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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 2,493
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 1,835
Percent signals followed since 04/15/2016 73.6%
This information was last updated 12/16/17 17:39 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

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.

183.9%
Annual Return (Compounded)
53.0%
Max Drawdown
744
Num Trades
89.4%
Win Trades
2.0 : 1
Profit Factor
72.7%
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%)+6.3%+15.1%

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 72 hours.

Trading Record

This strategy has placed 1,783 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/17 11:47 SHPG1708X142 SHPG Dec8'17 142 put SHORT 10 0.54 12/9 9:35 0.00 0.02%
Trade id #115175754
Max drawdown($102)
Time12/4/17 11:49
Quant open-10
Worst price0.64
Drawdown as % of equity-0.02%
$527
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 12:44 W1708L76.5 W Dec8'17 76.5 call SHORT 10 0.43 12/9 9:35 0.00 0.02%
Trade id #115176665
Max drawdown($144)
Time12/6/17 10:07
Quant open-10
Worst price0.57
Drawdown as % of equity-0.02%
$416
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 12:32 YY1708L112 YY Dec8'17 112 call SHORT 10 0.38 12/9 9:35 0.00 0.26%
Trade id #115176480
Max drawdown($1,621)
Time12/8/17 9:40
Quant open-10
Worst price2.00
Drawdown as % of equity-0.26%
$368
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 11:44 COST1708L192.5 COST Dec8'17 192.5 call SHORT 10 0.35 12/9 9:35 0.00 0.17%
Trade id #115175390
Max drawdown($998)
Time12/5/17 9:37
Quant open-10
Worst price1.35
Drawdown as % of equity-0.17%
$342
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 10:41 NFLX1708L192.5 NFLX Dec8'17 192.5 call SHORT 10 0.49 12/9 9:35 0.00 0.08%
Trade id #115173555
Max drawdown($486)
Time12/5/17 10:03
Quant open-10
Worst price0.98
Drawdown as % of equity-0.08%
$483
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 12:22 TSLA1708X275 TSLA Dec8'17 275 put SHORT 10 0.40 12/9 9:35 0.00 0%
Trade id #115176283
Max drawdown($0)
Time12/4/17 12:24
Quant open-10
Worst price0.40
Drawdown as % of equity-0.00%
$389
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 11:56 WB1708L110 WB Dec8'17 110 call SHORT 10 0.42 12/9 9:35 0.00 0.07%
Trade id #115175888
Max drawdown($434)
Time12/4/17 13:23
Quant open-10
Worst price0.85
Drawdown as % of equity-0.07%
$406
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 12:26 NVDA1708X172.5 NVDA Dec8'17 172.5 put SHORT 10 0.38 12/9 9:35 0.00 0.14%
Trade id #115176360
Max drawdown($821)
Time12/5/17 9:32
Quant open-10
Worst price1.20
Drawdown as % of equity-0.14%
$368
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 12:11 ALGN1708X230 ALGN Dec8'17 230 put SHORT 10 0.53 12/9 9:35 0.00 1.39%
Trade id #115176122
Max drawdown($8,274)
Time12/5/17 9:32
Quant open-10
Worst price8.80
Drawdown as % of equity-1.39%
$515
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 12:00 RH1708X83 RH Dec8'17 83 put SHORT 15 0.52 12/9 9:35 0.00 0.05%
Trade id #115175951
Max drawdown($300)
Time12/5/17 9:58
Quant open-15
Worst price0.72
Drawdown as % of equity-0.05%
