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C2Star Strategy Momentum Mastery RTS C2Star: in evaluation Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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OLD Volatility 20241224
(145937677)

Created by: PatienceToInvest_com PatienceToInvest_com
Started: 09/2023
Stocks
Last trade: 553 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 $20.00 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.

-20.4%
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.

(58.1%)
Max Drawdown
34
Num Trades
38.2%
Win Trades
0.7 : 1
Profit Factor
47.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        (1.4%)(3.8%)+32.2%+9.0%+36.7%
2024(0.1%)+8.0%+3.0%(12.3%)+14.9%+3.5%(8.4%)(23.7%)(14.2%)(18.4%)+12.8%(14.4%)(45.2%)
2025+4.0%(2.4%)(0.4%)(3.7%)+1.6%+1.1%+8.9%(2.4%)+3.9%(2.9%)(13.1%)+1.4%(5.4%)
2026+0.4%(0.9%)(8.7%)+14.2%+4.6%(9%)                                    (1.2%)

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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/20/24 15:50 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,200 24.40 12/24 12:09 26.96 0.42%
Trade id #150379154
Max drawdown($119)
Time12/20/24 15:53
Quant open1,200
Worst price24.30
Drawdown as % of equity-0.42%
 $3,067
Includes Typical Broker Commissions trade costs of $5.00
12/19/24 15:50 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,338 21.97 12/19 15:58 21.53 2.95%
Trade id #150368812
Max drawdown($856)
Time12/19/24 15:58
Quant open1,338
Worst price21.33
Drawdown as % of equity-2.95%
 ($594)
Includes Typical Broker Commissions trade costs of $5.00
12/18/24 15:52 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 627 25.10 12/18 15:59 23.66 3.23%
Trade id #150358280
Max drawdown($968)
Time12/18/24 15:59
Quant open627
Worst price23.56
Drawdown as % of equity-3.23%
 ($908)
Includes Typical Broker Commissions trade costs of $5.00
11/21/24 15:50 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,220 26.59 12/18 15:37 25.43 4.7%
Trade id #150147201
Max drawdown($1,598)
Time12/18/24 15:37
Quant open1,220
Worst price25.28
Drawdown as % of equity-4.70%
 ($1,414)
Includes Typical Broker Commissions trade costs of $5.00
9/6/24 15:50 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,661 25.73 11/20 9:58 25.11 7.67%
Trade id #149312378
Max drawdown($2,527)
Time10/31/24 0:00
Quant open1,388
Worst price22.38
Drawdown as % of equity-7.67%
 ($2,305)
Includes Typical Broker Commissions trade costs of $27.50
9/5/24 15:50 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,366 26.07 9/6 10:28 25.31 2.99%
Trade id #149267691
Max drawdown($1,051)
Time9/6/24 10:28
Quant open1,366
Worst price25.30
Drawdown as % of equity-2.99%
 ($1,043)
Includes Typical Broker Commissions trade costs of $5.00
8/6/24 15:50 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,531 25.92 9/5 11:33 25.57 2.86%
Trade id #148849192
Max drawdown($1,000)
Time8/7/24 0:00
Quant open527
Worst price21.05
Drawdown as % of equity-2.86%
 ($558)
Includes Typical Broker Commissions trade costs of $20.74
8/1/24 15:55 TMF DIREXION DAILY 20+ YEAR TREASURY BULL 3X ETF LONG 531 56.40 8/14 15:48 56.71 3.76%
Trade id #148801501
Max drawdown($1,347)
Time8/8/24 0:00
Quant open424
Worst price53.22
Drawdown as % of equity-3.76%
 $157
Includes Typical Broker Commissions trade costs of $10.62
8/5/24 15:50 UVIX VS TRUST - 2X LONG VIX FUTURES ETF LONG 562 18.82 8/6 10:08 12.10 9.86%
Trade id #148835600
Max drawdown($3,815)
Time8/6/24 10:08
Quant open562
Worst price12.03
Drawdown as % of equity-9.86%
 ($3,782)
Includes Typical Broker Commissions trade costs of $5.00
11/30/23 15:29 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 4,337 38.80 8/5/24 9:30 36.79 22.17%
Trade id #146581611
Max drawdown($10,395)
Time8/5/24 9:30
Quant open507
Worst price18.30
Drawdown as % of equity-22.17%
 ($8,793)
Includes Typical Broker Commissions trade costs of $61.71
7/17/24 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 282 74.52 8/1 15:53 63.20 6.53%
Trade id #148674601
Max drawdown($3,716)
Time7/30/24 0:00
Quant open282
Worst price61.34
Drawdown as % of equity-6.53%
 ($3,198)
Includes Typical Broker Commissions trade costs of $5.64
4/12/24 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 291 58.64 5/3 15:53 56.79 5.7%
Trade id #147891288
Max drawdown($2,848)
Time4/19/24 0:00
Quant open291
Worst price48.85
