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MultiVol Plus
(116286862)

Created by: v1Trader v1Trader
Started: 02/2018
Stocks
Last trade: 1,382 days ago
Trading style: Equity Trend-following

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
4.2%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(59.2%)
Max Drawdown
56
Num Trades
50.0%
Win Trades
1.3 : 1
Profit Factor
62.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +17.9%(13.2%)+0.1%+6.3%(12.5%)+2.2%+11.4%+0.2%(17.2%)(12.1%)+18.8%(6%)
2019+2.2%+8.7%+10.8%+11.3%(14.5%)+13.6%+6.0%(17%)(0.1%)(20.9%)+13.0%+12.0%+17.1%
2020+10.4%(10.6%)(19.9%)(19.3%)+3.8%+19.2%+18.4%+5.9%(6.3%)+1.0%+8.9%+5.4%+7.5%
2021+4.5%  -  (3.8%)+9.3%(3%)+9.1%+4.2%+4.8%(6.8%)+10.6%+0.6%+5.8%+39.4%
2022(15.3%)(10.7%)+6.6%(15.6%)(4.9%)(6.1%)+4.6%(1.5%)(11.7%)+2.0%+1.6%(6.4%)(46.4%)
2023+6.6%+0.2%+5.0%+0.7%+9.0%+6.3%+2.3%(5%)(2.3%)(0.1%)+8.9%+6.2%+43.4%
2024+0.3%+8.2%+1.1%(7%)                                                +2.0%

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 48 hours.

Trading Record

This strategy has placed 118 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/20 15:52 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 140 60.50 5/11 9:38 35.33 55.49%
Trade id #128146069
Max drawdown($3,577)
Time5/8/20 0:00
Quant open140
Worst price34.95
Drawdown as % of equity-55.49%
 ($3,527)
Includes Typical Broker Commissions trade costs of $2.80
3/2/20 10:25 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 350 24.73 3/19 15:50 26.10 10.76%
Trade id #127804185
Max drawdown($859)
Time3/3/20 0:00
Quant open200
Worst price19.22
Drawdown as % of equity-10.76%
 $472
Includes Typical Broker Commissions trade costs of $7.00
2/27/20 14:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 22.39 2/28 10:52 25.40 0.1%
Trade id #127748760
Max drawdown($8)
Time2/27/20 14:39
Quant open100
Worst price22.31
Drawdown as % of equity-0.10%
 $299
Includes Typical Broker Commissions trade costs of $2.00
2/5/20 13:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 104.69 2/26 15:03 88.77 10.17%
Trade id #127378867
Max drawdown($887)
Time2/25/20 0:00
Quant open50
Worst price86.94
Drawdown as % of equity-10.17%
 ($797)
Includes Typical Broker Commissions trade costs of $1.00
1/27/20 9:38 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 15.20 2/4 9:51 14.88 2.55%
Trade id #127231566
Max drawdown($234)
Time1/29/20 0:00
Quant open300
Worst price14.42
Drawdown as % of equity-2.55%
 ($101)
Includes Typical Broker Commissions trade costs of $6.00
10/30/19 11:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 68.39 1/27/20 9:30 92.12 1.14%
Trade id #126006056
Max drawdown($78)
Time10/30/19 14:01
Quant open100
Worst price67.60
Drawdown as % of equity-1.14%
 $2,372
Includes Typical Broker Commissions trade costs of $2.00
10/2/19 12:46 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 26.70 10/11 15:31 22.77 19.8%
Trade id #125596863
Max drawdown($1,190)
Time10/11/19 15:28
Quant open300
Worst price22.73
Drawdown as % of equity-19.80%
 ($1,184)
Includes Typical Broker Commissions trade costs of $6.00
9/24/19 9:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 130 64.25 10/2 9:57 57.58 11.7%
Trade id #125476382
Max drawdown($865)
Time10/2/19 9:57
Quant open130
Worst price57.60
Drawdown as % of equity-11.70%
 ($871)
Includes Typical Broker Commissions trade costs of $2.60
9/13/19 9:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 135 65.38 9/16 10:54 64.09 2.56%
Trade id #125342505
Max drawdown($208)
Time9/16/19 9:32
Quant open135
Worst price63.83
Drawdown as % of equity-2.56%
 ($176)
Includes Typical Broker Commissions trade costs of $2.70
8/29/19 15:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 140 60.88 9/6 9:55 64.39 5.09%
Trade id #125149147
Max drawdown($387)
Time9/3/19 0:00
Quant open140
Worst price58.11
Drawdown as % of equity-5.09%
 $489
