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Featured Strategy Algotrading StocksV21/11 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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XessIVol
(91851468)

Created by: XessIVol_team XessIVol_team
Started: 01/2015
Stocks
Last trade: 2,463 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 $150.00 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.

11.9%
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.

(44.0%)
Max Drawdown
29
Num Trades
89.7%
Win Trades
3.2 : 1
Profit Factor
62.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015(3.6%)+40.0%+7.2%+15.3%+3.7%+0.6%+5.0%(3.7%)(2.9%)+9.2%(2.8%)+3.1%+87.0%
2016(1.4%)(2.6%)+17.7%+0.4%+5.3%(2.8%)+6.2%+1.3%+4.3%+0.9%+3.5%(0.3%)+35.7%
2017(0.3%)(0.3%)+1.2%+2.6%+0.5%(2.4%)+8.9%(3.3%)+6.3%+6.3%+1.9%+3.2%+26.7%
2018(3.4%)(29.7%)(1.4%)+1.7%+1.9%(0.7%)+2.3%+1.4%+1.6%(7.7%)+2.2%(4.1%)(34.3%)
2019+2.2%+2.7%+1.0%+2.6%(0.2%)  -  (3.4%)+3.9%+0.3%+5.7%+1.3%+15.2%
2020+0.4%(9.4%)(13.8%)+0.5%+2.0%(3.2%)+2.8%+1.6%(0.4%)+0.3%+4.4%+0.3%(14.9%)
2021(4.1%)+3.4%+5.0%+2.0%+1.4%+2.8%(1%)+2.8%(2.5%)+5.4%(2.9%)+0.4%+13.0%
2022(3%)(1.2%)+2.4%(5.2%)+0.8%(0.3%)+3.2%(0.6%)(3%)+2.1%+4.1%+0.8%(0.2%)
2023+4.6%(1.9%)(0.6%)+3.1%+2.8%+8.4%+1.9%+1.2%(1.6%)(4.8%)+11.0%+3.0%+29.5%
2024+1.7%+1.3%+1.7%(1.2%)+3.4%+2.3%(4.4%)(3.5%)(2.8%)(4.1%)+6.3%      +0.1%

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.