Drawdown as % of equity-5.70%
 ($544)
Includes Typical Broker Commissions trade costs of $5.82
3/11/24 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 312 59.18 3/12 15:52 61.97 0.12%
Trade id #147595742
Max drawdown($68)
Time3/12/24 9:46
Quant open312
Worst price58.96
Drawdown as % of equity-0.12%
 $864
Includes Typical Broker Commissions trade costs of $6.24
3/5/24 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 317 58.75 3/6 15:52 60.13 n/a $431
Includes Typical Broker Commissions trade costs of $6.34
2/20/24 15:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 314 55.82 2/23 12:11 60.32 1.18%
Trade id #147384316
Max drawdown($628)
Time2/21/24 0:00
Quant open314
Worst price53.82
Drawdown as % of equity-1.18%
 $1,407
Includes Typical Broker Commissions trade costs of $6.28
2/13/24 15:54 BIL STATE ST SPDR BLOOMBERG 1-3 MONTH T-BILL LONG 193 91.55 2/14 15:54 91.56 0%
Trade id #147329066
Max drawdown($1)
Time2/13/24 15:59
Quant open193
Worst price91.54
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $3.86
12/15/23 14:47 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 4 16.08 12/18 15:40 16.11 0%
Trade id #146716570
Max drawdown($0)
Time12/15/23 15:27
Quant open1
Worst price16.02
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.08
12/15/23 14:32 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1 16.04 12/15 14:46 16.03 0%
Trade id #146716311
Max drawdown($0)
Time12/15/23 14:35
Quant open1
Worst price16.02
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.02
11/30/23 15:24: Rescaled downward to 53% of previous Model Account size
11/29/23 15:56 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,431 34.11 11/30 15:24 34.20 0.87%
Trade id #146570103
Max drawdown($429)
Time11/30/23 13:31
Quant open1,431
Worst price33.81
Drawdown as % of equity-0.87%
 $124
Includes Typical Broker Commissions trade costs of $5.00
11/29/23 15:52: Rescaled downward to 75% of previous Model Account size
9/28/23 9:31 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,492.215000000 27.68 11/29 12:24 34.10 7.87%
Trade id #145957452
Max drawdown($2,776)
Time10/27/23 0:00
Quant open522
Worst price22.59
Drawdown as % of equity-7.87%
 $9,572
Includes Typical Broker Commissions trade costs of $7.54
11/1/23 15:46 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 417.375000000 100.30 11/14 15:11 100.47 0%
Trade id #146305915
Max drawdown($1)
Time11/1/23 15:49
Quant open166
Worst price100.29
Drawdown as % of equity-0.00%
 $69
Includes Typical Broker Commissions trade costs of $1.99
10/10/23 15:53 BIL STATE ST SPDR BLOOMBERG 1-3 MONTH T-BILL LONG 449.970000000 91.56 11/1 15:45 91.46 0.05%
Trade id #146092840
Max drawdown($20)
Time11/1/23 9:30
Quant open158
Worst price91.43
Drawdown as % of equity-0.05%
 ($48)
Includes Typical Broker Commissions trade costs of $2.63
9/27/23 15:33 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 755.250000000 100.61 10/10 15:52 100.51 0.14%
Trade id #145951791
Max drawdown($53)
Time10/2/23 0:00
Quant open150
Worst price100.26
Drawdown as % of equity-0.14%
 ($87)
Includes Typical Broker Commissions trade costs of $7.55
9/29/23 15:38 SVIX2320V18 SVIX Oct20'23 18 put LONG 7.950000000 0.35 10/3 15:46 0.25 0.12%
Trade id #145977784
Max drawdown($47)
Time10/2/23 0:00
Quant open3
Worst price0.20
Drawdown as % of equity-0.12%
 ($91)
Includes Typical Broker Commissions trade costs of $11.13
9/29/23 15:28 VXX2306V23 VXX Oct6'23 23 put SHORT 1.988000000 0.94 10/3 15:46 0.12 0.02%
Trade id #145977685
Max drawdown($9)
Time9/29/23 15:52
Quant open1
Worst price1.06
Drawdown as % of equity-0.02%
 $160
Includes Typical Broker Commissions trade costs of $3.38
9/27/23 9:41 VXX2329U24.5 VXX Sep29'23 24.5 put SHORT 3.975000000 0.86 9/28 12:50 1.68 0.39%
Trade id #145943695
Max drawdown($153)
Time9/28/23 0:00
Quant open2
Worst price1.83
Drawdown as % of equity-0.39%
 ($332)
Includes Typical Broker Commissions trade costs of $5.56
9/27/23 12:11 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 357.750000000 26.93 9/27 15:45 26.82 0.05%
Trade id #145947726
Max drawdown($21)
Time9/27/23 15:45
Quant open142
Worst price26.78
Drawdown as % of equity-0.05%
 ($45)
Includes Typical Broker Commissions trade costs of $4.57
9/27/23 10:28 SVIX2320V25 SVIX Oct20'23 25 put SHORT 1.193000000 1.55 9/27 12:10 1.90 0.04%
Trade id #145944701
Max drawdown($14)
Time9/27/23 12:10
Quant open1