Includes Typical Broker Commissions trade costs of $2.80
8/26/19 9:41 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 27.90 8/28 12:59 28.34 1.4%
Trade id #125085155
Max drawdown($107)
Time8/27/19 0:00
Quant open300
Worst price27.54
Drawdown as % of equity-1.40%
 $128
Includes Typical Broker Commissions trade costs of $6.00
8/22/19 15:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 140 61.60 8/23 11:56 57.00 11.13%
Trade id #125047733
Max drawdown($912)
Time8/23/19 0:00
Quant open140
Worst price55.08
Drawdown as % of equity-11.13%
 ($647)
Includes Typical Broker Commissions trade costs of $2.80
8/14/19 10:38 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 28.79 8/16 11:51 28.26 2.09%
Trade id #124930151
Max drawdown($175)
Time8/14/19 10:38
Quant open300
Worst price28.20
Drawdown as % of equity-2.09%
 ($163)
Includes Typical Broker Commissions trade costs of $6.00
8/5/19 15:34 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 325 28.41 8/7 15:56 27.65 3.5%
Trade id #124775688
Max drawdown($302)
Time8/5/19 15:34
Quant open325
Worst price27.48
Drawdown as % of equity-3.50%
 ($254)
Includes Typical Broker Commissions trade costs of $6.50
5/21/19 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 57.27 8/2 10:19 61.63 20.52%
Trade id #123751090
Max drawdown($1,671)
Time5/21/19 9:30
Quant open150
Worst price46.13
Drawdown as % of equity-20.52%
 $651
Includes Typical Broker Commissions trade costs of $3.00
5/9/19 12:29 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 59.99 5/10 11:43 57.37 2.87%
Trade id #123594178
Max drawdown($262)
Time5/10/19 11:43
Quant open0
Worst price57.37
Drawdown as % of equity-2.87%
 ($264)
Includes Typical Broker Commissions trade costs of $2.00
4/26/19 15:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 66.94 5/7 11:04 62.25 7.07%
Trade id #123448349
Max drawdown($703)
Time5/7/19 11:04
Quant open0
Worst price62.25
Drawdown as % of equity-7.07%
 ($706)
Includes Typical Broker Commissions trade costs of $3.00
4/9/19 10:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 61.66 4/24 12:58 66.49 1.4%
Trade id #123253900
Max drawdown($128)
Time4/9/19 15:56
Quant open150
Worst price60.80
Drawdown as % of equity-1.40%
 $722
Includes Typical Broker Commissions trade costs of $3.00
1/31/19 9:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 46.33 4/2 12:53 59.21 n/a $1,929
Includes Typical Broker Commissions trade costs of $3.00
1/8/19 15:27 TQQQ PROSHARES ULTRAPRO QQQ LONG 160 40.64 1/23 11:59 41.30 1.69%
Trade id #121854952
Max drawdown($124)
Time1/14/19 9:36
Quant open160
Worst price39.86
Drawdown as % of equity-1.69%
 $103
Includes Typical Broker Commissions trade costs of $3.20
12/19/18 15:12 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 100 43.26 12/28 14:24 48.15 1.31%
Trade id #121581267
Max drawdown($88)
Time12/19/18 15:59
Quant open100
Worst price42.37
Drawdown as % of equity-1.31%
 $487
Includes Typical Broker Commissions trade costs of $2.00
12/19/18 15:13 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 17.19 12/28 10:13 17.11 0.97%
Trade id #121581319
Max drawdown($71)
Time12/28/18 6:36
Quant open100
Worst price16.48
Drawdown as % of equity-0.97%
 ($10)
Includes Typical Broker Commissions trade costs of $2.00
12/4/18 15:04 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 150 36.10 12/10 15:54 39.95 0.56%
Trade id #121342976
Max drawdown($34)
Time12/4/18 15:16
Quant open150
Worst price35.87
Drawdown as % of equity-0.56%
 $575
Includes Typical Broker Commissions trade costs of $3.00
12/4/18 15:06 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 60 14.02 12/10 15:50 14.89 0.06%
Trade id #121343022
Max drawdown($4)
Time12/6/18 17:40
Quant open60
Worst price13.95
Drawdown as % of equity-0.06%
 $51
Includes Typical Broker Commissions trade costs of $1.20
11/8/18 15:13 VMIN REX INVERSE VIX WEEKLY FUT STRAT LONG 600 2.95 11/13 13:32 2.73 2.54%