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

Trading Record

This strategy has placed 58 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/16/18 13:03 XIV VELOCITYSHARES DAILY INVERSE V LONG 190 139.98 2/7 11:43 6.48 41.1%
Trade id #115908262
Max drawdown($25,575)
Time2/7/18 5:20
Quant open190
Worst price5.37
Drawdown as % of equity-41.10%
 ($25,369)
Includes Typical Broker Commissions trade costs of $3.80
12/1/17 12:38 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 110.03 12/4 12:10 120.00 0.09%
Trade id #115147209
Max drawdown($77)
Time12/1/17 12:41
Quant open250
Worst price109.72
Drawdown as % of equity-0.09%
 $2,488
Includes Typical Broker Commissions trade costs of $5.00
11/15/17 9:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 103.23 11/16 10:40 109.07 0.14%
Trade id #114866322
Max drawdown($114)
Time11/15/17 10:01
Quant open250
Worst price102.77
Drawdown as % of equity-0.14%
 $1,455
Includes Typical Broker Commissions trade costs of $5.00
8/9/17 10:16 XIV VELOCITYSHARES DAILY INVERSE V LONG 320 90.23 10/23 10:57 112.20 0.08%
Trade id #113058587
Max drawdown($60)
Time9/25/17 12:22
Quant open320
Worst price90.04
Drawdown as % of equity-0.08%
 $7,024
Includes Typical Broker Commissions trade costs of $6.40
6/23/17 15:02 EXIV VELOCITYSHARES 1X DAILY INVERSE LONG 950 29.18 7/25 11:52 33.71 2.92%
Trade id #112196436
Max drawdown($2,069)
Time6/29/17 13:24
Quant open950
Worst price27.00
Drawdown as % of equity-2.92%
 $4,297
Includes Typical Broker Commissions trade costs of $8.50
5/17/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 77.20 6/15 10:39 80.17 4.18%
Trade id #111638152
Max drawdown($2,882)
Time5/18/17 6:01
Quant open250
Worst price65.67
Drawdown as % of equity-4.18%
 $739
Includes Typical Broker Commissions trade costs of $5.00
3/22/17 10:39 XIV VELOCITYSHARES DAILY INVERSE V LONG 680 67.27 4/24 9:44 71.39 5.14%
Trade id #110378872
Max drawdown($3,407)
Time4/13/17 16:15
Quant open680
Worst price62.26
Drawdown as % of equity-5.14%
 $2,792
Includes Typical Broker Commissions trade costs of $9.30
11/1/16 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 800 35.90 11/9 15:58 38.83 4.11%
Trade id #106823310
Max drawdown($2,629)
Time11/3/16 16:15
Quant open800
Worst price32.61
Drawdown as % of equity-4.11%
 $2,333
Includes Typical Broker Commissions trade costs of $16.00
10/13/16 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 390 35.51 10/18 9:30 37.47 0.52%
Trade id #106423847
Max drawdown($342)
Time10/13/16 10:03
Quant open390
Worst price34.63
Drawdown as % of equity-0.52%
 $758
Includes Typical Broker Commissions trade costs of $7.80
9/26/16 9:36 XIV VELOCITYSHARES DAILY INVERSE V LONG 510 36.34 9/29 9:30 38.20 0.56%
Trade id #106069098
Max drawdown($361)
Time9/26/16 9:46
Quant open510
Worst price35.63
Drawdown as % of equity-0.56%
 $945
Includes Typical Broker Commissions trade costs of $5.00
6/10/16 9:51 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,950 29.51 9/21 15:24 32.02 10.45%
Trade id #103387274
Max drawdown($5,863)
Time6/16/16 10:02
Quant open1,130
Worst price23.88
Drawdown as % of equity-10.45%
 $4,865
Includes Typical Broker Commissions trade costs of $29.50
1/7/16 13:08 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,920 22.72 5/20 13:16 27.96 10.75%
Trade id #99088903
Max drawdown($4,847)
Time2/11/16 14:38
Quant open940
Worst price15.36
Drawdown as % of equity-10.75%
 $10,033
Includes Typical Broker Commissions trade costs of $17.50
12/11/15 13:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 440 23.75 12/29 10:29 27.35 1.57%
Trade id #98750041
Max drawdown($748)
Time12/14/15 11:39
Quant open440
Worst price22.05
Drawdown as % of equity-1.57%
 $1,575
Includes Typical Broker Commissions trade costs of $8.80
11/11/15 11:49 VIX1518K23 VIX Nov18'15 23 call SHORT 60 0.10 11/13 11:54 0.35 4.34%
