Collective2 Collective2
Featured Strategy Quant AI pro Followed by live capital $114,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Enhanced VRP
(122298284)

Created by: Jay_Wolberg Jay_Wolberg
Started: 01/2019
Stocks
Last trade: 2 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 $10.00 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.

7.8%
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.

(45.3%)
Max Drawdown
130
Num Trades
36.9%
Win Trades
1.1 : 1
Profit Factor
45.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+0.4%+5.1%(5.4%)+5.7%(8.9%)+3.1%+3.7%(12.3%)+0.3%(27%)(4.4%)(0.3%)(37.1%)
2020(0.3%)(4.2%)+148.8%+9.8%+2.5%(15.4%)+7.2%+2.0%(7.7%)(4.1%)+1.0%+0.1%+121.4%
2021(11.8%)+10.6%+12.0%+5.2%+3.4%+6.7%(3.1%)+7.2%(0.4%)(5.3%)(4.9%)+5.9%+25.5%
2022(6.5%)+11.4%(5.3%)(1%)(9.3%)(4.2%)+11.0%(5.4%)(3.9%)+18.9%(1.6%)+3.3%+3.5%
2023+17.7%+4.8%(25.3%)(0.1%)+16.7%+7.2%  -  (1.4%)(4.2%)  -  (1.6%)+3.5%+10.5%
2024(3.1%)(10.6%)(4.1%)(0.1%)+1.3%+1.0%(18.1%)+37.9%(10.1%)(7.8%)+5.3%(6.9%)(22.1%)

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 36 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 924 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/23/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 1,930 44.29 12/24 12:59 41.63 6.68%
Trade id #150394466
Max drawdown($5,384)
Time12/24/24 12:59
Quant open1,930
Worst price41.50
Drawdown as % of equity-6.68%
 ($5,139)
Includes Typical Broker Commissions trade costs of $5.00
11/13/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,792 29.19 11/15 11:06 27.68 5.49%
Trade id #150080548
Max drawdown($4,354)
Time11/15/24 11:06
Quant open2,792
Worst price27.63
Drawdown as % of equity-5.49%
 ($4,221)
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 1,846 44.00 11/13 15:58 42.99 2.86%
Trade id #150059485
Max drawdown($2,270)
Time11/13/24 14:13
Quant open1,846
Worst price42.77
Drawdown as % of equity-2.86%
 ($1,869)
Includes Typical Broker Commissions trade costs of $5.00
9/13/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,548 27.78 11/11 15:58 28.52 17.35%
Trade id #149391173
Max drawdown($13,759)
Time10/31/24 0:00
Quant open2,548
Worst price22.38
Drawdown as % of equity-17.35%
 $1,881
Includes Typical Broker Commissions trade costs of $5.00
9/12/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,796 12.18 9/13 15:58 12.01 2.66%
Trade id #149377888
Max drawdown($2,259)
Time9/13/24 11:43
Quant open5,796
Worst price11.79
Drawdown as % of equity-2.66%
 ($990)
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,786 32.65 9/12 15:58 27.43 19.6%
Trade id #148960586
Max drawdown($16,627)
Time9/6/24 0:00
Quant open1,786
Worst price23.34
Drawdown as % of equity-19.60%
 ($9,328)
Includes Typical Broker Commissions trade costs of $5.00
8/15/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,203 11.21 8/19 15:58 10.95 2.44%
Trade id #148932157
Max drawdown($1,690)
Time8/19/24 11:52
Quant open5,203
Worst price10.88
Drawdown as % of equity-2.44%
 ($1,358)
Includes Typical Broker Commissions trade costs of $5.00
8/9/24 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,466 23.89 8/15 15:58 31.97 1.74%
Trade id #148875363
Max drawdown($1,208)
Time8/9/24 9:49
Quant open2,466
Worst price23.40
Drawdown as % of equity-1.74%
 $19,920
Includes Typical Broker Commissions trade costs of $5.00
8/1/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 4,692 12.41 8/6 12:21 16.01 n/a $16,886
Includes Typical Broker Commissions trade costs of $5.00
7/31/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,336 43.57 8/1 15:58 39.99 10.16%
Trade id #148789005
Max drawdown($7,054)
Time8/1/24 14:56
Quant open1,336
Worst price38.29
Drawdown as % of equity-10.16%
 ($4,788)
Includes Typical Broker Commissions trade costs of $5.00
7/30/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 4,964 11.73 7/31 15:58 11.40 4.87%
Trade id #148777373
Max drawdown($3,380)
Time7/31/24 14:51
Quant open4,964
Worst price11.05
Drawdown as % of equity-4.87%
 ($1,643)
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,659 43.68 7/30 15:58 42.52 5.29%
Trade id #148768271
Max drawdown($4,612)
Time7/30/24 13:04
Quant open1,659
Worst price40.90
Drawdown as % of equity-5.29%
 ($1,929)
Includes Typical Broker Commissions trade costs of $5.00
7/24/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,914 12.24 7/29 15:58 11.39 6.25%
Trade id #148733057
