6/16/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,060 12.98 6/16 15:50 12.97 0.23%
Trade id #112094429
Max drawdown($61)
Time6/16/17 14:53
Quant open3,060
Worst price12.96
Drawdown as % of equity-0.23%
 ($36)
Includes Typical Broker Commissions trade costs of $5.00
6/15/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,110 13.44 6/15 15:50 13.06 5.39%
Trade id #112073201
Max drawdown($1,461)
Time6/15/17 15:21
Quant open3,110
Worst price12.97
Drawdown as % of equity-5.39%
 ($1,187)
Includes Typical Broker Commissions trade costs of $5.00
6/14/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,220 12.99 6/14 15:50 12.94 1.15%
Trade id #112050113
Max drawdown($322)
Time6/14/17 14:06
Quant open3,220
Worst price12.89
Drawdown as % of equity-1.15%
 ($166)
Includes Typical Broker Commissions trade costs of $5.00
6/13/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,220 13.17 6/13 15:50 13.01 2.42%
Trade id #112029409
Max drawdown($676)
Time6/13/17 15:29
Quant open3,220
Worst price12.96
Drawdown as % of equity-2.42%
 ($520)
Includes Typical Broker Commissions trade costs of $5.00
6/12/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,140 13.48 6/12 15:50 13.52 0.78%
Trade id #112012022
Max drawdown($219)
Time6/12/17 9:37
Quant open3,140
Worst price13.41
Drawdown as % of equity-0.78%
 $121
Includes Typical Broker Commissions trade costs of $5.00
6/9/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,095 13.00 6/9 15:50 13.45 1.73%
Trade id #111986336
Max drawdown($464)
Time6/9/17 10:29
Quant open3,095
Worst price12.85
Drawdown as % of equity-1.73%
 $1,388
Includes Typical Broker Commissions trade costs of $5.00
6/8/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,110 13.42 6/8 15:50 13.14 4.53%
Trade id #111967562
Max drawdown($1,212)
Time6/8/17 12:22
Quant open3,110
Worst price13.03
Drawdown as % of equity-4.53%
 ($876)
Includes Typical Broker Commissions trade costs of $5.00
6/7/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,100 13.43 6/7 15:50 13.43 0.78%
Trade id #111947748
Max drawdown($217)
Time6/7/17 9:36
Quant open3,100
Worst price13.36
Drawdown as % of equity-0.78%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
6/6/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,040 13.41 6/6 15:50 13.58 1%
Trade id #111928635
Max drawdown($273)
Time6/6/17 9:57
Quant open3,040
Worst price13.32
Drawdown as % of equity-1.00%
 $512
Includes Typical Broker Commissions trade costs of $5.00
6/5/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,095 13.28 6/5 15:50 13.23 3.24%
Trade id #111912789
Max drawdown($866)
Time6/5/17 12:06
Quant open3,095
Worst price13.00
Drawdown as % of equity-3.24%
 ($160)
Includes Typical Broker Commissions trade costs of $5.00
6/2/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,115 13.25 6/2 15:50 13.20 1.82%
Trade id #111888599
Max drawdown($498)
Time6/2/17 10:29
Quant open3,115
Worst price13.09
Drawdown as % of equity-1.82%
 ($161)
Includes Typical Broker Commissions trade costs of $5.00
6/1/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,145 13.33 6/1 15:50 13.19 1.7%
Trade id #111867729
Max drawdown($471)
Time6/1/17 11:57
Quant open3,145
Worst price13.18
Drawdown as % of equity-1.70%
 ($445)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    3/6/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2603.76
  • Age
    87 months ago
  • What it trades
    Stocks
  • # Trades
    86
  • # Profitable
    37
  • % Profitable
    43.00%
  • Avg trade duration
    6.7 hours
  • Max peak-to-valley drawdown
    25.36%
  • drawdown period
    May 17, 2017 - June 27, 2017
  • Cumul. Return
    0.6%
  • Avg win
    $671.62
  • Avg loss
    $463.71
  • Model Account Values (Raw)
  • Cash
    $27,127
  • Margin Used
    $0
  • Buying Power
    $27,127
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    -0.18
  • Sortino Ratio
    -0.3
  • Calmar Ratio
    0.305
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.97%
  • Correlation to SP500
    -0.02240
  • Return Percent SP500 (cumu) during strategy life
    114.71%
  • Return Statistics
  • Ann Return (w trading costs)
    1.5%
  • Slump
  • Current Slump as Pcnt Equity
    19.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.006%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.00%
  • Chance of 20% account loss
    12.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    1.16%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    451
  • Popularity (Last 6 weeks)
    867
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    651
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $464
  • Avg Win
    $672
  • Sum Trade PL (losers)
    $22,722.000
  • Age
  • Num Months filled monthly returns table
    86
  • Win / Loss
  • Sum Trade PL (winners)
    $24,850.000
  • # Winners
    37
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    49
  • % Winners
    43.0%
  • Frequency
  • Avg Position Time (mins)
    400.27
  • Avg Position Time (hrs)
    6.67
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    2474
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.01
  • Treynor Index
    0.48
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.17
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    59.56
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    18.779
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.356
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.369
  • Hold-and-Hope Ratio
    0.052
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33035
  • SD
    0.22243
  • Sharpe ratio (Glass type estimate)
    1.48519
  • Sharpe ratio (Hedges UMVUE)
    1.07469
  • df
    3.00000
  • t
    0.85748
  • p
    0.22711
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96031
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.42728
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57666
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.52850
  • Upside Potential Ratio
    11.79040
  • Upside part of mean
    0.40876
  • Downside part of mean
    -0.07842
  • Upside SD
    0.21213
  • Downside SD
    0.03467
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.04443
  • Mean of criterion
    0.33035
  • SD of predictor
    0.04425
  • SD of criterion
    0.22243
  • Covariance
    0.00731
  • r
    0.74310
  • b (slope, estimate of beta)
    3.73527
  • a (intercept, estimate of alpha)
    0.16439
  • Mean Square Error
    0.03323
  • DF error
    2.00000
  • t(b)
    1.57045
  • p(b)
    0.12845
  • t(a)
    0.49374
  • p(a)
    0.33519
  • Lowerbound of 95% confidence interval for beta
    -6.49846
  • Upperbound of 95% confidence interval for beta
    13.96900
  • Lowerbound of 95% confidence interval for alpha
    -1.26820
  • Upperbound of 95% confidence interval for alpha
    1.59698
  • Treynor index (mean / b)
    0.08844
  • Jensen alpha (a)
    0.16439
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30822
  • SD
    0.21059
  • Sharpe ratio (Glass type estimate)
    1.46361
  • Sharpe ratio (Hedges UMVUE)
    1.05907
  • df
    3.00000
  • t
    0.84502
  • p