$768
Includes Typical Broker Commissions trade costs of $12.45
12/4/17 11:56 ROKU1708L47 ROKU Dec8'17 47 call SHORT 10 0.37 12/9 9:35 0.00 0.04%
Trade id #115175899
Max drawdown($215)
Time12/7/17 10:42
Quant open-10
Worst price0.59
Drawdown as % of equity-0.04%
$365
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 14:30 AAPL1708X165 AAPL Dec8'17 165 put SHORT 10 0.41 12/9 9:35 0.00 0.12%
Trade id #115178950
Max drawdown($694)
Time12/6/17 9:31
Quant open-10
Worst price1.10
Drawdown as % of equity-0.12%
$396
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 14:06 ISRG1708X365 ISRG Dec8'17 365 put SHORT 10 0.39 12/9 9:35 0.00 0.61%
Trade id #115178369
Max drawdown($3,660)
Time12/4/17 15:58
Quant open-10
Worst price4.05
Drawdown as % of equity-0.61%
$380
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 11:39 FB1708X160 FB Dec8'17 160 put SHORT 10 0.39 12/9 9:35 0.00 0.05%
Trade id #115175266
Max drawdown($286)
Time12/5/17 9:33
Quant open-10
Worst price0.68
Drawdown as % of equity-0.05%
$384
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 14:30 NTES1708X300 NTES Dec8'17 300 put SHORT 2 0.25 12/9 9:35 0.00 0.01%
Trade id #115178970
Max drawdown($80)
Time12/5/17 14:23
Quant open-2
Worst price0.65
Drawdown as % of equity-0.01%
$44
Includes Typical Broker Commissions trade costs of $5.95
12/4/17 10:40 OSTK1708L55 OSTK Dec8'17 55 call SHORT 10 0.42 12/9 9:35 0.00 0.04%
Trade id #115173539
Max drawdown($230)
Time12/4/17 15:46
Quant open-10
Worst price0.65
Drawdown as % of equity-0.04%
$410
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 11:22 BIIB1708X302.5 BIIB Dec8'17 302.5 put SHORT 10 0.37 12/9 9:35 0.00 0.04%
Trade id #115174710
Max drawdown($226)
Time12/6/17 12:37
Quant open-10
Worst price0.60
Drawdown as % of equity-0.04%
$364
Includes Typical Broker Commissions trade costs of $9.95
12/4/17 11:20 GS1708L262.5 GS Dec8'17 262.5 call SHORT 10 0.51 12/5 15:50 0.07 0.02%
Trade id #115174680
Max drawdown($104)
Time12/4/17 12:06
Quant open-10
Worst price0.61
Drawdown as % of equity-0.02%
$412
Includes Typical Broker Commissions trade costs of $19.90
12/4/17 13:06 BA1708L287.5 BA Dec8'17 287.5 call SHORT 10 0.34 12/5 14:29 0.05 0.02%
Trade id #115177158
Max drawdown($120)
Time12/4/17 15:02
Quant open-10
Worst price0.46
Drawdown as % of equity-0.02%
$268
Includes Typical Broker Commissions trade costs of $19.90
11/27/17 11:28 WB1701X107 WB Dec1'17 107 put SHORT 10 0.42 12/2 9:35 0.00 0.27%
Trade id #115061120
Max drawdown($1,690)
Time12/1/17 15:55
Quant open-10
Worst price2.11
Drawdown as % of equity-0.27%
$409
Includes Typical Broker Commissions trade costs of $9.95
11/28/17 10:43 NFLX1701X192.5 NFLX Dec1'17 192.5 put SHORT 10 0.39 12/2 9:35 0.00 1.28%
Trade id #115078362
Max drawdown($7,961)
Time11/29/17 12:08
Quant open-10
Worst price8.35
Drawdown as % of equity-1.28%
$378
Includes Typical Broker Commissions trade costs of $9.95
11/27/17 11:25 BIIB1701X295 BIIB Dec1'17 295 put SHORT 10 0.38 12/2 9:35 0.00 0.2%
Trade id #115061040
Max drawdown($1,273)
Time11/30/17 9:33
Quant open-10
Worst price1.65
Drawdown as % of equity-0.20%
$367
Includes Typical Broker Commissions trade costs of $9.95