Trade id #98323583
Max drawdown($2,100)
Time11/13/15 10:34
Quant open-60
Worst price0.45
Drawdown as % of equity-4.34%
 ($1,584)
Includes Typical Broker Commissions trade costs of $84.00
8/25/15 10:19 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,840 29.21 11/4 9:58 29.26 11.94%
Trade id #96834450
Max drawdown($5,294)
Time9/28/15 14:19
Quant open980
Worst price22.62
Drawdown as % of equity-11.94%
 $71
Includes Typical Broker Commissions trade costs of $32.70
10/21/15 15:40 VIX1528J21 VIX Oct28'15 21 call SHORT 25 0.20 10/29 9:00 0.00 n/a $483
Includes Typical Broker Commissions trade costs of $17.50
9/8/15 9:48 VIX1516I40 VIX Sep16'15 40 call SHORT 50 0.25 9/11 9:46 0.05 0.45%
Trade id #97094068
Max drawdown($200)
Time9/8/15 11:13
Quant open-50
Worst price0.29
Drawdown as % of equity-0.45%
 $930
Includes Typical Broker Commissions trade costs of $70.00
8/6/15 10:43 VIX1519H24 VIX Aug19'15 24 call SHORT 35 0.10 8/20 9:02 0.00 0.37%
Trade id #96479730
Max drawdown($175)
Time8/6/15 12:37
Quant open-35
Worst price0.15
Drawdown as % of equity-0.37%
 $326
Includes Typical Broker Commissions trade costs of $24.50
8/6/15 9:32 VIX1519H28 VIX Aug19'15 28 call SHORT 50 0.05 8/20 9:02 0.00 0%
Trade id #96476074
Max drawdown$0
Time8/6/15 9:34
Quant open-50
Worst price0.05
Drawdown as % of equity0.00%
 $215
Includes Typical Broker Commissions trade costs of $35.00
7/1/15 9:56 VIX1522G32.5 VIX Jul22'15 32.5 call SHORT 50 0.15 7/23 9:02 0.00 1.74%
Trade id #95636981
Max drawdown($750)
Time7/7/15 10:39
Quant open-50
Worst price0.30
Drawdown as % of equity-1.74%
 $715
Includes Typical Broker Commissions trade costs of $35.00
7/15/15 11:45 VIX1522G24 VIX Jul22'15 24 call SHORT 50 0.04 7/23 9:01 0.00 0.43%
Trade id #95898065
Max drawdown($200)
Time7/15/15 14:48
Quant open-50
Worst price0.08
Drawdown as % of equity-0.43%
 $165
Includes Typical Broker Commissions trade costs of $35.00
7/1/15 9:43 XIV VELOCITYSHARES DAILY INVERSE V LONG 520 42.62 7/16 9:30 45.56 7.57%
Trade id #95636322
Max drawdown($3,180)
Time7/9/15 16:34
Quant open520
Worst price36.50
Drawdown as % of equity-7.57%
 $1,526
Includes Typical Broker Commissions trade costs of $5.00
6/29/15 15:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 260 40.64 6/30 10:22 40.64 0.48%
Trade id #95563122
Max drawdown($213)
Time6/29/15 15:49
Quant open260
Worst price39.82
Drawdown as % of equity-0.48%
 ($5)
Includes Typical Broker Commissions trade costs of $5.20
4/30/15 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 510 42.87 6/29 11:43 44.20 1.17%
Trade id #94163069
Max drawdown($494)
Time5/6/15 14:43
Quant open230
Worst price38.34
Drawdown as % of equity-1.17%
 $666
Includes Typical Broker Commissions trade costs of $10.20
6/1/15 10:01 VIX1517F24 VIX Jun17'15 24 call SHORT 50 0.15 6/18 9:02 0.00 0.57%
Trade id #94726540
Max drawdown($250)
Time6/4/15 13:22
Quant open-50
Worst price0.20
Drawdown as % of equity-0.57%
 $715
Includes Typical Broker Commissions trade costs of $35.00
6/10/15 11:14 VIX1517F25 VIX Jun17'15 25 call SHORT 50 0.05 6/18 9:02 0.00 0%
Trade id #94926647
Max drawdown$0
Time6/10/15 11:17
Quant open-50
Worst price0.05
Drawdown as % of equity0.00%
 $215
Includes Typical Broker Commissions trade costs of $35.00
4/22/15 9:48 VIX1520E30 VIX May20'15 30 call SHORT 50 0.15 5/21 9:01 0.00 0%
Trade id #94002316
Max drawdown$0
Time4/22/15 10:21
Quant open-50
Worst price0.15
Drawdown as % of equity0.00%
 $715
Includes Typical Broker Commissions trade costs of $35.00
1/14/15 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,380 26.14 4/13 14:57 38.75 3.22%
Trade id #91853749
Max drawdown($786)
Time1/30/15 15:59
Quant open420
Worst price24.80
Drawdown as % of equity-3.22%
 $17,390
Includes Typical Broker Commissions trade costs of $9.20
Next