    0.23008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.43985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55800
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.83550
  • Upside Potential Ratio
    11.09560
  • Upside part of mean
    0.38706
  • Downside part of mean
    -0.07884
  • Upside SD
    0.19990
  • Downside SD
    0.03488
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.04352
  • Mean of criterion
    0.30822
  • SD of predictor
    0.04403
  • SD of criterion
    0.21059
  • Covariance
    0.00689
  • r
    0.74272
  • b (slope, estimate of beta)
    3.55223
  • a (intercept, estimate of alpha)
    0.15364
  • Mean Square Error
    0.02983
  • DF error
    2.00000
  • t(b)
    1.56864
  • p(b)
    0.12864
  • t(a)
    0.48783
  • p(a)
    0.33696
  • Lowerbound of 95% confidence interval for beta
    -6.19123
  • Upperbound of 95% confidence interval for beta
    13.29570
  • Lowerbound of 95% confidence interval for alpha
    -1.20145
  • Upperbound of 95% confidence interval for alpha
    1.50872
  • Treynor index (mean / b)
    0.08677
  • Jensen alpha (a)
    0.15364
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07161
  • Expected Shortfall on VaR
    0.09467
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01526
  • Expected Shortfall on VaR
    0.02404
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98383
  • Quartile 1
    0.99197
  • Median
    1.00584
  • Quartile 3
    1.04373
  • Maximum
    1.12392
  • Mean of quarter 1
    0.98383
  • Mean of quarter 2
    0.99469
  • Mean of quarter 3
    1.01699
  • Mean of quarter 4
    1.12392
  • Inter Quartile Range
    0.05175
  • 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
    0.25000
  • Mean of outliers high
    1.12392
  • Risk estimates for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00531
  • Quartile 1
    0.00803
  • Median
    0.01074
  • Quartile 3
    0.01346
  • Maximum
    0.01617
  • Mean of quarter 1
    0.00531
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01617
  • Inter Quartile Range
    0.00543
  • 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)
    0.35568
  • Compounded annual return (geometric extrapolation)
    0.39952
  • Calmar ratio (compounded annual return / max draw down)
    24.70210
  • Compounded annual return / average of 25% largest draw downs
    24.70210
  • Compounded annual return / Expected Shortfall lognormal
    4.22000
  • 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
    0.24469
  • SD
    0.31849
  • Sharpe ratio (Glass type estimate)
    0.76829
  • Sharpe ratio (Hedges UMVUE)
    0.76221
  • df
    95.00000
  • t
    0.46506
  • p
    0.32148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00192
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29645
  • Upside Potential Ratio
    11.09660
  • Upside part of mean
    2.09439
  • Downside part of mean
    -1.84970
  • Upside SD
    0.25492
  • Downside SD
    0.18874
  • N nonnegative terms
    45.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    96.00000
  • Mean of predictor
    0.06935
  • Mean of criterion
    0.24469
  • SD of predictor
    0.07215
  • SD of criterion
    0.31849
  • Covariance
    -0.00619
  • r
    -0.26957
  • b (slope, estimate of beta)
    -1.19001
  • a (intercept, estimate of alpha)
    0.05300
  • Mean Square Error
    0.09507
  • DF error
    94.00000
  • t(b)
    -2.71408
  • p(b)
    0.99605
  • t(a)
    0.64126
  • p(a)
    0.26146
  • Lowerbound of 95% confidence interval for beta
    -2.06059
  • Upperbound of 95% confidence interval for beta
    -0.31944
  • Lowerbound of 95% confidence interval for alpha
    -0.68594
  • Upperbound of 95% confidence interval for alpha
    1.34037
  • Treynor index (mean / b)
    -0.20562
  • Jensen alpha (a)
    0.32722
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19494
  • SD
    0.31592
  • Sharpe ratio (Glass type estimate)
    0.61705
  • Sharpe ratio (Hedges UMVUE)
    0.61216
  • df
    95.00000
  • t
    0.37351
  • p
    0.35480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62360
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85457
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85123
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02138
  • Upside Potential Ratio
    10.80650
  • Upside part of mean
    2.06252
  • Downside part of mean
    -1.86758
  • Upside SD
    0.24997
  • Downside SD
    0.19086
  • N nonnegative terms
    45.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    96.00000
  • Mean of predictor
    0.06675
  • Mean of criterion
    0.19494
  • SD of predictor
    0.07224
  • SD of criterion
    0.31592
  • Covariance
    -0.00614
  • r
    -0.26888
  • b (slope, estimate of beta)
    -1.17594
  • a (intercept, estimate of alpha)
    0.27343
  • Mean Square Error
    0.09358
  • DF error
    94.00000
  • t(b)
    -2.70659
  • p(b)
    0.99596
  • t(a)
    0.54018
  • p(a)
    0.29517
  • Lowerbound of 95% confidence interval for beta
    -2.03859
  • Upperbound of 95% confidence interval for beta
    -0.31328
  • Lowerbound of 95% confidence interval for alpha
    -0.73161
  • Upperbound of 95% confidence interval for alpha
    1.27848
  • Treynor index (mean / b)
    -0.16577
  • Jensen alpha (a)
    0.27343
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03087
  • Expected Shortfall on VaR
    0.03872
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01707
  • Expected Shortfall on VaR
    0.02868
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    96.00000
  • Minimum
    0.96593
  • Quartile 1
    0.98586
  • Median
    1.00000
  • Quartile 3
    1.00995
  • Maximum
    1.06508
  • Mean of quarter 1
    0.97917
  • Mean of quarter 2
    0.99282
  • Mean of quarter 3
    1.00412
  • Mean of quarter 4
    1.02805
  • Inter Quartile Range
    0.02409
  • 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
    0.02083
  • Mean of outliers high
    1.05639
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14977
  • VaR(95%) (moments method)
    0.02250
  • Expected Shortfall (moments method)
    0.02656
  • Extreme Value Index (regression method)
    -0.31446
  • VaR(95%) (regression method)
    0.02095
  • Expected Shortfall (regression method)
    0.02340
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02658
  • Quartile 1
    0.04961
  • Median
    0.06480
  • Quartile 3
    0.10519
  • Maximum
    0.20377
  • Mean of quarter 1
    0.02658
  • Mean of quarter 2
    0.05728
  • Mean of quarter 3
    0.07233
  • Mean of quarter 4
    0.20377
  • Inter Quartile Range
    0.05558
  • 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
    0.25000
  • Mean of outliers high
    0.20377
  • 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)
    0.23220
  • Compounded annual return (geometric extrapolation)
    0.24963
  • Calmar ratio (compounded annual return / max draw down)
    1.22503
  • Compounded annual return / average of 25% largest draw downs
    1.22503
  • Compounded annual return / Expected Shortfall lognormal
    6.44707
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Max Equity Drawdown (num days)
    41

