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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/15/2016
Most recent certification approved 4/15/16 12:59 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 3,728
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 2,470
Percent signals followed since 04/15/2016 66.3%
This information was last updated 7/16/18 13:54 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/15/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

VolatilityTrader
(100722273)

Created by: VixTrader VixTrader
Started: 03/2016
Options
Last trade: 3 days ago
Trading style: Options Premium Collecting Volatility Long / Short

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 $149.00 per month.

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
166.4%
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.

53.0%
Max Drawdown
1345
Num Trades
92.6%
Win Trades
2.2 : 1
Profit Factor
72.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              (4.2%)+19.5%+40.3%+55.1%+45.1%+11.9%+15.2%(7.6%)+24.6%+4.5%+460.0%
2017(28.1%)(27.8%)+23.0%+11.4%+7.1%+10.7%(11.3%)+27.6%+11.3%+5.2%(3.1%)+10.4%+19.5%
2018+6.2%+27.1%(2.2%)+7.2%+8.2%(6.4%)+6.4%                              +52.4%

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 72 hours.

Trading Record

This strategy has placed 2,414 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/16/18 9:36 RH RH SHORT 1,000 146.00 7/9 15:38 137.01 1.27%
Trade id #118466198
Max drawdown($13,010)
Time6/18/18 8:32
Quant open-1,000
Worst price159.01
Drawdown as % of equity-1.27%
$8,987
Includes Typical Broker Commissions trade costs of $5.00
6/26/18 15:59 W1806S97.5 W Jul6'18 97.5 put SHORT 10 0.42 7/7 9:35 0.00 n/a $409
Includes Typical Broker Commissions trade costs of $7.00
6/29/18 14:56 RH1806S130 RH Jul6'18 130 put SHORT 10 0.40 7/7 9:35 0.00 0.02%
Trade id #118718119
Max drawdown($150)
Time7/2/18 9:41
Quant open-10
Worst price0.55
Drawdown as % of equity-0.02%
$393
Includes Typical Broker Commissions trade costs of $7.00
6/26/18 12:46 NFLX1806S362.5 NFLX Jul6'18 362.5 put SHORT 12 1.49 7/7 9:35 0.00 0.2%
Trade id #118657014
Max drawdown($1,933)
Time6/28/18 9:52
Quant open-12
Worst price3.10
Drawdown as % of equity-0.20%
$1,779
Includes Typical Broker Commissions trade costs of $8.40
7/2/18 12:16 UPS1806S104 UPS Jul6'18 104 put SHORT 10 0.45 7/7 9:35 0.00 n/a $443
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 11:09 BIDU1806S232.5 BIDU Jul6'18 232.5 put SHORT 10 0.50 7/7 9:35 0.00 0.01%
Trade id #118744642
Max drawdown($101)
Time7/2/18 11:54
Quant open-10
Worst price0.60
Drawdown as % of equity-0.01%
$492
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 11:14 TSLA1806G400 TSLA Jul6'18 400 call SHORT 10 0.39 7/7 9:35 0.00 0%
Trade id #118744709
Max drawdown($7)
Time7/2/18 11:16
Quant open-10
Worst price0.40
Drawdown as % of equity-0.00%
$386
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 11:10 BABA1806S175 BABA Jul6'18 175 put SHORT 10 0.39 7/7 9:35 0.00 0%
Trade id #118744660
Max drawdown($39)
Time7/2/18 12:12
Quant open-10
Worst price0.43
Drawdown as % of equity-0.00%
$383
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 15:24 YY1806G104 YY Jul6'18 104 call SHORT 10 0.37 7/7 9:35 0.00 0.02%
Trade id #118749686
Max drawdown($231)
Time7/3/18 9:32
Quant open-10
Worst price0.60
Drawdown as % of equity-0.02%
$362
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 14:07 ALGN1806G355 ALGN Jul6'18 355 call SHORT 10 0.42 7/7 9:35 0.00 0.02%
Trade id #118748259
Max drawdown($181)
Time7/3/18 10:39
Quant open-10
Worst price0.60
Drawdown as % of equity-0.02%
$411
Includes Typical Broker Commissions trade costs of $7.00
6/26/18 13:17 GRUB1806G112 GRUB Jul6'18 112 call SHORT 10 0.40 7/7 9:35 0.00 0%
Trade id #118657844
Max drawdown$0
Time6/26/18 13:26
Quant open-10
Worst price0.40
Drawdown as % of equity0.00%
$393
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 12:01 WYNN1806S147 WYNN Jul6'18 147 put SHORT 10 0.45 7/7 9:35 0.00 0.01%
Trade id #118746150
Max drawdown($119)
Time7/2/18 14:54
Quant open-10
Worst price0.57
Drawdown as % of equity-0.01%