Statistics

  • Strategy began
    1/14/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3590.89
  • Age
    120 months ago
  • What it trades
    Stocks, Options
  • # Trades
    29
  • # Profitable
    26
  • % Profitable
    89.70%
  • Avg trade duration
    113.2 days
  • Max peak-to-valley drawdown
    43.95%
  • drawdown period
    Jan 22, 2018 - March 19, 2020
  • Annual Return (Compounded)
    11.9%
  • Avg win
    $3,261
  • Avg loss
    $8,955
  • Model Account Values (Raw)
  • Cash
    $42,819
  • Margin Used
    $0
  • Buying Power
    $63,678
  • Ratios
  • W:L ratio
    3.16:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    0.69
  • Calmar Ratio
    0.82
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.05%
  • Correlation to SP500
    0.53200
  • Return Percent SP500 (cumu) during strategy life
    194.20%
  • Return Statistics
  • Ann Return (w trading costs)
    11.9%
  • Slump
  • Current Slump as Pcnt Equity
    10.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.119%
  • Instruments
  • Percent Trades Options
    0.21%
  • Percent Trades Stocks
    0.79%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $8,955
  • Avg Win
    $3,261
  • Sum Trade PL (losers)
    $26,865.000
  • Age
  • Num Months filled monthly returns table
    119
  • Win / Loss
  • Sum Trade PL (winners)
    $84,795.000
  • # Winners
    26
  • Num Months Winners
    74
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    3
  • % Winners
    89.7%
  • Frequency
  • Avg Position Time (mins)
    162942.00
  • Avg Position Time (hrs)
    2715.69
  • Avg Trade Length
    113.2 days
  • Last Trade Ago
    2455
  • Regression
  • Alpha
    0.01
  • Beta
    0.56
  • 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
    61.76
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.85
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.40
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.25
  • Avg(MAE) / Avg(PL) - All trades
    1.272
  • 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
    0.46
  • Avg(MAE) / Avg(PL) - Winning trades
    0.534
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.030
  • Hold-and-Hope Ratio
    0.584
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29490
  • SD
    0.27031
  • Sharpe ratio (Glass type estimate)
    1.09097
  • Sharpe ratio (Hedges UMVUE)
    1.07417
  • df
    49.00000
  • t
    2.22694
  • p
    0.01529
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06974
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09072
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05763
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79549
  • Upside Potential Ratio
    2.91628
  • Upside part of mean
    0.47899
  • Downside part of mean
    -0.18408
  • Upside SD
    0.22776
  • Downside SD
    0.16425
  • N nonnegative terms
    36.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.24804
  • Mean of criterion
    0.29490
  • SD of predictor
    0.24322
  • SD of criterion
    0.27031
  • Covariance
    0.02296
  • r
    0.34919
  • b (slope, estimate of beta)
    0.38809
  • a (intercept, estimate of alpha)
    0.19864
  • Mean Square Error
    0.06549
  • DF error
    48.00000
  • t(b)
    2.58181
  • p(b)
    0.00647
  • t(a)
    1.51865
  • p(a)
    0.06770
  • Lowerbound of 95% confidence interval for beta
    0.08586
  • Upperbound of 95% confidence interval for beta
    0.69032
  • Lowerbound of 95% confidence interval for alpha
    -0.06435
  • Upperbound of 95% confidence interval for alpha
    0.46163
  • Treynor index (mean / b)
    0.75988
  • Jensen alpha (a)
    0.19864
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25485
  • SD
    0.27486
  • Sharpe ratio (Glass type estimate)
    0.92718
  • Sharpe ratio (Hedges UMVUE)
    0.91290
  • df
    49.00000
  • t
    1.89260
  • p
    0.03216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88995
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36759
  • Upside Potential Ratio
    2.43856
  • Upside part of mean
    0.45442
  • Downside part of mean
    -0.19958
  • Upside SD
    0.21149
  • Downside SD
    0.18635
  • N nonnegative terms
    36.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.21933
  • Mean of criterion
    0.25485
  • SD of predictor
    0.22451
  • SD of criterion
    0.27486
  • Covariance
    0.02303
  • r
    0.37323
  • b (slope, estimate of beta)
    0.45694
  • a (intercept, estimate of alpha)
    0.15463
  • Mean Square Error
    0.06638
  • DF error
    48.00000
  • t(b)
    2.78721
  • p(b)
    0.00380
  • t(a)
    1.17819
  • p(a)
    0.12226
  • Lowerbound of 95% confidence interval for beta
    0.12731
  • Upperbound of 95% confidence interval for beta
    0.78657
  • Lowerbound of 95% confidence interval for alpha
    -0.10925
  • Upperbound of 95% confidence interval for alpha
    0.41851
  • Treynor index (mean / b)
    0.55773
  • Jensen alpha (a)
    0.15463
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10352
  • Expected Shortfall on VaR
    0.13238
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02211
  • Expected Shortfall on VaR
    0.05494
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.72335
  • Quartile 1
    1.00000
  • Median
    1.02825
  • Quartile 3
    1.05874
  • Maximum
    1.25619
  • Mean of quarter 1
    0.94351
  • Mean of quarter 2
    1.01328
  • Mean of quarter 3
    1.03865
  • Mean of quarter 4
    1.11204
  • Inter Quartile Range
    0.05874
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.79341