Trade id #120837200
Max drawdown($155)
Time11/13/18 10:27
Quant open600
Worst price2.69
Drawdown as % of equity-2.54%
 ($134)
Includes Typical Broker Commissions trade costs of $5.00
11/8/18 15:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 80 56.02 11/13 13:28 49.62 10.2%
Trade id #120837195
Max drawdown($623)
Time11/12/18 19:45
Quant open80
Worst price48.23
Drawdown as % of equity-10.20%
 ($514)
Includes Typical Broker Commissions trade costs of $1.60
10/24/18 15:59 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 130 39.19 11/1 15:39 36.62 5.14%
Trade id #120521932
Max drawdown($349)
Time11/1/18 13:31
Quant open130
Worst price36.50
Drawdown as % of equity-5.14%
 ($337)
Includes Typical Broker Commissions trade costs of $2.60
10/10/18 15:43 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 200 33.20 10/12 10:08 33.75 1.54%
Trade id #120284249
Max drawdown($112)
Time10/11/18 10:00
Quant open200
Worst price32.64
Drawdown as % of equity-1.54%
 $106
Includes Typical Broker Commissions trade costs of $4.00
7/31/18 9:36 VMIN REX INVERSE VIX WEEKLY FUT STRAT LONG 900 3.26 10/10 14:44 3.04 2.79%
Trade id #119201917
Max drawdown($197)
Time10/10/18 14:44
Quant open0
Worst price3.04
Drawdown as % of equity-2.79%
 ($202)
Includes Typical Broker Commissions trade costs of $5.00
7/31/18 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 75 61.72 10/10 11:31 59.50 2.79%
Trade id #119201824
Max drawdown($204)
Time10/10/18 11:23
Quant open75
Worst price59.00
Drawdown as % of equity-2.79%
 ($168)
Includes Typical Broker Commissions trade costs of $1.50
Next

Statistics

  • Strategy began
    2/4/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2264.76
  • Age
    76 months ago
  • What it trades
    Stocks
  • # Trades
    56
  • # Profitable
    28
  • % Profitable
    50.00%
  • Avg trade duration
    39.6 days
  • Max peak-to-valley drawdown
    59.16%
  • drawdown period
    July 26, 2019 - May 14, 2020
  • Annual Return (Compounded)
    4.2%
  • Avg win
    $574.32
  • Avg loss
    $459.61
  • Model Account Values (Raw)
  • Cash
    $6,187
  • Margin Used
    $0
  • Buying Power
    $10,795
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    0.2
  • Sortino Ratio
    0.28
  • Calmar Ratio
    0.21
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -52.03%
  • Correlation to SP500
    0.25360
  • Return Percent SP500 (cumu) during strategy life
    79.83%
  • Return Statistics
  • Ann Return (w trading costs)
    4.2%
  • Slump
  • Current Slump as Pcnt Equity
    28.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.39%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.042%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    85.50%
  • Chance of 20% account loss
    67.50%
  • Chance of 30% account loss
    40.50%
  • Chance of 40% account loss
    16.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $460
  • Avg Win
    $574
  • Sum Trade PL (losers)
    $12,869.000
  • Age
  • Num Months filled monthly returns table
    75
  • Win / Loss
  • Sum Trade PL (winners)
    $16,081.000
  • # Winners
    28
  • Num Months Winners
    47
  • Dividends
  • Dividends Received in Model Acct
    93
  • Win / Loss
  • # Losers
    28
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    56980.00
  • Avg Position Time (hrs)
    949.67
  • Avg Trade Length
    39.6 days
  • Last Trade Ago
    1381
  • Leverage
  • Daily leverage (average)
    2.33
  • Daily leverage (max)
    3.52
  • Regression
  • Alpha
    0.01
  • Beta
    0.43
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    12.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    29.54
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.66
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -37.015
  • 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
    0.11
  • Avg(MAE) / Avg(PL) - Winning trades
    0.442