Strategy Description

**You can see our backtested performance here: http://www.vixstrategies.com/strategy/
**You get access to both of our strategies for just $99/month.

We seek to capture the risk premiums (Roll-Yield/Contango) present in the VIX term structure, without taking undue risk. While we make quick adjustments to changes in the VIX term structure, we maintain a long-term perspective and accept that short-term drawdowns will inevitably happen from time-to-time.

Key Characteristics

1) No Overnight Positions
2) Utilize Intraday Stop-Losses
3) Strategically Alter Allocations to Manage Drawdowns
4) Execute Trades using Market-on-Open and Market-on-Close orders (for auto-traders, MOC orders will be replicated by placing a market order at 15:59 ET)
5) Long Only Trades in Volatility ETN’s

To accommodate varying risk tolerances, we offer two different strategies – one with higher potential reward, and one with lower expected drawdowns.

Elite Vol Trader:
Offers higher potential reward in exchange for higher potential short-term drawdowns. Will often (but not always) use leverage – so allocations can be over 100% on an intraday basis. Returns tend to be more volatile than our Conservative Vol Trader strategy. Our benchmark is an XIV Buy and Hold approach.

Conservative Vol Trader:
Offers potential for lower short-term drawdowns in exchange for lower expected returns. Does not use leverage – so allocations will never be over 100% on an intraday basis. Returns tend to be less volatile than our Elite Vol Trader strategy. Our benchmark is an S&P 500 Buy and Hold approach.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2017-03-06
Suggested Minimum Capital
$25,000
# Trades
86
# Profitable
37
% Profitable
43.0%
Correlation S&P500
-0.022
Sharpe Ratio
-0.18
Sortino Ratio
-0.30
Beta
-0.01
Alpha
-0.00

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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