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    1.18421
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.57488
  • VaR(95%) (regression method)
    0.03429
  • Expected Shortfall (regression method)
    0.11295
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04134
  • Quartile 1
    0.04541
  • Median
    0.05991
  • Quartile 3
    0.14745
  • Maximum
    0.37063
  • Mean of quarter 1
    0.04134
  • Mean of quarter 2
    0.04676
  • Mean of quarter 3
    0.07306
  • Mean of quarter 4
    0.37063
  • Inter Quartile Range
    0.10204
  • 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
    0.37063
  • 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)
    0.53961
  • Compounded annual return (geometric extrapolation)
    0.32678
  • Calmar ratio (compounded annual return / max draw down)
    0.88168
  • Compounded annual return / average of 25% largest draw downs
    0.88168
  • Compounded annual return / Expected Shortfall lognormal
    2.46848
  • 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
    0.29097
  • SD
    0.25196
  • Sharpe ratio (Glass type estimate)
    1.15484
  • Sharpe ratio (Hedges UMVUE)
    1.15405
  • df
    1096.00000
  • t
    2.36307
  • p
    0.46440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11312
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48790
  • Upside Potential Ratio
    6.26720
  • Upside part of mean
    1.22560
  • Downside part of mean
    -0.93463
  • Upside SD
    0.15970
  • Downside SD
    0.19556
  • N nonnegative terms
    496.00000
  • N negative terms
    601.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1097.00000
  • Mean of predictor
    0.25188
  • Mean of criterion
    0.29097
  • SD of predictor
    0.24057
  • SD of criterion
    0.25196
  • Covariance
    0.03370
  • r
    0.55596
  • b (slope, estimate of beta)
    0.58227
  • a (intercept, estimate of alpha)
    0.14400
  • Mean Square Error
    0.04390
  • DF error
    1095.00000
  • t(b)
    22.13290
  • p(b)
    0.16526
  • t(a)
    1.40639
  • p(a)
    0.47298
  • Lowerbound of 95% confidence interval for beta
    0.53065
  • Upperbound of 95% confidence interval for beta
    0.63389
  • Lowerbound of 95% confidence interval for alpha
    -0.05702
  • Upperbound of 95% confidence interval for alpha
    0.34564
  • Treynor index (mean / b)
    0.49972
  • Jensen alpha (a)
    0.14431
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25766
  • SD
    0.26071
  • Sharpe ratio (Glass type estimate)
    0.98830
  • Sharpe ratio (Hedges UMVUE)
    0.98762
  • df
    1096.00000
  • t
    2.02228
  • p
    0.46951
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02936
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94684
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02889
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94636
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23614
  • Upside Potential Ratio
    5.81946
  • Upside part of mean
    1.21298
  • Downside part of mean
    -0.95533
  • Upside SD
    0.15721
  • Downside SD
    0.20844
  • N nonnegative terms
    496.00000
  • N negative terms
    601.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1097.00000
  • Mean of predictor
    0.22209
  • Mean of criterion
    0.25766
  • SD of predictor
    0.24542
  • SD of criterion
    0.26071
  • Covariance
    0.03590
  • r
    0.56116
  • b (slope, estimate of beta)
    0.59611
  • a (intercept, estimate of alpha)
    0.12526
  • Mean Square Error
    0.04661
  • DF error
    1095.00000
  • t(b)
    22.43440
  • p(b)
    0.16251
  • t(a)
    1.18543
  • p(a)
    0.47721
  • Lowerbound of 95% confidence interval for beta
    0.54398
  • Upperbound of 95% confidence interval for beta
    0.64825
  • Lowerbound of 95% confidence interval for alpha
    -0.08207
  • Upperbound of 95% confidence interval for alpha
    0.33260
  • Treynor index (mean / b)
    0.43223
  • Jensen alpha (a)
    0.12526
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02519
  • Expected Shortfall on VaR
    0.03171
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00844
  • Expected Shortfall on VaR
    0.01897
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1097.00000
  • Minimum
    0.79828
  • Quartile 1
    0.99849
  • Median
    1.00000
  • Quartile 3
    1.00598
  • Maximum
    1.07478
  • Mean of quarter 1
    0.98618
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00237
  • Mean of quarter 4
    1.01655
  • Inter Quartile Range
    0.00750
  • Number outliers low
    95.00000
  • Percentage of outliers low
    0.08660
  • Mean of outliers low
    0.97113
  • Number of outliers high
    95.00000
  • Percentage of outliers high
    0.08660
  • Mean of outliers high
    1.02725
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58559
  • VaR(95%) (moments method)
    0.00851
  • Expected Shortfall (moments method)
    0.02473
  • Extreme Value Index (regression method)
    0.22041
  • VaR(95%) (regression method)
    0.01210
  • Expected Shortfall (regression method)
    0.02211
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    54.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00209
  • Median
    0.01027
  • Quartile 3
    0.03925
  • Maximum
    0.40286
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00515
  • Mean of quarter 3
    0.02105
  • Mean of quarter 4
    0.10156
  • Inter Quartile Range
    0.03716
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07407
  • Mean of outliers high