Worst price1.85
Drawdown as % of equity-0.04%
 ($44)
Includes Typical Broker Commissions trade costs of $1.79
9/27/23 10:28 SVIX2320V24 SVIX Oct20'23 24 put SHORT 1.193000000 1.20 9/27 12:09 1.70 0.04%
Trade id #145944694
Max drawdown($14)
Time9/27/23 12:05
Quant open1
Worst price1.50
Drawdown as % of equity-0.04%
 ($62)
Includes Typical Broker Commissions trade costs of $1.79
9/27/23 12:09 SVIX2320V20 SVIX Oct20'23 20 put LONG 0.398000000 0.70 9/27 12:09 0.60 0%
Trade id #145947699
Max drawdown($1)
Time9/27/23 12:09
Quant open1
Worst price0.60
Drawdown as % of equity-0.00%
 ($5)
Includes Typical Broker Commissions trade costs of $0.80

Statistics

  • Strategy began
    9/26/2023
  • Suggested Minimum Cap
    $39,750
  • Strategy Age (days)
    1002.28
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    13
  • % Profitable
    38.20%
  • Avg trade duration
    0.0 minutes
  • Max peak-to-valley drawdown
    58.08%
  • drawdown period
    July 12, 2024 - Dec 23, 2024
  • Annual Return (Compounded)
    -20.4%
  • Avg win
    $1,573
  • Avg loss
    $1,511
  • Model Account Values (Raw)
  • Cash
    $13,537
  • Margin Used
    $0
  • Buying Power
    $9,814
  • Ratios
  • W:L ratio
    0.70:1
  • Sharpe Ratio
    -0.2
  • Sortino Ratio
    -0.26
  • Calmar Ratio
    -0.339
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -64.85%
  • Correlation to SP500
    0.62480
  • Return Percent SP500 (cumu) during strategy life
    75.39%
  • Return Statistics
  • Ann Return (w trading costs)
    -20.4%
  • Slump
  • Current Slump as Pcnt Equity
    143.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.204%
  • Instruments
  • Percent Trades Options
    0.19%
  • Percent Trades Stocks
    0.81%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -10.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    73.50%
  • Chance of 40% account loss
    45.00%
  • 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
    11.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    349
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,441
  • Avg Win
    $1,671
  • Sum Trade PL (losers)
    $31,703.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $20,052.000
  • # Winners
    12
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    756
  • Win / Loss
  • # Losers
    22
  • % Winners
    35.3%
  • Frequency
  • Avg Position Time (mins)
    93474.40
  • Avg Position Time (hrs)
    1557.91
  • Avg Trade Length
    64.9 days
  • Last Trade Ago
    547
  • Leverage
  • Daily leverage (average)
    1.04
  • Daily leverage (max)
    2.36
  • Regression
  • Alpha
    -0.11
  • Beta
    1.60
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.25
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -3.974
  • 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
    0.24
  • Avg(MAE) / Avg(PL) - Winning trades
    0.532
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.199
  • Hold-and-Hope Ratio
    -0.334
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00182
  • SD
    0.52295
  • Sharpe ratio (Glass type estimate)
    0.00349
  • Sharpe ratio (Hedges UMVUE)
    0.00328
  • df
    13.00000
  • t
    0.00377
  • p
    0.49933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81785
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00561
  • Upside Potential Ratio
    2.10073
  • Upside part of mean
    0.68312
  • Downside part of mean
    -0.68129
  • Upside SD
    0.38497
  • Downside SD
    0.32518
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.27802
  • Mean of criterion
    0.00182
  • SD of predictor
    0.12255
  • SD of criterion
    0.52295
  • Covariance
    0.04730
  • r
    0.73798
  • b (slope, estimate of beta)
    3.14901
  • a (intercept, estimate of alpha)
    -0.87367
  • Mean Square Error
    0.13492
  • DF error
    12.00000
  • t(b)
    3.78829
  • p(b)
    0.13101
  • t(a)
    -2.12489
  • p(a)
    0.76144
  • Lowerbound of 95% confidence interval for beta
    1.33787
  • Upperbound of 95% confidence interval for beta
    4.96014
  • Lowerbound of 95% confidence interval for alpha
    -1.76950
  • Upperbound of 95% confidence interval for alpha
    0.02217
  • Treynor index (mean / b)
    0.00058
  • Jensen alpha (a)
    -0.87367
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11981
  • SD
    0.50850
  • Sharpe ratio (Glass type estimate)
    -0.23562
