Collective2 Collective2
Featured Strategy Easiest Followed by live capital $433,000 Hypothetical

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This is an archived track record. This track record was archived on 2/7/18 3:48 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Day Trader Futures
(111555949)

Created by: AvcBvc AvcBvc
Started: 05/2017
Stocks
Last trade: 2,270 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 $49.00 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.

9.5%
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.

(15.8%)
Max Drawdown
87
Num Trades
50.6%
Win Trades
1.2 : 1
Profit Factor
6.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +9.7%(12.1%)(0.2%)+5.2%+9.1%+6.6%+1.7%(6.1%)+12.4%
2018(4.2%)(1.5%)  -    -    -    -    -    -    -    -    -    -  (5.6%)
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.

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/6/18 13:45 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 806 51.36 2/6 15:00 47.38 7.62%
Trade id #116350363
Max drawdown($3,211)
Time2/6/18 15:00
Quant open806
Worst price47.37
Drawdown as % of equity-7.62%
 ($3,216)
Includes Typical Broker Commissions trade costs of $16.12
2/5/18 14:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 536 37.50 2/5 15:15 39.97 0.21%
Trade id #116307303
Max drawdown($85)
Time2/5/18 14:41
Quant open536
Worst price37.34
Drawdown as % of equity-0.21%
 $1,318
Includes Typical Broker Commissions trade costs of $7.86
2/2/18 11:15 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,236 31.53 2/2 15:30 32.70 n/a $1,433
Includes Typical Broker Commissions trade costs of $10.00
2/2/18 10:15 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 627 30.81 2/2 10:30 30.72 0.25%
Trade id #116248819
Max drawdown($100)
Time2/2/18 10:27
Quant open627
Worst price30.65
Drawdown as % of equity-0.25%
 ($61)
Includes Typical Broker Commissions trade costs of $5.00
2/1/18 11:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 298 129.83 2/1 14:00 130.05 0.33%
Trade id #116226646
Max drawdown($128)
Time2/1/18 11:48
Quant open298
Worst price129.40
Drawdown as % of equity-0.33%
 $60
Includes Typical Broker Commissions trade costs of $5.96
1/31/18 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 306 128.00 1/31 10:45 126.12 1.45%
Trade id #116198252
Max drawdown($575)
Time1/31/18 10:45
Quant open0
Worst price126.12
Drawdown as % of equity-1.45%
 ($581)
Includes Typical Broker Commissions trade costs of $6.12
1/30/18 10:00 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,268 31.48 1/30 10:30 30.88 1.86%
Trade id #116174026
Max drawdown($761)
Time1/30/18 10:30
Quant open634
Worst price30.87
Drawdown as % of equity-1.86%
 ($771)
Includes Typical Broker Commissions trade costs of $10.00
1/26/18 10:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 287 140.82 1/26 12:15 139.26 1.09%
Trade id #116118886
Max drawdown($448)
Time1/26/18 12:15
Quant open0
Worst price139.26
Drawdown as % of equity-1.09%
 ($454)
Includes Typical Broker Commissions trade costs of $5.74
1/22/18 11:15 XIV VELOCITYSHARES DAILY INVERSE V LONG 561 144.08 1/22 15:00 143.95 0.18%
Trade id #116024982
Max drawdown($73)
Time1/22/18 15:00
Quant open280
Worst price143.95
Drawdown as % of equity-0.18%
 ($84)
Includes Typical Broker Commissions trade costs of $11.22
1/18/18 14:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 288 142.71 1/18 15:45 140.33 2.25%
Trade id #115964615
Max drawdown($940)
Time1/18/18 15:37
Quant open288
Worst price139.44
Drawdown as % of equity-2.25%
 ($691)
Includes Typical Broker Commissions trade costs of $5.76
1/17/18 11:15 XIV VELOCITYSHARES DAILY INVERSE V LONG 584 141.60 1/17 15:30 141.78 n/a $93
Includes Typical Broker Commissions trade costs of $11.68
1/16/18 13:00 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,499 26.92 1/16 15:06 27.36 0.22%
Trade id #115908165
Max drawdown($90)
Time1/16/18 13:18
Quant open752
Worst price26.70
Drawdown as % of equity-0.22%
 $648
Includes Typical Broker Commissions trade costs of $10.05
1/11/18 12:46 XIV VELOCITYSHARES DAILY INVERSE V LONG 566 145.83 1/11 15:30 144.75 1.61%
Trade id #115835327