    0.18999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.26662
  • VaR(95%) (moments method)
    0.10249
  • Expected Shortfall (moments method)
    0.16703
  • Extreme Value Index (regression method)
    0.19116
  • VaR(95%) (regression method)
    0.10499
  • Expected Shortfall (regression method)
    0.16092
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55068
  • Compounded annual return (geometric extrapolation)
    0.33051
  • Calmar ratio (compounded annual return / max draw down)
    0.82042
  • Compounded annual return / average of 25% largest draw downs
    3.25421
  • Compounded annual return / Expected Shortfall lognormal
    10.42350
  • 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
    0.70785
  • SD
    0.30785
  • Sharpe ratio (Glass type estimate)
    2.29930
  • Sharpe ratio (Hedges UMVUE)
    2.28601
  • df
    130.00000
  • t
    1.62585
  • p
    0.42942
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.08080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49969
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07171
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56010
  • Upside Potential Ratio
    10.49940
  • Upside part of mean
    2.08758
  • Downside part of mean
    -1.37973
  • Upside SD
    0.23755
  • Downside SD
    0.19883
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.86297
  • Mean of criterion
    0.70785
  • SD of predictor
    0.37714
  • SD of criterion
    0.30785
  • Covariance
    0.06993
  • r
    0.60229
  • b (slope, estimate of beta)
    0.49165
  • a (intercept, estimate of alpha)
    0.28357
  • Mean Square Error
    0.06086
  • DF error
    129.00000
  • t(b)
    8.56939
  • p(b)
    0.14121
  • t(a)
    0.80471
  • p(a)
    0.45504
  • Lowerbound of 95% confidence interval for beta
    0.37813
  • Upperbound of 95% confidence interval for beta
    0.60516
  • Lowerbound of 95% confidence interval for alpha
    -0.41363
  • Upperbound of 95% confidence interval for alpha
    0.98077
  • Treynor index (mean / b)
    1.43975
  • Jensen alpha (a)
    0.28357
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65999
  • SD
    0.30734
  • Sharpe ratio (Glass type estimate)
    2.14741
  • Sharpe ratio (Hedges UMVUE)
    2.13499
  • df
    130.00000
  • t
    1.51845
  • p
    0.43400
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.92748
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.91892
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.25033
  • Upside Potential Ratio
    10.14460
  • Upside part of mean
    2.05991
  • Downside part of mean
    -1.39991
  • Upside SD
    0.23275
  • Downside SD
    0.20305
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79111
  • Mean of criterion
    0.65999
  • SD of predictor
    0.37693
  • SD of criterion
    0.30734
  • Covariance
    0.06933
  • r
    0.59842
  • b (slope, estimate of beta)
    0.48794
  • a (intercept, estimate of alpha)
    0.27398
  • Mean Square Error
    0.06110
  • DF error
    129.00000
  • t(b)
    8.48341
  • p(b)
    0.14318
  • t(a)
    0.77717
  • p(a)
    0.45657
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.37414
  • Upperbound of 95% confidence interval for beta
    0.60174
  • Lowerbound of 95% confidence interval for alpha
    -0.42351
  • Upperbound of 95% confidence interval for alpha
    0.97147
  • Treynor index (mean / b)
    1.35260
  • Jensen alpha (a)
    0.27398
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02830
  • Expected Shortfall on VaR
    0.03596
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01080
  • Expected Shortfall on VaR
    0.02289
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93004
  • Quartile 1
    0.99479
  • Median
    1.00227
  • Quartile 3
    1.01264
  • Maximum
    1.07478
  • Mean of quarter 1
    0.98028
  • Mean of quarter 2
    0.99939
  • Mean of quarter 3
    1.00741
  • Mean of quarter 4
    1.02430
  • Inter Quartile Range
    0.01785
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95515
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.05407
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04122
  • VaR(95%) (moments method)
    0.01506
  • Expected Shortfall (moments method)
    0.02071
  • Extreme Value Index (regression method)
    0.36366
  • VaR(95%) (regression method)
    0.01699
  • Expected Shortfall (regression method)
    0.03192
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00718
  • Median
    0.01253
  • Quartile 3
    0.02750
  • Maximum
    0.12606
  • Mean of quarter 1
    0.00297
  • Mean of quarter 2
    0.00899
  • Mean of quarter 3
    0.01947
  • Mean of quarter 4
    0.07184
  • Inter Quartile Range
    0.02032
  • 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
    0.11169
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.05274
  • VaR(95%) (moments method)
    0.07291
  • Expected Shortfall (moments method)
    0.07934
  • Extreme Value Index (regression method)
    -0.35108
  • VaR(95%) (regression method)
    0.10557
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.13194
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -354671000
  • Max Equity Drawdown (num days)
    787
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.82102
  • Compounded annual return (geometric extrapolation)
    0.98953
  • Calmar ratio (compounded annual return / max draw down)
    7.84956
  • Compounded annual return / average of 25% largest draw downs
    13.77450
  • Compounded annual return / Expected Shortfall lognormal
    27.51760