$444
Includes Typical Broker Commissions trade costs of $7.00
7/3/18 12:11 TSLA1806S282.5 TSLA Jul6'18 282.5 put SHORT 10 0.40 7/7 9:35 0.00 0.13%
Trade id #118762835
Max drawdown($1,297)
Time7/5/18 10:36
Quant open-10
Worst price1.70
Drawdown as % of equity-0.13%
$395
Includes Typical Broker Commissions trade costs of $7.00
6/26/18 13:02 BA1806G355 BA Jul6'18 355 call SHORT 10 0.38 7/7 9:35 0.00 0.07%
Trade id #118657564
Max drawdown($646)
Time6/27/18 10:45
Quant open-10
Worst price1.03
Drawdown as % of equity-0.07%
$377
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 12:03 NVDA1806S225 NVDA Jul6'18 225 put SHORT 10 0.39 7/7 9:35 0.00 0%
Trade id #118746207
Max drawdown($26)
Time7/3/18 12:59
Quant open-10
Worst price0.42
Drawdown as % of equity-0.00%
$386
Includes Typical Broker Commissions trade costs of $7.00
6/26/18 13:07 WB1806G101 WB Jul6'18 101 call SHORT 10 0.39 7/7 9:35 0.00 0%
Trade id #118657683
Max drawdown($10)
Time6/26/18 15:05
Quant open-10
Worst price0.40
Drawdown as % of equity-0.00%
$383
Includes Typical Broker Commissions trade costs of $7.00
6/26/18 12:57 ALGN1806S325 ALGN Jul6'18 325 put SHORT 10 0.92 7/7 9:35 0.00 0.3%
Trade id #118657230
Max drawdown($2,915)
Time6/28/18 9:37
Quant open-10
Worst price3.84
Drawdown as % of equity-0.30%
$917
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 13:14 PXD1806S177.5 PXD Jul6'18 177.5 put SHORT 10 0.36 7/7 9:35 0.00 0%
Trade id #118747438
Max drawdown($40)
Time7/2/18 14:07
Quant open-10
Worst price0.40
Drawdown as % of equity-0.00%
$353
Includes Typical Broker Commissions trade costs of $7.00
7/2/18 11:50 DE1806S135 DE Jul6'18 135 put SHORT 10 0.44 7/7 9:35 0.00 0%
Trade id #118745853
Max drawdown($9)
Time7/2/18 11:52
Quant open-10
Worst price0.45
Drawdown as % of equity-0.00%
$433
Includes Typical Broker Commissions trade costs of $7.00
6/28/18 15:51 W1806S105 W Jul6'18 105 put SHORT 10 0.36 7/7 9:35 0.00 n/a $356
Includes Typical Broker Commissions trade costs of $7.00
6/25/18 12:09 WDAY1829R113 WDAY Jun29'18 113 put SHORT 10 0.40 6/30 9:35 0.00 n/a $395
Includes Typical Broker Commissions trade costs of $7.00
6/25/18 9:56 YY1829R103 YY Jun29'18 103 put SHORT 10 0.41 6/30 9:35 0.00 0.29%
Trade id #118623073
Max drawdown($2,794)
Time6/28/18 10:17
Quant open-10
Worst price3.20
Drawdown as % of equity-0.29%
$398
Includes Typical Broker Commissions trade costs of $7.00
6/21/18 13:54 PXD1829R165 PXD Jun29'18 165 put SHORT 10 0.40 6/30 9:35 0.00 0.02%
Trade id #118571525
Max drawdown($150)
Time6/21/18 15:32
Quant open-10
Worst price0.55
Drawdown as % of equity-0.02%
$393
Includes Typical Broker Commissions trade costs of $7.00
6/25/18 12:13 WYNN1829R157.5 WYNN Jun29'18 157.5 put SHORT 10 0.40 6/30 9:35 0.00 n/a $389
Includes Typical Broker Commissions trade costs of $7.00
6/22/18 13:39 ALGN1829F385 ALGN Jun29'18 385 call SHORT 10 0.38 6/30 9:35 0.00 n/a $373
Includes Typical Broker Commissions trade costs of $7.00
6/21/18 14:04 REGN1829R300 REGN Jun29'18 300 put SHORT 10 0.42 6/30 9:35 0.00 0.01%
Trade id #118572114
Max drawdown($75)
Time6/22/18 15:48
Quant open-10
Worst price0.50
Drawdown as % of equity-0.01%
$418
Includes Typical Broker Commissions trade costs of $7.00
6/25/18 9:53 BIDU1829R232.5 BIDU Jun29'18 232.5 put SHORT 10 0.44 6/30 9:35 0.00 0.08%
Trade id #118622835
Max drawdown($758)
Time6/28/18 9:50
Quant open-10
Worst price1.20
Drawdown as % of equity-0.08%
$435
Includes Typical Broker Commissions trade costs of $7.00
6/25/18 11:05 NOW1829R160 NOW Jun29'18 160 put SHORT 10 0.42 6/30 9:35 0.00 0.01%
Trade id #118627114
Max drawdown($126)
Time6/25/18 11:37
Quant open-10
Worst price0.55
Drawdown as % of equity-0.01%
$417
Includes Typical Broker Commissions trade costs of $7.00
6/25/18 10:26 TSLA1829F382.5 TSLA Jun29'18 382.5 call SHORT 10 0.39 6/30 9:35 0.00 0.02%
Trade id #118625252
Max drawdown($196)
Time6/27/18 9:48
Quant open-10
Worst price0.59
Drawdown as % of equity-0.02%
$387
Includes Typical Broker Commissions trade costs of $7.00
6/21/18 14:58 RH1829R135 RH Jun29'18 135 put SHORT 10 0.43 6/30 9:35 0.00 0.16%
Trade id #118573606
Max drawdown($1,524)