Max drawdown($5,451)
Time7/29/24 13:12
Quant open5,914
Worst price11.32
Drawdown as % of equity-6.25%
 ($5,032)
Includes Typical Broker Commissions trade costs of $5.00
5/9/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,588 43.50 7/24 15:58 41.05 4.82%
Trade id #148136110
Max drawdown($4,208)
Time7/24/24 15:55
Quant open1,588
Worst price40.85
Drawdown as % of equity-4.82%
 ($3,896)
Includes Typical Broker Commissions trade costs of $5.00
5/7/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,597 12.33 5/9 15:58 12.14 1.35%
Trade id #148115022
Max drawdown($1,119)
Time5/9/24 15:57
Quant open5,597
Worst price12.13
Drawdown as % of equity-1.35%
 ($1,068)
Includes Typical Broker Commissions trade costs of $5.00
5/6/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,616 42.76 5/7 15:58 42.85 0.29%
Trade id #148104341
Max drawdown($243)
Time5/7/24 15:18
Quant open1,616
Worst price42.61
Drawdown as % of equity-0.29%
 $140
Includes Typical Broker Commissions trade costs of $5.00
5/3/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,429 12.70 5/6 15:58 12.37 2.13%
Trade id #148089309
Max drawdown($1,767)
Time5/6/24 15:58
Quant open5,429
Worst price12.37
Drawdown as % of equity-2.13%
 ($1,797)
Includes Typical Broker Commissions trade costs of $5.00
3/1/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,742 41.20 3/5 13:44 39.16 4.24%
Trade id #147517300
Max drawdown($3,553)
Time3/5/24 13:44
Quant open1,742
Worst price39.16
Drawdown as % of equity-4.24%
 ($3,559)
Includes Typical Broker Commissions trade costs of $5.00
2/28/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,322 13.69 3/1 15:58 13.50 2.52%
Trade id #147493740
Max drawdown($2,182)
Time3/1/24 9:46
Quant open5,322
Worst price13.28
Drawdown as % of equity-2.52%
 ($1,016)
Includes Typical Broker Commissions trade costs of $5.00
2/26/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,788 40.75 2/28 15:58 40.72 0.61%
Trade id #147455168
Max drawdown($536)
Time2/28/24 14:36
Quant open1,788
Worst price40.45
Drawdown as % of equity-0.61%
 ($59)
Includes Typical Broker Commissions trade costs of $5.00
2/22/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,293 14.34 2/26 15:58 13.67 4.12%
Trade id #147415896
Max drawdown($3,651)
Time2/26/24 10:02
Quant open5,293
Worst price13.65
Drawdown as % of equity-4.12%
 ($3,551)
Includes Typical Broker Commissions trade costs of $5.00
2/21/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,949 38.24 2/22 15:58 39.02 n/a $1,515
Includes Typical Broker Commissions trade costs of $5.00
2/20/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,079 14.82 2/21 15:58 14.65 1.04%
Trade id #147384429
Max drawdown($939)
Time2/21/24 11:14
Quant open5,079
Worst price14.63
Drawdown as % of equity-1.04%
 ($868)
Includes Typical Broker Commissions trade costs of $5.00
2/9/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,899 40.73 2/13 9:30 38.74 4.53%
Trade id #147278496
Max drawdown($4,196)
Time2/13/24 9:30
Quant open1,899
Worst price38.52
Drawdown as % of equity-4.53%
 ($3,784)
Includes Typical Broker Commissions trade costs of $5.00
2/7/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,616 13.94 2/9 15:58 13.96 1.5%
Trade id #147252157
Max drawdown($1,404)
Time2/9/24 9:35
Quant open5,616
Worst price13.69
Drawdown as % of equity-1.50%
 $107
Includes Typical Broker Commissions trade costs of $5.00
2/6/24 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,938 40.69 2/7 15:58 40.79 0.33%
Trade id #147242214
Max drawdown($310)
Time2/7/24 13:00
Quant open1,938
Worst price40.53
Drawdown as % of equity-0.33%
 $189
Includes Typical Broker Commissions trade costs of $5.00
2/2/24 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,484 14.83 2/6 15:58 13.99 4.95%
Trade id #147208918
Max drawdown($4,716)
Time2/6/24 15:56
Quant open5,484
Worst price13.97
Drawdown as % of equity-4.95%
 ($4,612)
Includes Typical Broker Commissions trade costs of $5.00
12/28/23 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,182 37.75 2/2/24 15:58 38.54 5.07%
Trade id #146836426
Max drawdown($4,778)
Time1/17/24 0:00
Quant open2,182
Worst price35.56
Drawdown as % of equity-5.07%
 $1,719
Includes Typical Broker Commissions trade costs of $5.00
12/26/23 15:58 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 5,099 16.16 12/28 15:58 15.49 4.03%
Trade id #146812544
Max drawdown($4,028)
Time12/28/23 9:36
