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Simple Volatility

Stocks · Started Jul 2017

hypothetical · Annual Return (Compounded)
-36.2%
Max Drawdown
14.5%
Trades
3
Win Trades
33.3%
Profit Factor
0
Win Months
5.4%

About this strategy

Buying options on the S&P 500 is like car insurance for your investments. The vast majority of the time the person selling you the options (the insurer) will be the one reaping a net profit. XIV allows you to have the benefit and risk of being an the insurer.

I maintain three strategies on Collective2. My "Small Stock Portfolio" holds company stocks that I expect to outperform based on technical and fundamental analysis, and "Simple Volatility" trades XIV, gold, and holds cash depending on two proprietary signals. My third strategy "Stock and Volatility" holds a blend of the first two strategies and is the one I would recommend to a friend because its asset allocation gives more protection - though it does reduce overall returns.

Any of my strategies could easily experience a draw down of 50% or more and should be used with caution.
All my strategies follow what I do in several of my accounts at Interactive Brokers. All three of these strategies are led by IRA accounts. So, I do not open positions that require margin or that would make it possible for me to lose more money than I put in to the account. I do my best to make sure the money in these accounts matches the dollar amount in the simulated Collective2 account but any use of margin shown on Collective2 will actually just be a discrepancy between the simulated and actual account balance.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20174.7-10.014.918.84.619.761.2
20181.9-105.80.00.00.00.00.00.00.00.00.00.0-105.9
20190.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began7/17/2017
Suggested Minimum Capital$10,000
Age113 months
What it tradesStocks
# Trades3
# Profitable1
% Profitable33.3%
Avg trade duration68.9 days
Max peak-to-valley drawdown14.5%
drawdown periodAug 08, 2017 - Aug 14, 2017
Cumul. Return-3.9%
Avg win$21
Avg loss$5,483

Ratios

W:L ratio0
Sharpe Ratio-0.68
Sortino Ratio-0.70
Calmar Ratio-1.00

CORRELATION STATISTICS

Correlation to SP5000.25
Return Percent SP500 (cumu) during strategy life210.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-4.5%

Return Statistics

Ann Return (w trading costs)-36.2%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.0%

Slump

Current Slump as Pcnt Equity—
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

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

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss34.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)349
Popularity (Last 6 weeks)658
Popularity (7 days, Percentile 1000 scale)321

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$5,482
Avg Win$21
# Winners1
Sum Trade PL (losers)$10,965
Sum Trade PL (winners)$21
Num Months Winners6
# Losers2
% Winners33.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table8

Frequency

Avg Position Time (mins)99241.03
Avg Position Time (hrs)1654.02
Avg Trade Length68.90
Last Trade Ago3169

Regression

Alpha0
Beta8.60
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.05
MAE:Equity, 95th Percentile Value for this strat0.09
MAE:Equity, average, losing trades0.09
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-1.27
MAE:PL (avg, all trades)3.36
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats4.15
MAE:PL - Winning Trades - this strat Percentile of All Strats88.38
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades7.77
Avg(MAE) / Avg(PL) - Losing trades-1.05
Hold-and-Hope Ratio-0.79

RATIO STATISTICS

a (intercept, estimate of alpha)-0.69
VAR (95 Confidence Intrvl)0.59

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)6
Last 4 Months - Pcnt Negative0.2%

Trading record

Placed 7 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
XIV long132Aug 14, 2017Feb 13, 2018($10,115)
XIV long104Aug 9, 2017Aug 10, 2017($855)
XIV long111Jul 17, 2017Aug 9, 2017$19

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.