Max drawdown($677)
Time1/11/18 15:28
Quant open566
Worst price144.63
Drawdown as % of equity-1.61%
 ($620)
Includes Typical Broker Commissions trade costs of $11.32
1/10/18 13:00 XIV VELOCITYSHARES DAILY INVERSE V LONG 286 144.27 1/10 14:30 143.34 0.7%
Trade id #115806785
Max drawdown($294)
Time1/10/18 14:29
Quant open286
Worst price143.24
Drawdown as % of equity-0.70%
 ($272)
Includes Typical Broker Commissions trade costs of $5.72
1/9/18 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 286 145.23 1/9 10:00 143.98 0.85%
Trade id #115769954
Max drawdown($360)
Time1/9/18 9:59
Quant open286
Worst price143.97
Drawdown as % of equity-0.85%
 ($364)
Includes Typical Broker Commissions trade costs of $5.72
1/8/18 11:00 XIV VELOCITYSHARES DAILY INVERSE V LONG 574 143.95 1/8 15:58 144.35 0.43%
Trade id #115748977
Max drawdown($180)
Time1/8/18 11:10
Quant open287
Worst price143.28
Drawdown as % of equity-0.43%
 $222
Includes Typical Broker Commissions trade costs of $8.24
1/3/18 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 582 142.06 1/3 15:58 141.88 1.51%
Trade id #115665339
Max drawdown($633)
Time1/3/18 11:19
Quant open582
Worst price140.97
Drawdown as % of equity-1.51%
 ($113)
Includes Typical Broker Commissions trade costs of $8.32
1/2/18 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 586 136.53 1/2 15:58 138.97 0.37%
Trade id #115642753
Max drawdown($152)
Time1/2/18 9:51
Quant open586
Worst price136.27
Drawdown as % of equity-0.37%
 $1,422
Includes Typical Broker Commissions trade costs of $8.36
12/28/17 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 293 135.80 12/28 15:58 136.57 0.51%
Trade id #115561899
Max drawdown($208)
Time12/28/17 12:05
Quant open293
Worst price135.09
Drawdown as % of equity-0.51%
 $220
Includes Typical Broker Commissions trade costs of $5.86
12/27/17 10:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 589 136.97 12/27 12:15 136.05 1.4%
Trade id #115540499
Max drawdown($572)
Time12/27/17 12:15
Quant open589
Worst price136.00
Drawdown as % of equity-1.40%
 ($557)
Includes Typical Broker Commissions trade costs of $11.78
12/18/17 11:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 601 136.13 12/18 15:58 135.04 1.93%
Trade id #115408856
Max drawdown($799)
Time12/18/17 15:51
Quant open601
Worst price134.80
Drawdown as % of equity-1.93%
 ($664)
Includes Typical Broker Commissions trade costs of $8.51
12/18/17 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 614 136.01 12/18 10:15 134.83 1.73%
Trade id #115406261
Max drawdown($728)
Time12/18/17 10:15
Quant open307
Worst price134.83
Drawdown as % of equity-1.73%
 ($740)
Includes Typical Broker Commissions trade costs of $12.28
12/15/17 10:15 XIV VELOCITYSHARES DAILY INVERSE V LONG 619 131.73 12/15 15:58 133.29 n/a $957
Includes Typical Broker Commissions trade costs of $8.69
12/11/17 12:15 XIV VELOCITYSHARES DAILY INVERSE V LONG 628 126.13 12/11 15:58 127.97 0.15%
Trade id #115293331
Max drawdown($59)
Time12/11/17 12:23
Quant open315
Worst price125.62
Drawdown as % of equity-0.15%
 $1,144
Includes Typical Broker Commissions trade costs of $8.78
12/8/17 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 637 122.30 12/8 15:58 123.42 0.37%
Trade id #115257443
Max drawdown($146)
Time12/8/17 10:17
Quant open319
Worst price121.57
Drawdown as % of equity-0.37%
 $705
Includes Typical Broker Commissions trade costs of $8.87
12/7/17 10:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 656 119.52 12/7 14:45 119.00 0.93%
Trade id #115242019
Max drawdown($369)
Time12/7/17 11:09
Quant open656
Worst price118.95
Drawdown as % of equity-0.93%
 ($348)
Includes Typical Broker Commissions trade costs of $13.12
12/4/17 13:00 XIV VELOCITYSHARES DAILY INVERSE V LONG 334 120.36 12/4 15:45 117.45 2.49%
Trade id #115176969
Max drawdown($1,015)
Time12/4/17 15:43
Quant open334
Worst price117.32
Drawdown as % of equity-2.49%
 ($979)
Includes Typical Broker Commissions trade costs of $6.68
12/1/17 11:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,392 35.49 12/1 11:45 34.57 8.64%
Trade id #115144239
Max drawdown($3,492)
Time12/1/17 11:43
Quant open2,392
Worst price34.03