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.157
  • Hold-and-Hope Ratio
    0.063
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16337
  • SD
    0.49869
  • Sharpe ratio (Glass type estimate)
    0.32760
  • Sharpe ratio (Hedges UMVUE)
    0.32032
  • df
    34.00000
  • t
    0.55949
  • p
    0.28975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82500
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47551
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82984
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47048
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48727
  • Upside Potential Ratio
    2.36659
  • Upside part of mean
    0.79347
  • Downside part of mean
    -0.63010
  • Upside SD
    0.36248
  • Downside SD
    0.33528
  • N nonnegative terms
    21.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.18149
  • Mean of criterion
    0.16337
  • SD of predictor
    0.26257
  • SD of criterion
    0.49869
  • Covariance
    0.06440
  • r
    0.49182
  • b (slope, estimate of beta)
    0.93408
  • a (intercept, estimate of alpha)
    -0.00615
  • Mean Square Error
    0.19425
  • DF error
    33.00000
  • t(b)
    3.24486
  • p(b)
    0.00135
  • t(a)
    -0.02335
  • p(a)
    0.50924
  • Lowerbound of 95% confidence interval for beta
    0.34841
  • Upperbound of 95% confidence interval for beta
    1.51974
  • Lowerbound of 95% confidence interval for alpha
    -0.54184
  • Upperbound of 95% confidence interval for alpha
    0.52955
  • Treynor index (mean / b)
    0.17490
  • Jensen alpha (a)
    -0.00615
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04030
  • SD
    0.50592
  • Sharpe ratio (Glass type estimate)
    0.07965
  • Sharpe ratio (Hedges UMVUE)
    0.07788
  • df
    34.00000
  • t
    0.13603
  • p
    0.44630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06872
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22687
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06991
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22567
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10749
  • Upside Potential Ratio
    1.95800
  • Upside part of mean
    0.73403
  • Downside part of mean
    -0.69373
  • Upside SD
    0.32899
  • Downside SD
    0.37489
  • N nonnegative terms
    21.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.14697
  • Mean of criterion
    0.04030
  • SD of predictor
    0.26064
  • SD of criterion
    0.50592
  • Covariance
    0.06287
  • r
    0.47682
  • b (slope, estimate of beta)
    0.92555
  • a (intercept, estimate of alpha)
    -0.09573
  • Mean Square Error
    0.20375
  • DF error
    33.00000
  • t(b)
    3.11621
  • p(b)
    0.00189
  • t(a)
    -0.35737
  • p(a)
    0.63845
  • Lowerbound of 95% confidence interval for beta
    0.32127
  • Upperbound of 95% confidence interval for beta
    1.52982
  • Lowerbound of 95% confidence interval for alpha
    -0.64075
  • Upperbound of 95% confidence interval for alpha
    0.44928
  • Treynor index (mean / b)
    0.04354
  • Jensen alpha (a)
    -0.09573
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21090
  • Expected Shortfall on VaR
    0.25655
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10636
  • Expected Shortfall on VaR
    0.20262
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.72706
  • Quartile 1
    0.92490
  • Median
    1.03631
  • Quartile 3
    1.10556
  • Maximum
    1.33743
  • Mean of quarter 1
    0.82326
  • Mean of quarter 2
    0.98565
  • Mean of quarter 3
    1.07829
  • Mean of quarter 4
    1.18349
  • Inter Quartile Range
    0.18066
  • 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)
    -5.08280
  • VaR(95%) (moments method)
    0.16083
  • Expected Shortfall (moments method)
    0.16085
  • Extreme Value Index (regression method)
    -0.83445
  • VaR(95%) (regression method)
    0.16696