Strategy Description

*** General description ***

The excess volatility implied in options premium has been and continues to be a good fount of added value. As managing an options portfolio is always a challenge, our team closely manage the risk and continuously apply strict risk management rules (defined before the trade entry) regarding stop losses levels and global exposures.

In addition to this strategy on options market, we have discovered some cyclical and structural negative bias in the pricing of various financial instruments. Our investment team has built a long/short sub-portfolio with these instruments which is expected to generate a good risk/reward profiled PnL.

*** Asset allocation purpose ***

From an investor's point of view, XessIVol structure seeks to offer a complement to the traditional equity - fixed income portfolio strategy, in an attempt to contribute to the overall portfolio performance while reducing its volatility.

The strategy is structured trough the Collective2 platform as an individual managed account, and is not appropriate for all investors. With the assistance of its financial advisor, the client will have to define its investment objectives and confirm its interest for this vehicle.

*** Disclaimer ***

We want to inform the investor that our signal generating system can maintain the strategy off the market for long periods (from few days to few months) in certain market's conditions.

The investment management team will not be blamed for not investing during these periods, as by the nature of volatility markets, most interesting entry levels usually emerge after inactivity periods.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-01-14
Suggested Minimum Capital
$25,000
# Trades
29
# Profitable
26
% Profitable
89.7%
Correlation S&P500
0.532
Sharpe Ratio
0.54
Sortino Ratio
0.69
Beta
0.56
Alpha
0.01

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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