Time6/25/18 15:09
Quant open-10
Worst price1.95
Drawdown as % of equity-0.16%
$419
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    3/7/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    861.14
  • Age
    29 months ago
  • What it trades
    Stocks, Options
  • # Trades
    1345
  • # Profitable
    1245
  • % Profitable
    92.60%
  • Avg trade duration
    8.1 days
  • Max peak-to-valley drawdown
    52.97%
  • drawdown period
    Dec 03, 2016 - Feb 24, 2017
  • Annual Return (Compounded)
    166.4%
  • Avg win
    $1,403
  • Avg loss
    $8,040
  • Model Account Values (Raw)
  • Cash
    $994,732
  • Margin Used
    $1,637,060
  • Buying Power
    ($838,125)
  • Ratios
  • W:L ratio
    2.18:1
  • Sharpe Ratio
    2.314
  • Sortino Ratio
    3.682
  • Calmar Ratio
    3.757
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.39700
  • Return Statistics
  • Ann Return (w trading costs)
    166.4%
  • Ann Return (Compnd, No Fees)
    170.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.50%
  • Chance of 20% account loss
    28.50%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    3.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    895
  • Popularity (Last 6 weeks)
    987
  • C2 Score
    33.5
  • Trades-Own-System Certification
  • Trades Own System?
    183548
  • TOS percent
    66%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $8,041
  • Avg Win
    $1,403
  • # Winners
    1245
  • # Losers
    100
  • % Winners
    92.6%
  • Frequency
  • Avg Position Time (mins)
    11698.80
  • Avg Position Time (hrs)
    194.98
  • Avg Trade Length
    8.1 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.21681
  • SD
    0.62662
  • Sharpe ratio (Glass type estimate)
    1.94188
  • Sharpe ratio (Hedges UMVUE)
    1.88523
  • df
    26.00000
  • t
    2.91282
  • p
    0.00363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33407
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48171
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28875
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.19431
  • Upside Potential Ratio
    7.47847
  • Upside part of mean
    1.46907
  • Downside part of mean
    -0.25226
  • Upside SD
    0.68037
  • Downside SD
    0.19644
  • N nonnegative terms
    21.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.14575
  • Mean of criterion
    1.21681
  • SD of predictor
    0.06024
  • SD of criterion
    0.62662
  • Covariance
    0.00414
  • r
    0.10962
  • b (slope, estimate of beta)
    1.14029
  • a (intercept, estimate of alpha)
    1.05061
  • Mean Square Error
    0.40344
  • DF error
    25.00000
  • t(b)
    0.55140
  • p(b)
    0.29313
  • t(a)
    2.02133
  • p(a)
    0.02704
  • Lowerbound of 95% confidence interval for beta
    -3.11878
  • Upperbound of 95% confidence interval for beta
    5.39935
  • Lowerbound of 95% confidence interval for alpha
    -0.01986
  • Upperbound of 95% confidence interval for alpha
    2.12109
  • Treynor index (mean / b)
    1.06711
  • Jensen alpha (a)
    1.05061
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01149
  • SD
    0.54779
  • Sharpe ratio (Glass type estimate)
    1.84648
  • Sharpe ratio (Hedges UMVUE)
    1.79261
  • df
    26.00000
  • t
    2.76972
  • p
    0.00511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22985
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39809
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18714
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.64253
  • Upside Potential Ratio
    5.90197
  • Upside part of mean
    1.28589
  • Downside part of mean
    -0.27440
  • Upside SD
    0.57162
  • Downside SD
    0.21788
  • N nonnegative terms
    21.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.14317
  • Mean of criterion
    1.01149
  • SD of predictor
    0.05940
  • SD of criterion
    0.54779
  • Covariance
    0.00293
  • r
    0.08999
  • b (slope, estimate of beta)
    0.82993
  • a (intercept, estimate of alpha)
    0.89267
  • Mean Square Error
    0.30955
  • DF error
    25.00000
  • t(b)
    0.45181
  • p(b)
    0.32765
  • t(a)
