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

Simple Vix trade
(101350309)

Created by: VixTrader VixTrader
Started: 03/2016
Stocks
Last trade: 190 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 $99.00 per month.

68.8%
Annual Return (Compounded)
62.3%
Max Drawdown
46
Num Trades
71.7%
Win Trades
1.6 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              +9.8%+1.0%+31.4%+47.5%+34.3%+8.0%(7.3%)(0.9%)+19.5%+11.7%+283.0%
2017(35.9%)(20.6%)+2.1%+9.5%+15.5%+2.2%(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(34.4%)

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 24 hours.

Trading Record

This strategy has placed 209 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/31/17 14:11 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 77.74 6/9 13:39 80.94 0.36%
Trade id #111855985
Max drawdown($97)
Time5/31/17 14:15
Quant open400
Worst price77.50
Drawdown as % of equity-0.36%
$1,269
Includes Typical Broker Commissions trade costs of $8.00
5/18/17 9:50 XIV VELOCITYSHARES DAILY INVERSE V LONG 450 69.00 5/25 15:50 77.71 2.72%
Trade id #111663750
Max drawdown($612)
Time5/18/17 13:09
Quant open450
Worst price67.64
Drawdown as % of equity-2.72%
$3,908
Includes Typical Broker Commissions trade costs of $9.00
5/17/17 9:48 XIV VELOCITYSHARES DAILY INVERSE V LONG 800 76.84 5/17 10:59 74.08 9.03%
Trade id #111639498
Max drawdown($2,209)
Time5/17/17 10:59
Quant open0
Worst price74.08
Drawdown as % of equity-9.03%
($2,220)
Includes Typical Broker Commissions trade costs of $10.50
5/11/17 9:49 XIV VELOCITYSHARES DAILY INVERSE V LONG 800 77.87 5/11 10:19 77.54 2.44%
Trade id #111543055
Max drawdown($605)
Time5/11/17 10:04
Quant open700
Worst price77.08
Drawdown as % of equity-2.44%
($269)
Includes Typical Broker Commissions trade costs of $10.50
5/3/17 10:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 500 76.07 5/5 15:09 77.49 1.21%
Trade id #111385366
Max drawdown($306)
Time5/4/17 12:21
Quant open500
Worst price75.46
Drawdown as % of equity-1.21%
$699
Includes Typical Broker Commissions trade costs of $10.00
4/10/17 11:50 XIV VELOCITYSHARES DAILY INVERSE V LONG 600 68.70 5/1 12:51 76.20 23.28%
Trade id #110881773
Max drawdown($3,866)
Time4/13/17 16:15
Quant open600
Worst price62.26
Drawdown as % of equity-23.28%
$4,484
Includes Typical Broker Commissions trade costs of $12.00
4/5/17 15:43 XIV VELOCITYSHARES DAILY INVERSE V LONG 500 72.00 4/6 10:19 71.99 4.97%
Trade id #110739902
Max drawdown($977)
Time4/5/17 16:10
Quant open500
Worst price70.04
Drawdown as % of equity-4.97%
($15)
Includes Typical Broker Commissions trade costs of $10.00
3/31/17 12:43 XIV VELOCITYSHARES DAILY INVERSE V LONG 750 73.36 4/3 11:05 70.70 9.83%
Trade id #110588196
Max drawdown($1,994)
Time4/3/17 11:05
Quant open250
Worst price70.54
Drawdown as % of equity-9.83%
($2,009)
Includes Typical Broker Commissions trade costs of $15.00
3/28/17 10:24 XIV VELOCITYSHARES DAILY INVERSE V LONG 500 72.20 3/28 15:17 73.37 0.61%
Trade id #110479452
Max drawdown($132)
Time3/28/17 10:27
Quant open500
Worst price71.94
Drawdown as % of equity-0.61%
$574
Includes Typical Broker Commissions trade costs of $10.00
3/24/17 13:11 XIV VELOCITYSHARES DAILY INVERSE V LONG 600 67.87 3/27 14:28 69.01 7.49%
Trade id #110425617
Max drawdown($1,620)
Time3/27/17 4:02
Quant open600
Worst price65.17
Drawdown as % of equity-7.49%
$676
Includes Typical Broker Commissions trade costs of $8.50
3/21/17 10:28 XIV VELOCITYSHARES DAILY INVERSE V LONG 800 73.54 3/23 15:32 67.56 20.63%
Trade id #110353210
Max drawdown($4,803)
Time3/23/17 15:32
Quant open800
Worst price67.54
Drawdown as % of equity-20.63%
($4,798)
Includes Typical Broker Commissions trade costs of $10.50
3/20/17 14:46 XIV VELOCITYSHARES DAILY INVERSE V LONG 500 73.61 3/21 10:14 74.46 0.48%
Trade id #110336550
Max drawdown($120)
Time3/20/17 16:01
Quant open500