  • Sharpe ratio (Hedges UMVUE)
    -0.22171
  • df
    13.00000
  • t
    -0.25449
  • p
    0.54479
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59486
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33305
  • Upside Potential Ratio
    1.72418
  • Upside part of mean
    0.62025
  • Downside part of mean
    -0.74006
  • Upside SD
    0.33449
  • Downside SD
    0.35974
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.26755
  • Mean of criterion
    -0.11981
  • SD of predictor
    0.12001
  • SD of criterion
    0.50850
  • Covariance
    0.04233
  • r
    0.69368
  • b (slope, estimate of beta)
    2.93930
  • a (intercept, estimate of alpha)
    -0.90622
  • Mean Square Error
    0.14533
  • DF error
    12.00000
  • t(b)
    3.33615
  • p(b)
    0.15316
  • t(a)
    -2.13521
  • p(a)
    0.76236
  • Lowerbound of 95% confidence interval for beta
    1.01967
  • Upperbound of 95% confidence interval for beta
    4.85893
  • Lowerbound of 95% confidence interval for alpha
    -1.83096
  • Upperbound of 95% confidence interval for alpha
    0.01851
  • Treynor index (mean / b)
    -0.04076
  • Jensen alpha (a)
    -0.90622
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22232
  • Expected Shortfall on VaR
    0.26752
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12175
  • Expected Shortfall on VaR
    0.21121
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.74940
  • Quartile 1
    0.89990
  • Median
    1.03320
  • Quartile 3
    1.06883
  • Maximum
    1.37720
  • Mean of quarter 1
    0.85342
  • Mean of quarter 2
    0.94471
  • Mean of quarter 3
    1.03954
  • Mean of quarter 4
    1.16708
  • Inter Quartile Range
    0.16893
  • 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
    0.07143
  • Mean of outliers high
    1.37720
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27464
  • VaR(95%) (moments method)
    0.17385
  • Expected Shortfall (moments method)
    0.25843
  • Extreme Value Index (regression method)
    1.52529
  • VaR(95%) (regression method)
    0.21259
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.09966
  • Quartile 1
    0.09995
  • Median
    0.10025
  • Quartile 3
    0.28617
  • Maximum
    0.47209
  • Mean of quarter 1
    0.09966
  • Mean of quarter 2
    0.10025
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.47209
  • Inter Quartile Range
    0.18622
  • 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)
    -0.08715
  • Compounded annual return (geometric extrapolation)
    -0.08781
  • Calmar ratio (compounded annual return / max draw down)
    -0.18599
  • Compounded annual return / average of 25% largest draw downs
    -0.18599
  • Compounded annual return / Expected Shortfall lognormal
    -0.32822
  • 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
    -0.12250
  • SD
    0.43379
  • Sharpe ratio (Glass type estimate)
    -0.28239
  • Sharpe ratio (Hedges UMVUE)
    -0.28173
  • df
    325.00000
  • t
    -0.31499
  • p
    0.62352
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47547
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34449
  • Upside Potential Ratio
    6.45774
  • Upside part of mean
    2.29633
  • Downside part of mean
    -2.41882
  • Upside SD
    0.24740
  • Downside SD
    0.35559
  • N nonnegative terms
    182.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    326.00000
  • Mean of predictor
    0.24886
  • Mean of criterion
    -0.12250
  • SD of predictor
    0.12536
  • SD of criterion
    0.43379
  • Covariance
    0.03085
  • r
    0.56735
  • b (slope, estimate of beta)
    1.96325
  • a (intercept, estimate of alpha)
    -0.76900
  • Mean Square Error
    0.12800
  • DF error
    324.00000
  • t(b)
    12.40150
  • p(b)
    0.00000
  • t(a)
    -1.89105
  • p(a)
    0.97025
  • Lowerbound of 95% confidence interval for beta
    1.65181
  • Upperbound of 95% confidence interval for beta
    2.27470
  • Lowerbound of 95% confidence interval for alpha
    -1.24680
  • Upperbound of 95% confidence interval for alpha
    0.02464
  • Treynor index (mean / b)
    -0.06239
  • Jensen alpha (a)
    -0.61108
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21960
  • SD
    0.44526
  • Sharpe ratio (Glass type estimate)
    -0.49321
  • Sharpe ratio (Hedges UMVUE)
    -0.49207
  • df
    325.00000
  • t
    -0.55016
  • p