11/27/17 11:21 TSLA1701X295 TSLA Dec1'17 295 put SHORT 10 0.38 12/2 9:35 0.00 0.33%
Trade id #115060862
Max drawdown($2,028)
Time11/29/17 12:28
Quant open-10
Worst price2.41
Drawdown as % of equity-0.33%
$372
Includes Typical Broker Commissions trade costs of $9.95
11/27/17 11:06 SVXY1701X106 SVXY Dec1'17 106 put SHORT 10 0.39 12/2 9:35 0.11 0.28%
Trade id #115060396
Max drawdown($1,806)
Time12/1/17 11:25
Quant open-5
Worst price4.00
Drawdown as % of equity-0.28%
$261
Includes Typical Broker Commissions trade costs of $17.40
11/27/17 13:54 W1701X62.5 W Dec1'17 62.5 put SHORT 10 0.45 12/2 9:35 0.00 0%
Trade id #115064474
Max drawdown($13)
Time11/28/17 10:01
Quant open-10
Worst price0.46
Drawdown as % of equity-0.00%
$436
Includes Typical Broker Commissions trade costs of $9.95
11/27/17 11:38 NTES1701X317.5 NTES Dec1'17 317.5 put SHORT 10 0.38 12/2 9:35 0.00 0.65%
Trade id #115061545
Max drawdown($4,233)
Time11/29/17 10:24
Quant open-10
Worst price4.61
Drawdown as % of equity-0.65%
$367
Includes Typical Broker Commissions trade costs of $9.95
11/27/17 13:38 OSTK1701X53 OSTK Dec1'17 53 put SHORT 10 0.37 12/2 9:35 0.00 1.15%
Trade id #115064174
Max drawdown($7,237)
Time11/30/17 13:13
Quant open-10
Worst price7.61
Drawdown as % of equity-1.15%
$362
Includes Typical Broker Commissions trade costs of $9.95
11/27/17 11:40 YY1701X110 YY Dec1'17 110 put SHORT 10 0.40 12/2 9:35 0.00 1.55%
Trade id #115061601
Max drawdown($9,703)
Time12/1/17 10:02
Quant open-10
Worst price10.10
Drawdown as % of equity-1.55%
$386
Includes Typical Broker Commissions trade costs of $9.95
11/27/17 11:19 SHPG1701X141 SHPG Dec1'17 141 put SHORT 10 0.40 12/2 9:35 0.00 0%
Trade id #115060748
Max drawdown$0
Time11/27/17 11:21
Quant open-10
Worst price0.40
Drawdown as % of equity0.00%
$390
Includes Typical Broker Commissions trade costs of $9.95
11/27/17 11:21 SHOP1701L122 SHOP Dec1'17 122 call SHORT 10 0.38 12/2 9:35 0.00 n/a $369
Includes Typical Broker Commissions trade costs of $9.95

Statistics

  • Strategy began
    3/7/2016
  • Starting Unit Size
    $100,000
  • Strategy Age (days)
    649.34
  • Age
    22 months ago
  • What it trades
    Stocks, Options
  • # Trades
    744
  • # Profitable
    665
  • % Profitable
    89.40%
  • Avg trade duration
    7.2 days
  • Max peak-to-valley drawdown
    52.97%
  • drawdown period
    Dec 03, 2016 - Feb 24, 2017
  • Annual Return (Compounded)
    183.9%
  • Avg win
    $1,728
  • Avg loss
    $7,334
  • Model Account Values (Raw)
  • Cash
    $491,688
  • Margin Used
    $278,694
  • Buying Power
    $167,463
  • Ratios
  • W:L ratio
    1.98:1
  • Sharpe Ratio
    2.343
  • Sortino Ratio
    3.729
  • Calmar Ratio
    4.159
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.39700
  • Return Statistics
  • Ann Return (w trading costs)
    183.9%
  • Ann Return (Compnd, No Fees)
    190.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.50%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    5.00%
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    871
  • Popularity (Last 6 weeks)
    979
  • C2 Score
    24.4
  • Trades-Own-System Certification
  • Trades Own System?