  • Expected Shortfall (regression method)
    0.18067
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.06484
  • Quartile 1
    0.21550
  • Median
    0.33239
  • Quartile 3
    0.41616
  • Maximum
    0.46748
  • Mean of quarter 1
    0.06484
  • Mean of quarter 2
    0.26573
  • Mean of quarter 3
    0.39905
  • Mean of quarter 4
    0.46748
  • Inter Quartile Range
    0.20066
  • 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)
    0.07546
  • Compounded annual return (geometric extrapolation)
    0.07058
  • Calmar ratio (compounded annual return / max draw down)
    0.15099
  • Compounded annual return / average of 25% largest draw downs
    0.15099
  • Compounded annual return / Expected Shortfall lognormal
    0.27512
  • 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
    0.16721
  • SD
    0.43490
  • Sharpe ratio (Glass type estimate)
    0.38448
  • Sharpe ratio (Hedges UMVUE)
    0.38411
  • df
    780.00000
  • t
    0.66381
  • p
    0.25350
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75101
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51947
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53997
  • Upside Potential Ratio
    7.57818
  • Upside part of mean
    2.34668
  • Downside part of mean
    -2.17947
  • Upside SD
    0.30514
  • Downside SD
    0.30966
  • N nonnegative terms
    368.00000
  • N negative terms
    413.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    781.00000
  • Mean of predictor
    0.22851
  • Mean of criterion
    0.16721
  • SD of predictor
    0.29081
  • SD of criterion
    0.43490
  • Covariance
    0.03707
  • r
    0.29313
  • b (slope, estimate of beta)
    0.43838
  • a (intercept, estimate of alpha)
    0.06700
  • Mean Square Error
    0.17311
  • DF error
    779.00000
  • t(b)
    8.55738
  • p(b)
    -0.00000
  • t(a)
    0.27785
  • p(a)
    0.39060
  • Lowerbound of 95% confidence interval for beta
    0.33782
  • Upperbound of 95% confidence interval for beta
    0.53894
  • Lowerbound of 95% confidence interval for alpha
    -0.40658
  • Upperbound of 95% confidence interval for alpha
    0.54064
  • Treynor index (mean / b)
    0.38143
  • Jensen alpha (a)
    0.06703
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07214
  • SD
    0.43714
  • Sharpe ratio (Glass type estimate)
    0.16503
  • Sharpe ratio (Hedges UMVUE)
    0.16487
  • df
    780.00000
  • t
    0.28493
  • p
    0.38789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30010
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.22449
  • Upside Potential Ratio
    7.16272
  • Upside part of mean
    2.30174
  • Downside part of mean
    -2.22960
  • Upside SD
    0.29598
  • Downside SD
    0.32135
  • N nonnegative terms
    368.00000
  • N negative terms
    413.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    781.00000
  • Mean of predictor
    0.18595
  • Mean of criterion
    0.07214
  • SD of predictor
    0.29209
  • SD of criterion
    0.43714
  • Covariance
    0.03757
  • r
    0.29426
  • b (slope, estimate of beta)
    0.44039
  • a (intercept, estimate of alpha)
    -0.00975
  • Mean Square Error
    0.17477
  • DF error
    779.00000
  • t(b)
    8.59343
  • p(b)
    -0.00000
  • t(a)
    -0.04024
  • p(a)
    0.51604
  • Lowerbound of 95% confidence interval for beta
    0.33979
  • Upperbound of 95% confidence interval for beta
    0.54099
  • Lowerbound of 95% confidence interval for alpha
    -0.48544
  • Upperbound of 95% confidence interval for alpha
    0.46593
  • Treynor index (mean / b)
    0.16381
  • Jensen alpha (a)
    -0.00975
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04319
  • Expected Shortfall on VaR
    0.05388
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01967
  • Expected Shortfall on VaR
    0.04022
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    781.00000
  • Minimum