Quant open5,099
Worst price15.37
Drawdown as % of equity-4.03%
 ($3,421)
Includes Typical Broker Commissions trade costs of $5.00
11/21/23 15:58 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,424 32.97 12/26 15:58 36.29 0.92%
Trade id #146504246
Max drawdown($896)
Time11/22/23 0:00
Quant open2,424
Worst price32.60
Drawdown as % of equity-0.92%
 $8,043
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    1/31/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2156.04
  • Age
    72 months ago
  • What it trades
    Stocks
  • # Trades
    130
  • # Profitable
    48
  • % Profitable
    36.90%
  • Avg trade duration
    11.5 days
  • Max peak-to-valley drawdown
    45.35%
  • drawdown period
    March 19, 2019 - March 03, 2020
  • Annual Return (Compounded)
    7.8%
  • Avg win
    $5,277
  • Avg loss
    $2,699
  • Model Account Values (Raw)
  • Cash
    $41,859
  • Margin Used
    $0
  • Buying Power
    $41,683
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.45
  • Calmar Ratio
    0.296
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -67.87%
  • Correlation to SP500
    0.09780
  • Return Percent SP500 (cumu) during strategy life
    123.16%
  • Return Statistics
  • Ann Return (w trading costs)
    7.8%
  • Slump
  • Current Slump as Pcnt Equity
    58.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.078%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    81.50%
  • Chance of 20% account loss
    69.00%
  • Chance of 30% account loss
    49.00%
  • Chance of 40% account loss
    27.00%
  • Chance of 60% account loss (Monte Carlo)
    3.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • 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
    10.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    522
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    361
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,704
  • Avg Win
    $5,277
  • Sum Trade PL (losers)
    $221,753.000
  • Age
  • Num Months filled monthly returns table
    72
  • Win / Loss
  • Sum Trade PL (winners)
    $253,314.000
  • # Winners
    48
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    82
  • % Winners
    36.9%
  • Frequency
  • Avg Position Time (mins)
    16594.40
  • Avg Position Time (hrs)
    276.57
  • Avg Trade Length
    11.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.82
  • Daily leverage (max)
    1.54
  • Regression
  • Alpha
    0.02
  • Beta
    0.17
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    29.44
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    44.41
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.91
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -16.572
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.391
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.217
  • Hold-and-Hope Ratio
    -0.057
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29633
  • SD
    0.79966
  • Sharpe ratio (Glass type estimate)
    0.37057
  • Sharpe ratio (Hedges UMVUE)
    0.36462
  • df
    47.00000
  • t
    0.74115
  • p
    0.23115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35147
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34737
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33815
  • Upside Potential Ratio
    3.28635
  • Upside part of mean
    0.72776
  • Downside part of mean
    -0.43143
  • Upside SD
    0.76446
  • Downside SD
    0.22145
  • N nonnegative terms
    23.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.19743
  • Mean of criterion
    0.29633
  • SD of predictor
    0.22019
  • SD of criterion
    0.79966
  • Covariance
    -0.10052
  • r
    -0.57088
  • b (slope, estimate of beta)
    -2.07321
  • a (intercept, estimate of alpha)
    0.70565
  • Mean Square Error
    0.44043
  • DF error
    46.00000
  • t(b)
    -4.71584
  • p(b)
    0.99999
  • t(a)
    2.05737
  • p(a)
    0.02267
  • Lowerbound of 95% confidence interval for beta
    -2.95814
  • Upperbound of 95% confidence interval for beta
    -1.18829
  • Lowerbound of 95% confidence interval for alpha
    0.01525
  • Upperbound of 95% confidence interval for alpha
    1.39605
  • Treynor index (mean / b)
    -0.14293
  • Jensen alpha (a)
    0.70565
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10952
  • SD
    0.54749
  • Sharpe ratio (Glass type estimate)
    0.20004
  • Sharpe ratio (Hedges UMVUE)