    183548
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $7,334
  • Avg Win
    $1,728
  • # Winners
    665
  • # Losers
    79
  • % Winners
    89.4%
  • Frequency
  • Avg Position Time (mins)
    10386.80
  • Avg Position Time (hrs)
    173.11
  • Avg Trade Length
    7.2 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
    1.28803
  • SD
    0.69198
  • Sharpe ratio (Glass type estimate)
    1.86138
  • Sharpe ratio (Hedges UMVUE)
    1.79054
  • df
    20.00000
  • t
    2.46237
  • p
    0.25884
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25265
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37263
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.93038
  • Upside Potential Ratio
    7.24529
  • Upside part of mean
    1.57362
  • Downside part of mean
    -0.28559
  • Upside SD
    0.73967
  • Downside SD
    0.21719
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.13775
  • Mean of criterion
    1.28803
  • SD of predictor
    0.05678
  • SD of criterion
    0.69198
  • Covariance
    0.00447
  • r
    0.11380
  • b (slope, estimate of beta)
    1.38701
  • a (intercept, estimate of alpha)
    1.09696
  • Mean Square Error
    0.49750
  • DF error
    19.00000
  • t(b)
    0.49930
  • p(b)
    0.42771
  • t(a)
    1.67145
  • p(a)
    0.27703
  • Lowerbound of 95% confidence interval for beta
    -4.42719
  • Upperbound of 95% confidence interval for beta
    7.20121
  • Lowerbound of 95% confidence interval for alpha
    -0.27668
  • Upperbound of 95% confidence interval for alpha
    2.47060
  • Treynor index (mean / b)
    0.92864
  • Jensen alpha (a)
    1.09696
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.04456
  • SD
    0.60268
  • Sharpe ratio (Glass type estimate)
    1.73320
  • Sharpe ratio (Hedges UMVUE)
    1.66724
  • df
    20.00000
  • t
    2.29281
  • p
    0.27189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28889
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09815
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23634
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.32304
  • Upside Potential Ratio
    5.61454
  • Upside part of mean
    1.35662
  • Downside part of mean
    -0.31206
  • Upside SD
    0.61520
  • Downside SD
    0.24163
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.13516
  • Mean of criterion
    1.04456
  • SD of predictor
    0.05595
  • SD of criterion
    0.60268
  • Covariance
    0.00337
  • r
    0.09979
  • b (slope, estimate of beta)
    1.07483
  • a (intercept, estimate of alpha)
    0.89928
  • Mean Square Error
    0.37853
  • DF error
    19.00000
  • t(b)
    0.43715
  • p(b)
    0.43658
  • t(a)
    1.57324
  • p(a)
    0.28810
  • Lowerbound of 95% confidence interval for beta
    -4.07129
  • Upperbound of 95% confidence interval for beta
    6.22095
  • Lowerbound of 95% confidence interval for alpha
    -0.29711
  • Upperbound of 95% confidence interval for alpha
    2.09568
  • Treynor index (mean / b)
    0.97184
  • Jensen alpha (a)
    0.89928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18055
  • Expected Shortfall on VaR
    0.23646
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03558
  • Expected Shortfall on VaR
    0.08471
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.77167
  • Quartile 1
    1.00073
  • Median
    1.07098
  • Quartile 3
    1.17029
  • Maximum
    1.59360
  • Mean of quarter 1
    0.91903
  • Mean of quarter 2
    1.03519
  • Mean of quarter 3
    1.11713
  • Mean of quarter 4
    1.40543
  • Inter Quartile Range
    0.16956
  • 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
    0.09524
  • 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)
    0.19173
  • VaR(95%) (regression method)
    0.15477
  • Expected Shortfall (regression method)
    0.28762
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06203
  • Quartile 1
    0.14009
  • Median
    0.21815
  • Quartile 3
    0.29622
  • Maximum
    0.37428
  • Mean of quarter 1
    0.06203
  • Mean of quarter 2
    0.00000
  • 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)
    3.16153
  • Compounded annual return (geometric extrapolation)
    1.92258
  • Calmar ratio (compounded annual return / max draw down)
    5.13676
  • Compounded annual return / average of 25% largest draw downs
    5.13676
  • Compounded annual return / Expected Shortfall lognormal
    8.13057
  • 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
    1.17306
  • SD
    0.49976
  • Sharpe ratio (Glass type estimate)
    2.34724
  • Sharpe ratio (Hedges UMVUE)
    2.34340
  • df
    459.00000
  • t
    3.11018
  • p
    0.00099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83294
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85648
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83032