Drawdown as % of equity-8.64%
 ($2,223)
Includes Typical Broker Commissions trade costs of $10.00
11/28/17 12:00 XIV VELOCITYSHARES DAILY INVERSE V LONG 715 120.82 11/28 14:00 119.59 2.12%
Trade id #115080393
Max drawdown($929)
Time11/28/17 13:57
Quant open715
Worst price119.52
Drawdown as % of equity-2.12%
 ($893)
Includes Typical Broker Commissions trade costs of $14.30
11/22/17 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 735 118.89 11/22 12:30 118.17 1.57%
Trade id #114980357
Max drawdown($701)
Time11/22/17 10:33
Quant open735
Worst price117.94
Drawdown as % of equity-1.57%
 ($548)
Includes Typical Broker Commissions trade costs of $14.70
Next

Statistics

  • Strategy began
    5/11/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2537.88
  • Age
    85 months ago
  • What it trades
    Stocks
  • # Trades
    87
  • # Profitable
    44
  • % Profitable
    50.60%
  • Avg trade duration
    3.4 hours
  • Max peak-to-valley drawdown
    15.83%
  • drawdown period
    May 19, 2017 - Aug 14, 2017
  • Cumul. Return
    7.1%
  • Avg win
    $688.68
  • Avg loss
    $596.37
  • Model Account Values (Raw)
  • Cash
    $38,953
  • Margin Used
    $0
  • Buying Power
    $38,953
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    -0.11
  • Sortino Ratio
    -0.15
  • Calmar Ratio
    0.556
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.47%
  • Correlation to SP500
    0.00640
  • Return Percent SP500 (cumu) during strategy life
    110.22%
  • Return Statistics
  • Ann Return (w trading costs)
    9.5%
  • Slump
  • Current Slump as Pcnt Equity
    17.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.071%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • 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
  • Automation
  • Percentage Signals Automated
    90.37%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    276
  • Popularity (Last 6 weeks)
    840
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    553
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $596
  • Avg Win
    $689
  • Sum Trade PL (losers)
    $25,644.000
  • Age
  • Num Months filled monthly returns table
    84
  • Win / Loss
  • Sum Trade PL (winners)
    $30,302.000
  • # Winners
    44
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    43
  • % Winners
    50.6%
  • Frequency
  • Avg Position Time (mins)
    203.27
  • Avg Position Time (hrs)
    3.39
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    2267
  • Regression
  • Alpha
    -0.00
  • Beta
    0.00
  • Treynor Index
    -0.95
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    67.77
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    44.77
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.01
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -54.215
  • 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
    0.279
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.232
  • Hold-and-Hope Ratio
    -0.018
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24990
  • SD
    0.20442
  • Sharpe ratio (Glass type estimate)
    1.22247
  • Sharpe ratio (Hedges UMVUE)
    1.08580
  • df
    7.00000
  • t
    0.99814
  • p
    0.17573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55271
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98562
  • Upside Potential Ratio
    4.99515
  • Upside part of mean
    0.41809
  • Downside part of mean
    -0.16820
  • Upside SD
    0.18645
  • Downside SD
    0.08370
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.19720
  • Mean of criterion
    0.24990
  • SD of predictor
    0.04951
  • SD of criterion
    0.20442
  • Covariance
    0.00256
  • r
    0.25280
  • b (slope, estimate of beta)
    1.04383
  • a (intercept, estimate of alpha)
    0.04406
  • Mean Square Error
    0.04564
  • DF error
    6.00000
  • t(b)
    0.64003
  • p(b)
    0.27290
  • t(a)
    0.10626
  • p(a)
    0.45942
  • Lowerbound of 95% confidence interval for beta
    -2.94692
  • Upperbound of 95% confidence interval for beta
    5.03458
  • Lowerbound of 95% confidence interval for alpha
    -0.97043
  • Upperbound of 95% confidence interval for alpha