    1.96324
  • p(a)
    0.03042
  • Lowerbound of 95% confidence interval for beta
    -2.95326
  • Upperbound of 95% confidence interval for beta
    4.61313
  • Lowerbound of 95% confidence interval for alpha
    -0.04379
  • Upperbound of 95% confidence interval for alpha
    1.82912
  • Treynor index (mean / b)
    1.21876
  • Jensen alpha (a)
    0.89267
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16123
  • Expected Shortfall on VaR
    0.21354
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02528
  • Expected Shortfall on VaR
    0.06463
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.77167
  • Quartile 1
    1.00678
  • Median
    1.07098
  • Quartile 3
    1.16179
  • Maximum
    1.59360
  • Mean of quarter 1
    0.91902
  • Mean of quarter 2
    1.03421
  • Mean of quarter 3
    1.11613
  • Mean of quarter 4
    1.33835
  • Inter Quartile Range
    0.15501
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03704
  • Mean of outliers low
    0.77167
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07407
  • Mean of outliers high
    1.53395
  • 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)
    -0.00497
  • VaR(95%) (regression method)
    0.14550
  • Expected Shortfall (regression method)
    0.23555
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.06203
  • Quartile 1
    0.07154
  • Median
    0.08105
  • Quartile 3
    0.22766
  • Maximum
    0.37428
  • Mean of quarter 1
    0.06203
  • Mean of quarter 2
    0.08105
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.37428
  • Inter Quartile Range
    0.15613
  • 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)
    3.88275
  • Compounded annual return (geometric extrapolation)
    1.74969
  • Calmar ratio (compounded annual return / max draw down)
    4.67484
  • Compounded annual return / average of 25% largest draw downs
    4.67484
  • Compounded annual return / Expected Shortfall lognormal
    8.19365
  • 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
    1.12887
  • SD
    0.48722
  • Sharpe ratio (Glass type estimate)
    2.31695
  • Sharpe ratio (Hedges UMVUE)
    2.31409
  • df
    608.00000
  • t
    3.53243
  • p
    0.00022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.02388
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60814
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60620
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.68224
  • Upside Potential Ratio
    10.38510
  • Upside part of mean
    3.18377
  • Downside part of mean
    -2.05490
  • Upside SD
    0.38454
  • Downside SD
    0.30657
  • N nonnegative terms
    367.00000
  • N negative terms
    242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    609.00000
  • Mean of predictor
    0.15059
  • Mean of criterion
    1.12887
  • SD of predictor
    0.10954
  • SD of criterion
    0.48722
  • Covariance
    0.02110
  • r
    0.39538
  • b (slope, estimate of beta)
    1.75862
  • a (intercept, estimate of alpha)
    0.86400
  • Mean Square Error
    0.20061
  • DF error
    607.00000
  • t(b)
    10.60530
  • p(b)
    -0.00000
  • t(a)
    2.93059
  • p(a)
    0.00176
  • Lowerbound of 95% confidence interval for beta
    1.43296
  • Upperbound of 95% confidence interval for beta
    2.08428
  • Lowerbound of 95% confidence interval for alpha
    0.28502
  • Upperbound of 95% confidence interval for alpha
    1.44306
  • Treynor index (mean / b)
    0.64191
  • Jensen alpha (a)
    0.86404
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.00887
  • SD
    0.48560
  • Sharpe ratio (Glass type estimate)
    2.07757
  • Sharpe ratio (Hedges UMVUE)
    2.07501
  • df
    608.00000
  • t
    3.16748
  • p
    0.00081
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36584
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.17161
  • Upside Potential Ratio
    9.78679
  • Upside part of mean
    3.11313
  • Downside part of mean
    -2.10426
  • Upside SD
    0.37165
  • Downside SD
    0.31810
  • N nonnegative terms
    367.00000
  • N negative terms
    242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    609.00000