    0.19683
  • df
    47.00000
  • t
    0.40008
  • p
    0.34546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17980
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78396
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17761
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45751
  • Upside Potential Ratio
    2.36899
  • Upside part of mean
    0.56709
  • Downside part of mean
    -0.45757
  • Upside SD
    0.48703
  • Downside SD
    0.23938
  • N nonnegative terms
    23.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.17026
  • Mean of criterion
    0.10952
  • SD of predictor
    0.23234
  • SD of criterion
    0.54749
  • Covariance
    -0.06903
  • r
    -0.54264
  • b (slope, estimate of beta)
    -1.27871
  • a (intercept, estimate of alpha)
    0.32723
  • Mean Square Error
    0.21608
  • DF error
    46.00000
  • t(b)
    -4.38153
  • p(b)
    0.99997
  • t(a)
    1.37678
  • p(a)
    0.08762
  • Lowerbound of 95% confidence interval for beta
    -1.86615
  • Upperbound of 95% confidence interval for beta
    -0.69126
  • Lowerbound of 95% confidence interval for alpha
    -0.15119
  • Upperbound of 95% confidence interval for alpha
    0.80565
  • Treynor index (mean / b)
    -0.08565
  • Jensen alpha (a)
    0.32723
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22185
  • Expected Shortfall on VaR
    0.27036
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08581
  • Expected Shortfall on VaR
    0.15329
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.78230
  • Quartile 1
    0.94425
  • Median
    0.99936
  • Quartile 3
    1.06167
  • Maximum
    2.48372
  • Mean of quarter 1
    0.89209
  • Mean of quarter 2
    0.96895
  • Mean of quarter 3
    1.03148
  • Mean of quarter 4
    1.21557
  • Inter Quartile Range
    0.11742
  • 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
    0.02083
  • Mean of outliers high
    2.48372
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24681
  • VaR(95%) (moments method)
    0.11770
  • Expected Shortfall (moments method)
    0.18181
  • Extreme Value Index (regression method)
    0.85709
  • VaR(95%) (regression method)
    0.09088
  • Expected Shortfall (regression method)
    0.36868
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00128
  • Quartile 1
    0.06038
  • Median
    0.19747
  • Quartile 3
    0.24616
  • Maximum
    0.40677
  • Mean of quarter 1
    0.01057
  • Mean of quarter 2
    0.18197
  • Mean of quarter 3
    0.21298
  • Mean of quarter 4
    0.33199
  • Inter Quartile Range
    0.18577
  • 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)
    0.18319
  • Compounded annual return (geometric extrapolation)
    0.14732
  • Calmar ratio (compounded annual return / max draw down)
    0.36216
  • Compounded annual return / average of 25% largest draw downs
    0.44373
  • Compounded annual return / Expected Shortfall lognormal
    0.54489
  • 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
    0.16498
  • SD
    0.37962
  • Sharpe ratio (Glass type estimate)
    0.43461
  • Sharpe ratio (Hedges UMVUE)
    0.43430
  • df
    1049.00000
  • t
    0.87004
  • p
    0.48291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54471
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41374
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54493
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41352
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68343
  • Upside Potential Ratio
    7.38522
  • Upside part of mean
    1.78286
  • Downside part of mean
    -1.61787
  • Upside SD
    0.29291
  • Downside SD
    0.24141
  • N nonnegative terms
    475.00000
  • N negative terms
    575.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1050.00000
  • Mean of predictor
    0.20388
  • Mean of criterion
    0.16498
  • SD of predictor
    0.24873
  • SD of criterion
    0.37962
  • Covariance
    0.01218
  • r
    0.12904
  • b (slope, estimate of beta)
    0.19695
  • a (intercept, estimate of alpha)
    0.12500
  • Mean Square Error
    0.14185
  • DF error
    1048.00000
  • t(b)
    4.21265
  • p(b)
    0.43548
  • t(a)
    0.66268
  • p(a)
    0.48977
  • Lowerbound of 95% confidence interval for beta
    0.10521
  • Upperbound of 95% confidence interval for beta
    0.28869
  • Lowerbound of 95% confidence interval for alpha
    -0.24480