    1.05854
  • Treynor index (mean / b)
    0.23940
  • Jensen alpha (a)
    0.04406
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22940
  • SD
    0.19887
  • Sharpe ratio (Glass type estimate)
    1.15356
  • Sharpe ratio (Hedges UMVUE)
    1.02459
  • df
    7.00000
  • t
    0.94188
  • p
    0.18881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58824
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48432
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68063
  • Upside Potential Ratio
    4.68355
  • Upside part of mean
    0.40081
  • Downside part of mean
    -0.17141
  • Upside SD
    0.17795
  • Downside SD
    0.08558
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.19411
  • Mean of criterion
    0.22940
  • SD of predictor
    0.04851
  • SD of criterion
    0.19887
  • Covariance
    0.00253
  • r
    0.26176
  • b (slope, estimate of beta)
    1.07317
  • a (intercept, estimate of alpha)
    0.02109
  • Mean Square Error
    0.04298
  • DF error
    6.00000
  • t(b)
    0.66434
  • p(b)
    0.26558
  • t(a)
    0.05227
  • p(a)
    0.48001
  • Lowerbound of 95% confidence interval for beta
    -2.87960
  • Upperbound of 95% confidence interval for beta
    5.02594
  • Lowerbound of 95% confidence interval for alpha
    -0.96619
  • Upperbound of 95% confidence interval for alpha
    1.00837
  • Treynor index (mean / b)
    0.21376
  • Jensen alpha (a)
    0.02109
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07254
  • Expected Shortfall on VaR
    0.09432
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03273
  • Expected Shortfall on VaR
    0.05745
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.94541
  • Quartile 1
    0.97851
  • Median
    1.01670
  • Quartile 3
    1.06183
  • Maximum
    1.11259
  • Mean of quarter 1
    0.95833
  • Mean of quarter 2
    0.99026
  • Mean of quarter 3
    1.04334
  • Mean of quarter 4
    1.10068
  • Inter Quartile Range
    0.08332
  • 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)
    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
    0.01948
  • Quartile 1
    0.03505
  • Median
    0.05062
  • Quartile 3
    0.06619
  • Maximum
    0.08176
  • Mean of quarter 1
    0.01948
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08176
  • Inter Quartile Range
    0.03114
  • 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)
    0.28070
  • Compounded annual return (geometric extrapolation)
    0.29345
  • Calmar ratio (compounded annual return / max draw down)
    3.58898
  • Compounded annual return / average of 25% largest draw downs
    3.58898
  • Compounded annual return / Expected Shortfall lognormal
    3.11106
  • 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
    0.13904
  • SD
    0.20096
  • Sharpe ratio (Glass type estimate)
    0.69187
  • Sharpe ratio (Hedges UMVUE)
    0.68913
  • df
    190.00000
  • t
    0.59073
  • p
    0.47859
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60744
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98570
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03896
  • Upside Potential Ratio
    7.39945
  • Upside part of mean
    0.99023
  • Downside part of mean
    -0.85119
  • Upside SD
    0.14946
  • Downside SD
    0.13382
  • N nonnegative terms
    59.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    191.00000
  • Mean of predictor
    0.13868
  • Mean of criterion
    0.13904
  • SD of predictor
    0.09219
  • SD of criterion
    0.20096
  • Covariance
    -0.00103
  • r
    -0.05581
  • b (slope, estimate of beta)
    -0.12165
  • a (intercept, estimate of alpha)
    0.05000
  • Mean Square Error
    0.04047
  • DF error
    189.00000
  • t(b)
    -0.76844
  • p(b)
    0.53551
  • t(a)
    0.65884
  • p(a)
    0.46954
  • Lowerbound of 95% confidence interval for beta
    -0.43394
  • Upperbound of 95% confidence interval for beta
    0.19063
  • Lowerbound of 95% confidence interval for alpha
    -0.31089
  • Upperbound of 95% confidence interval for alpha
    0.62271
  • Treynor index (mean / b)
    -1.14291
  • Jensen alpha (a)
    0.15591