    0.86052
  • Quartile 1
    0.99025
  • Median
    1.00000
  • Quartile 3
    1.01208
  • Maximum
    1.14973
  • Mean of quarter 1
    0.96994
  • Mean of quarter 2
    0.99712
  • Mean of quarter 3
    1.00496
  • Mean of quarter 4
    1.03111
  • Inter Quartile Range
    0.02184
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.04609
  • Mean of outliers low
    0.93076
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.04994
  • Mean of outliers high
    1.06360
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33177
  • VaR(95%) (moments method)
    0.02874
  • Expected Shortfall (moments method)
    0.05154
  • Extreme Value Index (regression method)
    0.17127
  • VaR(95%) (regression method)
    0.02648
  • Expected Shortfall (regression method)
    0.04080
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00419
  • Quartile 1
    0.02533
  • Median
    0.03333
  • Quartile 3
    0.25560
  • Maximum
    0.50184
  • Mean of quarter 1
    0.01047
  • Mean of quarter 2
    0.03192
  • Mean of quarter 3
    0.11471
  • Mean of quarter 4
    0.41561
  • Inter Quartile Range
    0.23027
  • 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)
    -2.00675
  • VaR(95%) (moments method)
    0.42658
  • Expected Shortfall (moments method)
    0.43214
  • Extreme Value Index (regression method)
    -0.91575
  • VaR(95%) (regression method)
    0.51383
  • Expected Shortfall (regression method)
    0.54520
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11657
  • Compounded annual return (geometric extrapolation)
    0.10522
  • Calmar ratio (compounded annual return / max draw down)
    0.20968
  • Compounded annual return / average of 25% largest draw downs
    0.25318
  • Compounded annual return / Expected Shortfall lognormal
    1.95308
  • 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
    0.21986
  • SD
    0.57842
  • Sharpe ratio (Glass type estimate)
    0.38011
  • Sharpe ratio (Hedges UMVUE)
    0.37791
  • df
    130.00000
  • t
    0.26878
  • p
    0.48822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15158
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39427
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15010
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54158
  • Upside Potential Ratio
    8.43736
  • Upside part of mean
    3.42530
  • Downside part of mean
    -3.20544
  • Upside SD
    0.40913
  • Downside SD
    0.40597
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56336
  • Mean of criterion
    0.21986
  • SD of predictor
    0.42562
  • SD of criterion
    0.57842
  • Covariance
    0.21183
  • r
    0.86045
  • b (slope, estimate of beta)
    1.16937
  • a (intercept, estimate of alpha)
    -0.43892
  • Mean Square Error
    0.08754
  • DF error
    129.00000
  • t(b)
    19.17990
  • p(b)
    0.03063
  • t(a)
    -1.04548
  • p(a)
    0.55827
  • Lowerbound of 95% confidence interval for beta
    1.04874
  • Upperbound of 95% confidence interval for beta
    1.29000
  • Lowerbound of 95% confidence interval for alpha
    -1.26955
  • Upperbound of 95% confidence interval for alpha
    0.39171
  • Treynor index (mean / b)
    0.18802
  • Jensen alpha (a)
    -0.43892
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05291
  • SD
    0.58103
  • Sharpe ratio (Glass type estimate)
    0.09107
  • Sharpe ratio (Hedges UMVUE)
    0.09054
  • df
    130.00000
  • t
    0.06439
  • p
    0.49718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68088
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86237
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12554
  • Upside Potential Ratio
    7.93549
  • Upside part of mean
    3.34462
  • Downside part of mean
    -3.29171
  • Upside SD
    0.39672
  • Downside SD
    0.42148
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47253
  • Mean of criterion
    0.05291