    0.70871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25035
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24955
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26541
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58916
  • Upside Potential Ratio
    6.07999
  • Upside part of mean
    2.26626
  • Downside part of mean
    -2.48586
  • Upside SD
    0.24268
  • Downside SD
    0.37274
  • N nonnegative terms
    182.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    326.00000
  • Mean of predictor
    0.24088
  • Mean of criterion
    -0.21960
  • SD of predictor
    0.12547
  • SD of criterion
    0.44526
  • Covariance
    0.03153
  • r
    0.56440
  • b (slope, estimate of beta)
    2.00297
  • a (intercept, estimate of alpha)
    -0.70208
  • Mean Square Error
    0.13552
  • DF error
    324.00000
  • t(b)
    12.30680
  • p(b)
    0.00000
  • t(a)
    -2.11256
  • p(a)
    0.98230
  • Lowerbound of 95% confidence interval for beta
    1.68278
  • Upperbound of 95% confidence interval for beta
    2.32315
  • Lowerbound of 95% confidence interval for alpha
    -1.35590
  • Upperbound of 95% confidence interval for alpha
    -0.04827
  • Treynor index (mean / b)
    -0.10964
  • Jensen alpha (a)
    -0.70208
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04504
  • Expected Shortfall on VaR
    0.05590
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01931
  • Expected Shortfall on VaR
    0.04104
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    326.00000
  • Minimum
    0.84388
  • Quartile 1
    0.98955
  • Median
    1.00244
  • Quartile 3
    1.01495
  • Maximum
    1.09847
  • Mean of quarter 1
    0.96704
  • Mean of quarter 2
    0.99671
  • Mean of quarter 3
    1.00829
  • Mean of quarter 4
    1.02658
  • Inter Quartile Range
    0.02540
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.03988
  • Mean of outliers low
    0.91242
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.00613
  • Mean of outliers high
    1.07788
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38854
  • VaR(95%) (moments method)
    0.03195
  • Expected Shortfall (moments method)
    0.06124
  • Extreme Value Index (regression method)
    0.28017
  • VaR(95%) (regression method)
    0.03072
  • Expected Shortfall (regression method)
    0.05230
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00617
  • Median
    0.04215
  • Quartile 3
    0.07469
  • Maximum
    0.56278
  • Mean of quarter 1
    0.00216
  • Mean of quarter 2
    0.01475
  • Mean of quarter 3
    0.05919
  • Mean of quarter 4
    0.21258
  • Inter Quartile Range
    0.06853
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.38129
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64900
  • VaR(95%) (moments method)
    0.23839
  • Expected Shortfall (moments method)
    0.70693
  • Extreme Value Index (regression method)
    1.76787
  • VaR(95%) (regression method)
    0.29356
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17055
  • Compounded annual return (geometric extrapolation)
    -0.17444
  • Calmar ratio (compounded annual return / max draw down)
    -0.30996
  • Compounded annual return / average of 25% largest draw downs
    -0.82060
  • Compounded annual return / Expected Shortfall lognormal
    -3.12041
  • 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
    -1.29413
  • SD
    0.56544
  • Sharpe ratio (Glass type estimate)
    -2.28872
  • Sharpe ratio (Hedges UMVUE)
    -2.27549
  • df
    130.00000
  • t
    -1.61837
  • p
    0.57027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.07009
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.50126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.06107
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51008
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.59990
  • Upside Potential Ratio
    4.60380
  • Upside part of mean
    2.29159
  • Downside part of mean
    -3.58572
  • Upside SD
    0.27551
  • Downside SD
    0.49776
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15289
  • Mean of criterion
    -1.29413
  • SD of predictor
    0.14330
  • SD of criterion
    0.56544
  • Covariance
    0.04436
  • r
    0.54748
  • b (slope, estimate of beta)
    2.16028
  • a (intercept, estimate of alpha)
    -1.62441
  • Mean Square Error
    0.22562
  • DF error
    129.00000
  • t(b)
    7.43082
  • p(b)