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72941
  • Upside Potential Ratio
    10.30870
  • Upside part of mean
    3.24252
  • Downside part of mean
    -2.06946
  • Upside SD
    0.39438
  • Downside SD
    0.31454
  • N nonnegative terms
    279.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    460.00000
  • Mean of predictor
    0.14147
  • Mean of criterion
    1.17306
  • SD of predictor
    0.08968
  • SD of criterion
    0.49976
  • Covariance
    0.01765
  • r
    0.39385
  • b (slope, estimate of beta)
    2.19489
  • a (intercept, estimate of alpha)
    0.86300
  • Mean Square Error
    0.21148
  • DF error
    458.00000
  • t(b)
    9.16994
  • p(b)
    0.00000
  • t(a)
    2.47358
  • p(a)
    0.00687
  • Lowerbound of 95% confidence interval for beta
    1.72452
  • Upperbound of 95% confidence interval for beta
    2.66527
  • Lowerbound of 95% confidence interval for alpha
    0.17729
  • Upperbound of 95% confidence interval for alpha
    1.54783
  • Treynor index (mean / b)
    0.53445
  • Jensen alpha (a)
    0.86256
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.04664
  • SD
    0.49832
  • Sharpe ratio (Glass type estimate)
    2.10031
  • Sharpe ratio (Hedges UMVUE)
    2.09688
  • df
    459.00000
  • t
    2.78299
  • p
    0.00280
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61150
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58226
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20084
  • Upside Potential Ratio
    9.68828
  • Upside part of mean
    3.16795
  • Downside part of mean
    -2.12132
  • Upside SD
    0.38085
  • Downside SD
    0.32699
  • N nonnegative terms
    279.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    460.00000
  • Mean of predictor
    0.13739
  • Mean of criterion
    1.04664
  • SD of predictor
    0.08978
  • SD of criterion
    0.49832
  • Covariance
    0.01751
  • r
    0.39140
  • b (slope, estimate of beta)
    2.17239
  • a (intercept, estimate of alpha)
    0.74816
  • Mean Square Error
    0.21074
  • DF error
    458.00000
  • t(b)
    9.10260
  • p(b)
    0.00000
  • t(a)
    2.14986
  • p(a)
    0.01604
  • Lowerbound of 95% confidence interval for beta
    1.70339
  • Upperbound of 95% confidence interval for beta
    2.64139
  • Lowerbound of 95% confidence interval for alpha
    0.06428
  • Upperbound of 95% confidence interval for alpha
    1.43205
  • Treynor index (mean / b)
    0.48179
  • Jensen alpha (a)
    0.74816
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04557
  • Expected Shortfall on VaR
    0.05771
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01519
  • Expected Shortfall on VaR
    0.03325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    460.00000
  • Minimum
    0.85255
  • Quartile 1
    0.99427
  • Median
    1.00359
  • Quartile 3
    1.01529
  • Maximum
    1.12585
  • Mean of quarter 1
    0.97013
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.00877
  • Mean of quarter 4
    1.04009
  • Inter Quartile Range
    0.02103
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.05870
  • Mean of outliers low
    0.93448
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.06957
  • Mean of outliers high
    1.07647
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00574
  • VaR(95%) (moments method)
    0.01855
  • Expected Shortfall (moments method)
    0.02647
  • Extreme Value Index (regression method)
    0.06433
  • VaR(95%) (regression method)
    0.02932
  • Expected Shortfall (regression method)
    0.04581
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00123
  • Quartile 1
    0.00725
  • Median
    0.02437
  • Quartile 3
    0.04798
  • Maximum
    0.46377
  • Mean of quarter 1
    0.00391
  • Mean of quarter 2
    0.01241
  • Mean of quarter 3
    0.03593
  • Mean of quarter 4
    0.16296
  • Inter Quartile Range
    0.04074
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12821
  • Mean of outliers high
    0.24302
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.27453
  • VaR(95%) (moments method)
    0.13427
  • Expected Shortfall (moments method)
    0.16954
  • Extreme Value Index (regression method)
    0.16735
  • VaR(95%) (regression method)
    0.22060
  • Expected Shortfall (regression method)
    0.36680
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.18782
  • Compounded annual return (geometric extrapolation)
    1.92866
  • Calmar ratio (compounded annual return / max draw down)
    4.15863
  • Compounded annual return / average of 25% largest draw downs
    11.83550
  • Compounded annual return / Expected Shortfall lognormal
    33.41880
  • 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
    0.75938
  • SD
    0.33260
  • Sharpe ratio (Glass type estimate)
    2.28315
  • Sharpe ratio (Hedges UMVUE)
    2.26995
  • df
    130.00000