  • Mean of predictor
    0.14454
  • Mean of criterion
    1.00887
  • SD of predictor
    0.10988
  • SD of criterion
    0.48560
  • Covariance
    0.02098
  • r
    0.39328
  • b (slope, estimate of beta)
    1.73805
  • a (intercept, estimate of alpha)
    0.75766
  • Mean Square Error
    0.19967
  • DF error
    607.00000
  • t(b)
    10.53860
  • p(b)
    -0.00000
  • t(a)
    2.57662
  • p(a)
    0.00511
  • Lowerbound of 95% confidence interval for beta
    1.41417
  • Upperbound of 95% confidence interval for beta
    2.06194
  • Lowerbound of 95% confidence interval for alpha
    0.18018
  • Upperbound of 95% confidence interval for alpha
    1.33515
  • Treynor index (mean / b)
    0.58046
  • Jensen alpha (a)
    0.75766
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04448
  • Expected Shortfall on VaR
    0.05632
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01522
  • Expected Shortfall on VaR
    0.03306
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    609.00000
  • Minimum
    0.85255
  • Quartile 1
    0.99311
  • Median
    1.00356
  • Quartile 3
    1.01556
  • Maximum
    1.12585
  • Mean of quarter 1
    0.97044
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00894
  • Mean of quarter 4
    1.03898
  • Inter Quartile Range
    0.02246
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.05090
  • Mean of outliers low
    0.93248
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.06240
  • Mean of outliers high
    1.07700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10957
  • VaR(95%) (moments method)
    0.02166
  • Expected Shortfall (moments method)
    0.03291
  • Extreme Value Index (regression method)
    0.04826
  • VaR(95%) (regression method)
    0.02896
  • Expected Shortfall (regression method)
    0.04391
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    48.00000
  • Minimum
    0.00123
  • Quartile 1
    0.00797
  • Median
    0.02448
  • Quartile 3
    0.07553
  • Maximum
    0.46377
  • Mean of quarter 1
    0.00416
  • Mean of quarter 2
    0.01214
  • Mean of quarter 3
    0.04058
  • Mean of quarter 4
    0.17034
  • Inter Quartile Range
    0.06756
  • 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
    0.04167
  • Mean of outliers high
    0.38185
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06995
  • VaR(95%) (moments method)
    0.17028
  • Expected Shortfall (moments method)
    0.23411
  • Extreme Value Index (regression method)
    0.44939
  • VaR(95%) (regression method)
    0.15727
  • Expected Shortfall (regression method)
    0.27356
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.05856
  • Compounded annual return (geometric extrapolation)
    1.74251
  • Calmar ratio (compounded annual return / max draw down)
    3.75725
  • Compounded annual return / average of 25% largest draw downs
    10.22980
  • Compounded annual return / Expected Shortfall lognormal
    30.93840
  • 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
    0.72908
  • SD
    0.47231
  • Sharpe ratio (Glass type estimate)
    1.54366
  • Sharpe ratio (Hedges UMVUE)
    1.53474
  • df
    130.00000
  • t
    1.09153
  • p
    0.45235
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23740
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31281
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41834
  • Upside Potential Ratio
    10.05080
  • Upside part of mean
    3.03011
  • Downside part of mean
    -2.30103
  • Upside SD
    0.36402
  • Downside SD
    0.30148
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02410
  • Mean of criterion
    0.72908
  • SD of predictor
    0.16441
  • SD of criterion
    0.47231
  • Covariance
    0.03496
  • r
    0.45027
  • b (slope, estimate of beta)
    1.29352
  • a (intercept, estimate of alpha)
    0.69791
  • Mean Square Error
    0.17922
  • DF error
    129.00000
  • t(b)
    5.72751
  • p(b)
    0.22335
  • t(a)
    1.16564
  • p(a)
    0.43512
  • Lowerbound of 95% confidence interval for beta
    0.84668
  • Upperbound of 95% confidence interval for beta
    1.74036
  • Lowerbound of 95% confidence interval for alpha