  • SD of predictor
    0.42720
  • SD of criterion
    0.58103
  • Covariance
    0.21391
  • r
    0.86178
  • b (slope, estimate of beta)
    1.17210
  • a (intercept, estimate of alpha)
    -0.50094
  • Mean Square Error
    0.08755
  • DF error
    129.00000
  • t(b)
    19.29500
  • p(b)
    0.03020
  • t(a)
    -1.19433
  • p(a)
    0.56646
  • VAR (95 Confidence Intrvl)
    0.04300
  • Lowerbound of 95% confidence interval for beta
    1.05191
  • Upperbound of 95% confidence interval for beta
    1.29229
  • Lowerbound of 95% confidence interval for alpha
    -1.33078
  • Upperbound of 95% confidence interval for alpha
    0.32891
  • Treynor index (mean / b)
    0.04514
  • Jensen alpha (a)
    -0.50094
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05714
  • Expected Shortfall on VaR
    0.07110
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02938
  • Expected Shortfall on VaR
    0.05701
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88830
  • Quartile 1
    0.98619
  • Median
    0.99991
  • Quartile 3
    1.01721
  • Maximum
    1.10680
  • Mean of quarter 1
    0.95819
  • Mean of quarter 2
    0.99347
  • Mean of quarter 3
    1.00743
  • Mean of quarter 4
    1.04489
  • Inter Quartile Range
    0.03102
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.90965
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.08840
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00019
  • VaR(95%) (moments method)
    0.03497
  • Expected Shortfall (moments method)
    0.04829
  • Extreme Value Index (regression method)
    -0.11352
  • VaR(95%) (regression method)
    0.03818
  • Expected Shortfall (regression method)
    0.05055
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.03114
  • Quartile 1
    0.03334
  • Median
    0.05712
  • Quartile 3
    0.08382
  • Maximum
    0.42892
  • Mean of quarter 1
    0.03224
  • Mean of quarter 2
    0.03335
  • Mean of quarter 3
    0.08089
  • Mean of quarter 4
    0.25686
  • Inter Quartile Range
    0.05048
  • 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
    0.16667
  • Mean of outliers high
    0.42892
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -376617000
  • Max Equity Drawdown (num days)
    293
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08247
  • Compounded annual return (geometric extrapolation)
    0.08417
  • Calmar ratio (compounded annual return / max draw down)
    0.19625
  • Compounded annual return / average of 25% largest draw downs
    0.32771
  • Compounded annual return / Expected Shortfall lognormal
    1.18391

Strategy Description

MultiVol Plus is a quant ETP strategy based largely on volatility data from the S&P 500 (VIX and several others), staying in the market 80-85% of trading days either short the market (long VXX and sometimes SQQQ), or long the market (long TQQQ and sometimes long inverse vol SVXY), and sometimes in cash. Trading frequency is moderate-low, typically 1 to several days when short the market and 5-30 days when long, but MultiVol Plus may stay long for months at a time during stable markets. It uses no leverage and can be traded in an IRA. Positions are held overnight where appropriate, but occasionally trading is intraday.

Cash is an integral part of the strategy, used in three ways: managing risk (long cash when volatility risk signals are mixed), buying into a new position with a partial purchase, and selling a partial position to take profit (or limit loss). MultiVol Plus typically (but not always) uses hard stops to both limit losses and take profits.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-02-04
Suggested Minimum Capital
$15,000
# Trades
56
# Profitable
28
% Profitable
50.0%
Net Dividends
$92
Correlation S&P500
0.254
Sharpe Ratio
0.20
Sortino Ratio
0.28
Beta
0.43
Alpha
0.01
Leverage
2.33 Average
3.52 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.