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11891
  • SD
    0.20095
  • Sharpe ratio (Glass type estimate)
    0.59177
  • Sharpe ratio (Hedges UMVUE)
    0.58943
  • df
    190.00000
  • t
    0.50526
  • p
    0.48168
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70527
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88732
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88572
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87238
  • Upside Potential Ratio
    7.18360
  • Upside part of mean
    0.97919
  • Downside part of mean
    -0.86028
  • Upside SD
    0.14711
  • Downside SD
    0.13631
  • N nonnegative terms
    59.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    191.00000
  • Mean of predictor
    0.13437
  • Mean of criterion
    0.11891
  • SD of predictor
    0.09280
  • SD of criterion
    0.20095
  • Covariance
    -0.00105
  • r
    -0.05652
  • b (slope, estimate of beta)
    -0.12239
  • a (intercept, estimate of alpha)
    0.13536
  • Mean Square Error
    0.04046
  • DF error
    189.00000
  • t(b)
    -0.77831
  • p(b)
    0.53597
  • t(a)
    0.57225
  • p(a)
    0.47353
  • Lowerbound of 95% confidence interval for beta
    -0.43259
  • Upperbound of 95% confidence interval for beta
    0.18780
  • Lowerbound of 95% confidence interval for alpha
    -0.33124
  • Upperbound of 95% confidence interval for alpha
    0.60196
  • Treynor index (mean / b)
    -0.97158
  • Jensen alpha (a)
    0.13536
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01977
  • Expected Shortfall on VaR
    0.02483
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00905
  • Expected Shortfall on VaR
    0.01855
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    191.00000
  • Minimum
    0.94338
  • Quartile 1
    0.99676
  • Median
    1.00000
  • Quartile 3
    1.00270
  • Maximum
    1.05796
  • Mean of quarter 1
    0.98796
  • Mean of quarter 2
    0.99941
  • Mean of quarter 3
    1.00039
  • Mean of quarter 4
    1.01479
  • Inter Quartile Range
    0.00594
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.08901
  • Mean of outliers low
    0.97801
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.13089
  • Mean of outliers high
    1.02247
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36465
  • VaR(95%) (moments method)
    0.01076
  • Expected Shortfall (moments method)
    0.02047
  • Extreme Value Index (regression method)
    0.16731
  • VaR(95%) (regression method)
    0.01080
  • Expected Shortfall (regression method)
    0.01717
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00075
  • Quartile 1
    0.00413
  • Median
    0.01240
  • Quartile 3
    0.09805
  • Maximum
    0.12449
  • Mean of quarter 1
    0.00243
  • Mean of quarter 2
    0.00417
  • Mean of quarter 3
    0.02064
  • Mean of quarter 4
    0.12417
  • Inter Quartile Range
    0.09392
  • 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)
    0.15497
  • Compounded annual return (geometric extrapolation)
    0.15815
  • Calmar ratio (compounded annual return / max draw down)
    1.27036
  • Compounded annual return / average of 25% largest draw downs
    1.27361
  • Compounded annual return / Expected Shortfall lognormal
    6.36925
  • 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
    0.24236
  • SD
    0.19556
  • Sharpe ratio (Glass type estimate)
    1.23933
  • Sharpe ratio (Hedges UMVUE)
    1.23216
  • df
    130.00000
  • t
    0.87634
  • p
    0.46168
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53887
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01293
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00801
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88811
  • Upside Potential Ratio
    8.37189
  • Upside part of mean
    1.07464
  • Downside part of mean
    -0.83228
  • Upside SD
    0.14730
  • Downside SD
    0.12836
  • N nonnegative terms
    39.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14991
  • Mean of criterion
    0.24236
  • SD of predictor
    0.10028
  • SD of criterion
    0.19556
  • Covariance
    -0.00106
  • r
    -0.05402
  • b (slope, estimate of beta)