    -0.48670
  • Upperbound of 95% confidence interval for alpha
    1.88251
  • Treynor index (mean / b)
    0.56364
  • Jensen alpha (a)
    0.69791
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61838
  • SD
    0.46991
  • Sharpe ratio (Glass type estimate)
    1.31596
  • Sharpe ratio (Hedges UMVUE)
    1.30835
  • df
    130.00000
  • t
    0.93052
  • p
    0.45933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46801
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08471
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99212
  • Upside Potential Ratio
    9.55720
  • Upside part of mean
    2.96666
  • Downside part of mean
    -2.34828
  • Upside SD
    0.35246
  • Downside SD
    0.31041
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01060
  • Mean of criterion
    0.61838
  • SD of predictor
    0.16524
  • SD of criterion
    0.46991
  • Covariance
    0.03489
  • r
    0.44936
  • b (slope, estimate of beta)
    1.27790
  • a (intercept, estimate of alpha)
    0.60484
  • Mean Square Error
    0.17759
  • DF error
    129.00000
  • t(b)
    5.71307
  • p(b)
    0.22387
  • t(a)
    1.01487
  • p(a)
    0.44342
  • Lowerbound of 95% confidence interval for beta
    0.83534
  • Upperbound of 95% confidence interval for beta
    1.72045
  • Lowerbound of 95% confidence interval for alpha
    -0.57431
  • Upperbound of 95% confidence interval for alpha
    1.78399
  • Treynor index (mean / b)
    0.48390
  • Jensen alpha (a)
    0.60484
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04438
  • Expected Shortfall on VaR
    0.05584
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01906
  • Expected Shortfall on VaR
    0.03843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90582
  • Quartile 1
    0.98918
  • Median
    1.00165
  • Quartile 3
    1.01702
  • Maximum
    1.12165
  • Mean of quarter 1
    0.96870
  • Mean of quarter 2
    0.99660
  • Mean of quarter 3
    1.00921
  • Mean of quarter 4
    1.03682
  • Inter Quartile Range
    0.02785
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.92681
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.08375
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15088
  • VaR(95%) (moments method)
    0.02733
  • Expected Shortfall (moments method)
    0.03530
  • Extreme Value Index (regression method)
    0.16019
  • VaR(95%) (regression method)
    0.02986
  • Expected Shortfall (regression method)
    0.04578
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00754
  • Quartile 1
    0.02758
  • Median
    0.12839
  • Quartile 3
    0.13522
  • Maximum
    0.13703
  • Mean of quarter 1
    0.01028
  • Mean of quarter 2
    0.08527
  • Mean of quarter 3
    0.13445
  • Mean of quarter 4
    0.13651
  • Inter Quartile Range
    0.10763
  • 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)
    0.72464
  • Compounded annual return (geometric extrapolation)
    0.85591
  • Calmar ratio (compounded annual return / max draw down)
    6.24597
  • Compounded annual return / average of 25% largest draw downs
    6.26989
  • Compounded annual return / Expected Shortfall lognormal
    15.32670

Strategy Description

Please don't get scaling less than 10% to ensure you get atleast 1 option contact. I tend to buy/sell 10 contracts at a time. so anything less than 10% scaling will result in no trade for you. I pref Interactive Broker as your trading platform. Account must be able to short UVXY/TVIX, and also level 3 option writing(writing naked calls/puts). This strategy will try to limit max draw down to less than 25% and shoot for avg gain of 5% per month. (Goal of 5% per week of original starting balance of 100k) C2 shows a drawn down of 48%, But as you know, when you trade VIX or high IV stocks, it will give you a heart attacks!!!!

Summary Statistics

Strategy began
2016-03-07
Suggested Minimum Capital
$35,000
# Trades
1345
# Profitable
1245
% Profitable
92.6%
Net Dividends
Correlation S&P500
0.397
Sharpe Ratio
2.314

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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.