    0.16975
  • t(a)
    -2.41291
  • p(a)
    0.63134
  • Lowerbound of 95% confidence interval for beta
    1.58509
  • Upperbound of 95% confidence interval for beta
    2.73548
  • Lowerbound of 95% confidence interval for alpha
    -2.95639
  • Upperbound of 95% confidence interval for alpha
    -0.29244
  • Treynor index (mean / b)
    -0.59906
  • Jensen alpha (a)
    -1.62441
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.46388
  • SD
    0.58564
  • Sharpe ratio (Glass type estimate)
    -2.49965
  • Sharpe ratio (Hedges UMVUE)
    -2.48520
  • df
    130.00000
  • t
    -1.76752
  • p
    0.57660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.28332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.29338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.27342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30302
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.78487
  • Upside Potential Ratio
    4.28920
  • Upside part of mean
    2.25464
  • Downside part of mean
    -3.71853
  • Upside SD
    0.26873
  • Downside SD
    0.52566
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14261
  • Mean of criterion
    -1.46388
  • SD of predictor
    0.14365
  • SD of criterion
    0.58564
  • Covariance
    0.04591
  • r
    0.54575
  • b (slope, estimate of beta)
    2.22496
  • a (intercept, estimate of alpha)
    -1.78119
  • Mean Square Error
    0.24269
  • DF error
    129.00000
  • t(b)
    7.39720
  • p(b)
    0.17068
  • t(a)
    -2.55182
  • p(a)
    0.63843
  • VAR (95 Confidence Intrvl)
    0.05000
  • Lowerbound of 95% confidence interval for beta
    1.62985
  • Upperbound of 95% confidence interval for beta
    2.82007
  • Lowerbound of 95% confidence interval for alpha
    -3.16221
  • Upperbound of 95% confidence interval for alpha
    -0.40016
  • Treynor index (mean / b)
    -0.65794
  • Jensen alpha (a)
    -1.78119
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06303
  • Expected Shortfall on VaR
    0.07700
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03203
  • Expected Shortfall on VaR
    0.06506
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84388
  • Quartile 1
    0.98590
  • Median
    0.99937
  • Quartile 3
    1.01251
  • Maximum
    1.09847
  • Mean of quarter 1
    0.95203
  • Mean of quarter 2
    0.99389
  • Mean of quarter 3
    1.00656
  • Mean of quarter 4
    1.02854
  • Inter Quartile Range
    0.02661
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.89843
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.07788
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34744
  • VaR(95%) (moments method)
    0.04457
  • Expected Shortfall (moments method)
    0.08246
  • Extreme Value Index (regression method)
    0.31870
  • VaR(95%) (regression method)
    0.05097
  • Expected Shortfall (regression method)
    0.09359
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00063
  • Quartile 1
    0.00268
  • Median
    0.00470
  • Quartile 3
    0.14523
  • Maximum
    0.56278
  • Mean of quarter 1
    0.00063
  • Mean of quarter 2
    0.00336
  • Mean of quarter 3
    0.00604
  • Mean of quarter 4
    0.56278
  • Inter Quartile Range
    0.14255
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.56278
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -443890000
  • Max Equity Drawdown (num days)
    164
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.02453
  • Compounded annual return (geometric extrapolation)
    -0.76212
  • Calmar ratio (compounded annual return / max draw down)
    -1.35419
  • Compounded annual return / average of 25% largest draw downs
    -1.35419
  • Compounded annual return / Expected Shortfall lognormal
    -9.89739

Strategy Description

Buying and holding short voalatilty products produces a very high return most of the time. But in rare moments they produce massive losses. This strategy will mostly hold short vol ETFs and occassionallly exit them when my algorithms detect a sufficiently high chance of a very large or prolonged drawdown.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2023-09-26
Suggested Minimum Capital
$25,000
# Trades
34
# Profitable
13
% Profitable
38.2%
Net Dividends
$877
Correlation S&P500
0.625
Sharpe Ratio
-0.20
Sortino Ratio
-0.26
Beta
1.60
Alpha
-0.11
Leverage
1.04 Average
2.36 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.