    -0.10534
  • a (intercept, estimate of alpha)
    0.25815
  • Mean Square Error
    0.03843
  • DF error
    129.00000
  • t(b)
    -0.61447
  • p(b)
    0.53438
  • t(a)
    0.92722
  • p(a)
    0.44826
  • Lowerbound of 95% confidence interval for beta
    -0.44455
  • Upperbound of 95% confidence interval for beta
    0.23386
  • Lowerbound of 95% confidence interval for alpha
    -0.29270
  • Upperbound of 95% confidence interval for alpha
    0.80901
  • Treynor index (mean / b)
    -2.30065
  • Jensen alpha (a)
    0.25815
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22324
  • SD
    0.19571
  • Sharpe ratio (Glass type estimate)
    1.14071
  • Sharpe ratio (Hedges UMVUE)
    1.13412
  • df
    130.00000
  • t
    0.80660
  • p
    0.46472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91381
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90935
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71083
  • Upside Potential Ratio
    8.15281
  • Upside part of mean
    1.06385
  • Downside part of mean
    -0.84061
  • Upside SD
    0.14550
  • Downside SD
    0.13049
  • N nonnegative terms
    39.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14481
  • Mean of criterion
    0.22324
  • SD of predictor
    0.10105
  • SD of criterion
    0.19571
  • Covariance
    -0.00109
  • r
    -0.05494
  • b (slope, estimate of beta)
    -0.10640
  • a (intercept, estimate of alpha)
    0.23865
  • Mean Square Error
    0.03848
  • DF error
    129.00000
  • t(b)
    -0.62493
  • p(b)
    0.53496
  • t(a)
    0.85687
  • p(a)
    0.45215
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.44327
  • Upperbound of 95% confidence interval for beta
    0.23047
  • Lowerbound of 95% confidence interval for alpha
    -0.31240
  • Upperbound of 95% confidence interval for alpha
    0.78970
  • Treynor index (mean / b)
    -2.09812
  • Jensen alpha (a)
    0.23865
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01886
  • Expected Shortfall on VaR
    0.02379
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00894
  • Expected Shortfall on VaR
    0.01819
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95190
  • Quartile 1
    0.99693
  • Median
    1.00000
  • Quartile 3
    1.00317
  • Maximum
    1.04188
  • Mean of quarter 1
    0.98812
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.01602
  • Inter Quartile Range
    0.00624
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97815
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.16794
  • Mean of outliers high
    1.02058
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21456
  • VaR(95%) (moments method)
    0.00976
  • Expected Shortfall (moments method)
    0.01599
  • Extreme Value Index (regression method)
    0.02702
  • VaR(95%) (regression method)
    0.01030
  • Expected Shortfall (regression method)
    0.01496
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00075
  • Quartile 1
    0.00455
  • Median
    0.01641
  • Quartile 3
    0.02215
  • Maximum
    0.12385
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.00990
  • Mean of quarter 3
    0.01916
  • Mean of quarter 4
    0.07527
  • Inter Quartile Range
    0.01761
  • 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
    0.12500
  • Mean of outliers high
    0.12385
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    87
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26760
  • Compounded annual return (geometric extrapolation)
    0.28551
  • Calmar ratio (compounded annual return / max draw down)
    2.30518
  • Compounded annual return / average of 25% largest draw downs
    3.79288
  • Compounded annual return / Expected Shortfall lognormal
    12.00100

Strategy Description

automated day trading system on XIV/VXX (leveraged twice)
No overnight Risk!!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2017-05-11
Suggested Minimum Capital
$35,000
# Trades
87
# Profitable
44
% Profitable
50.6%
Correlation S&P500
0.006
Sharpe Ratio
-0.11
Sortino Ratio
-0.15
Beta
0.00
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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