  • Upperbound of 95% confidence interval for alpha
    0.49446
  • Treynor index (mean / b)
    0.83770
  • Jensen alpha (a)
    0.12483
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09425
  • SD
    0.37491
  • Sharpe ratio (Glass type estimate)
    0.25139
  • Sharpe ratio (Hedges UMVUE)
    0.25122
  • df
    1049.00000
  • t
    0.50327
  • p
    0.49011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72774
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23044
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23032
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37473
  • Upside Potential Ratio
    6.92883
  • Upside part of mean
    1.74271
  • Downside part of mean
    -1.64846
  • Upside SD
    0.27784
  • Downside SD
    0.25152
  • N nonnegative terms
    475.00000
  • N negative terms
    575.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1050.00000
  • Mean of predictor
    0.17272
  • Mean of criterion
    0.09425
  • SD of predictor
    0.24985
  • SD of criterion
    0.37491
  • Covariance
    0.01213
  • r
    0.12945
  • b (slope, estimate of beta)
    0.19424
  • a (intercept, estimate of alpha)
    0.06070
  • Mean Square Error
    0.13833
  • DF error
    1048.00000
  • t(b)
    4.22618
  • p(b)
    0.43528
  • t(a)
    0.32642
  • p(a)
    0.49496
  • Lowerbound of 95% confidence interval for beta
    0.10405
  • Upperbound of 95% confidence interval for beta
    0.28443
  • Lowerbound of 95% confidence interval for alpha
    -0.30419
  • Upperbound of 95% confidence interval for alpha
    0.42560
  • Treynor index (mean / b)
    0.48522
  • Jensen alpha (a)
    0.06070
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03704
  • Expected Shortfall on VaR
    0.04627
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01488
  • Expected Shortfall on VaR
    0.03083
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1050.00000
  • Minimum
    0.80234
  • Quartile 1
    0.99273
  • Median
    1.00000
  • Quartile 3
    1.00822
  • Maximum
    1.21545
  • Mean of quarter 1
    0.97773
  • Mean of quarter 2
    0.99784
  • Mean of quarter 3
    1.00351
  • Mean of quarter 4
    1.02387
  • Inter Quartile Range
    0.01550
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.05143
  • Mean of outliers low
    0.95021
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.04000
  • Mean of outliers high
    1.06692
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35482
  • VaR(95%) (moments method)
    0.02150
  • Expected Shortfall (moments method)
    0.03944
  • Extreme Value Index (regression method)
    0.23126
  • VaR(95%) (regression method)
    0.02097
  • Expected Shortfall (regression method)
    0.03418
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00485
  • Quartile 1
    0.01900
  • Median
    0.04957
  • Quartile 3
    0.23695
  • Maximum
    0.43900
  • Mean of quarter 1
    0.01193
  • Mean of quarter 2
    0.03100
  • Mean of quarter 3
    0.09161
  • Mean of quarter 4
    0.35713
  • Inter Quartile Range
    0.21794
  • 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)
    -1.08943
  • VaR(95%) (moments method)
    0.41094
  • Expected Shortfall (moments method)
    0.42965
  • Extreme Value Index (regression method)
    -1.52377
  • VaR(95%) (regression method)
    0.41923
  • Expected Shortfall (regression method)
    0.42677
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15760
  • Compounded annual return (geometric extrapolation)
    0.12993
  • Calmar ratio (compounded annual return / max draw down)
    0.29597
  • Compounded annual return / average of 25% largest draw downs
    0.36383
  • Compounded annual return / Expected Shortfall lognormal
    2.80782
  • 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
    -0.53048
  • SD
    0.56924
  • Sharpe ratio (Glass type estimate)
    -0.93191
  • Sharpe ratio (Hedges UMVUE)
    -0.92652
  • df
    130.00000
  • t
    -0.65896
  • p
    0.52885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.70434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84391
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.70061
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84757
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.28863
  • Upside Potential Ratio
    4.51050
  • Upside part of mean
    1.85680
  • Downside part of mean
    -2.38728