  • t
    1.61443
  • p
    0.42990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06445
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.05546
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.73183
  • Upside Potential Ratio
    10.27840
  • Upside part of mean
    2.09150
  • Downside part of mean
    -1.33213
  • Upside SD
    0.26565
  • Downside SD
    0.20349
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.75938
  • SD of predictor
    0.06774
  • SD of criterion
    0.33260
  • Covariance
    0.00599
  • r
    0.26609
  • b (slope, estimate of beta)
    1.30657
  • a (intercept, estimate of alpha)
    0.54361
  • Mean Square Error
    0.10359
  • DF error
    129.00000
  • t(b)
    3.13527
  • p(b)
    0.33262
  • t(a)
    1.18090
  • p(a)
    0.43428
  • Lowerbound of 95% confidence interval for beta
    0.48206
  • Upperbound of 95% confidence interval for beta
    2.13109
  • Lowerbound of 95% confidence interval for alpha
    -0.36717
  • Upperbound of 95% confidence interval for alpha
    1.45440
  • Treynor index (mean / b)
    0.58120
  • Jensen alpha (a)
    0.54361
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70403
  • SD
    0.32987
  • Sharpe ratio (Glass type estimate)
    2.13428
  • Sharpe ratio (Hedges UMVUE)
    2.12195
  • df
    130.00000
  • t
    1.50917
  • p
    0.43439
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65364
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.91421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90573
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38931
  • Upside Potential Ratio
    9.90413
  • Upside part of mean
    2.05729
  • Downside part of mean
    -1.35326
  • Upside SD
    0.25831
  • Downside SD
    0.20772
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.70403
  • SD of predictor
    0.06776
  • SD of criterion
    0.32987
  • Covariance
    0.00591
  • r
    0.26429
  • b (slope, estimate of beta)
    1.28656
  • a (intercept, estimate of alpha)
    0.49459
  • Mean Square Error
    0.10200
  • DF error
    129.00000
  • t(b)
    3.11242
  • p(b)
    0.33373
  • t(a)
    1.08310
  • p(a)
    0.43966
  • Lowerbound of 95% confidence interval for beta
    0.46871
  • Upperbound of 95% confidence interval for beta
    2.10442
  • Lowerbound of 95% confidence interval for alpha
    -0.40889
  • Upperbound of 95% confidence interval for alpha
    1.39806
  • Treynor index (mean / b)
    0.54722
  • Jensen alpha (a)
    0.49459
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03036
  • Expected Shortfall on VaR
    0.03856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00956
  • Expected Shortfall on VaR
    0.02107
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94429
  • Quartile 1
    0.99674
  • Median
    1.00287
  • Quartile 3
    1.01036
  • Maximum
    1.09213
  • Mean of quarter 1
    0.98081
  • Mean of quarter 2
    1.00007
  • Mean of quarter 3
    1.00561
  • Mean of quarter 4
    1.02560
  • Inter Quartile Range
    0.01363
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.96134
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.05340
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67860
  • VaR(95%) (moments method)
    0.01661
  • Expected Shortfall (moments method)
    0.05923
  • Extreme Value Index (regression method)
    0.12535
  • VaR(95%) (regression method)
    0.01572
  • Expected Shortfall (regression method)
    0.02546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00638
  • Median
    0.01511
  • Quartile 3
    0.05557
  • Maximum
    0.17375
  • Mean of quarter 1
    0.00258
  • Mean of quarter 2
    0.01069
  • Mean of quarter 3
    0.03328
  • Mean of quarter 4
    0.12145
  • Inter Quartile Range
    0.04919
  • 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
    0.07692
  • Mean of outliers high
    0.17375
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.10545
  • VaR(95%) (moments method)
    0.11372
  • Expected Shortfall (moments method)
    0.11536
  • Extreme Value Index (regression method)
    -0.06096
  • VaR(95%) (regression method)
    0.14369
  • Expected Shortfall (regression method)
    0.18885
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.88382
  • Compounded annual return (geometric extrapolation)
    1.07910
  • Calmar ratio (compounded annual return / max draw down)
    6.21084
  • Compounded annual return / average of 25% largest draw downs
    8.88494
  • Compounded annual return / Expected Shortfall lognormal
    27.98660

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
Minimum Capital Required
$100,000
# Trades
744
# Profitable
665
% Profitable
89.4%
Net Dividends
Correlation S&P500
0.397
Sharpe Ratio
2.343

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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