  • Upside SD
    0.39137
  • Downside SD
    0.41166
  • 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
    0.80297
  • Mean of criterion
    -0.53048
  • SD of predictor
    0.23526
  • SD of criterion
    0.56924
  • Covariance
    0.05191
  • r
    0.38762
  • b (slope, estimate of beta)
    0.93789
  • a (intercept, estimate of alpha)
    -1.28358
  • Mean Square Error
    0.27748
  • DF error
    129.00000
  • t(b)
    4.77592
  • p(b)
    0.25956
  • t(a)
    -1.68566
  • p(a)
    0.59312
  • Lowerbound of 95% confidence interval for beta
    0.54935
  • Upperbound of 95% confidence interval for beta
    1.32643
  • Lowerbound of 95% confidence interval for alpha
    -2.79016
  • Upperbound of 95% confidence interval for alpha
    0.22301
  • Treynor index (mean / b)
    -0.56561
  • Jensen alpha (a)
    -1.28358
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.69359
  • SD
    0.57475
  • Sharpe ratio (Glass type estimate)
    -1.20678
  • Sharpe ratio (Hedges UMVUE)
    -1.19980
  • df
    130.00000
  • t
    -0.85332
  • p
    0.53732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.98017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.97544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57584
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.56438
  • Upside Potential Ratio
    4.03033
  • Upside part of mean
    1.78691
  • Downside part of mean
    -2.48051
  • Upside SD
    0.36480
  • Downside SD
    0.44337
  • 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
    0.77441
  • Mean of criterion
    -0.69359
  • SD of predictor
    0.23425
  • SD of criterion
    0.57475
  • Covariance
    0.05244
  • r
    0.38953
  • b (slope, estimate of beta)
    0.95572
  • a (intercept, estimate of alpha)
    -1.43372
  • Mean Square Error
    0.28239
  • DF error
    129.00000
  • t(b)
    4.80356
  • p(b)
    0.25844
  • t(a)
    -1.86890
  • p(a)
    0.60291
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    0.56207
  • Upperbound of 95% confidence interval for beta
    1.34937
  • Lowerbound of 95% confidence interval for alpha
    -2.95154
  • Upperbound of 95% confidence interval for alpha
    0.08410
  • Treynor index (mean / b)
    -0.72573
  • Jensen alpha (a)
    -1.43372
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05923
  • Expected Shortfall on VaR
    0.07300
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02556
  • Expected Shortfall on VaR
    0.05367
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80234
  • Quartile 1
    0.99155
  • Median
    1.00000
  • Quartile 3
    1.00237
  • Maximum
    1.21545
  • Mean of quarter 1
    0.96739
  • Mean of quarter 2
    0.99674
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.02796
  • Inter Quartile Range
    0.01082
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.92452
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.05527
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52317
  • VaR(95%) (moments method)
    0.03019
  • Expected Shortfall (moments method)
    0.07202
  • Extreme Value Index (regression method)
    0.39766
  • VaR(95%) (regression method)
    0.02485
  • Expected Shortfall (regression method)
    0.04741
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.36403
  • Quartile 1
    0.36403
  • Median
    0.36403
  • Quartile 3
    0.36403
  • Maximum
    0.36403
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -395180000
  • Max Equity Drawdown (num days)
    350
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.56624
  • Compounded annual return (geometric extrapolation)
    -0.48608
  • Calmar ratio (compounded annual return / max draw down)
    -1.33527
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -6.65845

Strategy Description

This strategy generates automated end-of-day buy/sell/hold signals for SVXY and VXX.
- Signals are generated by an automated algorithm that utilizes Volatility Risk Premium and momentum measurements as inputs.
- Trades will be placed at 3:58pm ET if our indicators detect a change in direction.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-01-31
Suggested Minimum Capital
$15,000
# Trades
130
# Profitable
48
% Profitable
36.9%
Correlation S&P500
0.098
Sharpe Ratio
0.27
Sortino Ratio
0.45
Beta
0.17
Alpha
0.02
Leverage
0.82 Average
1.54 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.