Worst price73.37
Drawdown as % of equity-0.48%
$415
Includes Typical Broker Commissions trade costs of $10.00
3/15/17 14:04 XIV VELOCITYSHARES DAILY INVERSE V SHORT 100 71.06 3/15 15:30 71.53 0.19%
Trade id #110251672
Max drawdown($48)
Time3/15/17 15:30
Quant open0
Worst price71.53
Drawdown as % of equity-0.19%
($50)
Includes Typical Broker Commissions trade costs of $2.00
3/14/17 9:51 XIV VELOCITYSHARES DAILY INVERSE V LONG 700 69.09 3/15 12:52 70.28 2.78%
Trade id #110218992
Max drawdown($668)
Time3/14/17 10:32
Quant open700
Worst price68.14
Drawdown as % of equity-2.78%
$817
Includes Typical Broker Commissions trade costs of $14.00
3/10/17 11:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,000 17.06 3/13 10:12 16.90 0.65%
Trade id #110176091
Max drawdown($159)
Time3/13/17 10:12
Quant open0
Worst price16.90
Drawdown as % of equity-0.65%
($164)
Includes Typical Broker Commissions trade costs of $5.00
3/8/17 14:26 XIV VELOCITYSHARES DAILY INVERSE V LONG 604 67.50 3/10 10:38 68.28 2.57%
Trade id #110116419
Max drawdown($621)
Time3/9/17 14:17
Quant open496
Worst price66.44
Drawdown as % of equity-2.57%
$463
Includes Typical Broker Commissions trade costs of $8.58
3/7/17 15:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 68.10 3/8 14:09 68.51 1.69%
Trade id #110088229
Max drawdown($401)
Time3/8/17 4:11
Quant open400
Worst price67.10
Drawdown as % of equity-1.69%
$155
Includes Typical Broker Commissions trade costs of $8.00
3/7/17 10:00 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 67.22 3/7 14:46 68.51 0%
Trade id #110078320
Max drawdown($0)
Time3/7/17 10:02
Quant open250
Worst price67.22
Drawdown as % of equity-0.00%
$317
Includes Typical Broker Commissions trade costs of $5.00
2/27/17 11:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 850 65.68 3/3 14:36 66.34 9.17%
Trade id #109876733
Max drawdown($2,009)
Time2/28/17 12:27
Quant open750
Worst price63.00
Drawdown as % of equity-9.17%
$550
Includes Typical Broker Commissions trade costs of $12.00
2/24/17 13:28 XIV VELOCITYSHARES DAILY INVERSE V LONG 500 63.51 2/27 9:37 64.46 0.17%
Trade id #109840932
Max drawdown($38)
Time2/24/17 13:41
Quant open500
Worst price63.43
Drawdown as % of equity-0.17%
$465
Includes Typical Broker Commissions trade costs of $10.00
2/21/17 10:26 XIV VELOCITYSHARES DAILY INVERSE V LONG 750 66.93 2/24 10:10 62.04 18.06%
Trade id #109708921
Max drawdown($4,334)
Time2/24/17 9:04
Quant open750
Worst price61.15
Drawdown as % of equity-18.06%
($3,678)
Includes Typical Broker Commissions trade costs of $11.00
2/16/17 11:04 XIV VELOCITYSHARES DAILY INVERSE V LONG 750 64.59 2/16 15:49 66.50 3.63%
Trade id #109600935
Max drawdown($895)
Time2/16/17 11:12
Quant open750
Worst price63.40
Drawdown as % of equity-3.63%
$1,425
Includes Typical Broker Commissions trade costs of $5.00
2/15/17 11:43 XIV VELOCITYSHARES DAILY INVERSE V LONG 750 66.89 2/16 10:52 64.96 5.73%
Trade id #109564693
Max drawdown($1,446)
Time2/16/17 10:52
Quant open0
Worst price64.96
Drawdown as % of equity-5.73%
($1,456)
Includes Typical Broker Commissions trade costs of $10.00
2/15/17 10:09 XIV VELOCITYSHARES DAILY INVERSE V LONG 500 68.53 2/15 11:10 68.04 0.93%
Trade id #109560547
Max drawdown($247)
Time2/15/17 11:10
Quant open0
Worst price68.04
Drawdown as % of equity-0.93%
($257)
Includes Typical Broker Commissions trade costs of $10.00
2/14/17 10:37 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 66.99 2/14 12:58 69.02 0.02%
Trade id #109529496
Max drawdown($4)
Time2/14/17 10:39
Quant open100
Worst price66.94
Drawdown as % of equity-0.02%
$402
Includes Typical Broker Commissions trade costs of $4.00
12/16/16 15:58 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 800 42.61 1/30/17 14:29 26.70 89.92%
Trade id #108024899
Max drawdown($28,678)
Time1/4/17 14:21
Quant open800
Worst price6.76
Drawdown as % of equity-89.92%
($12,742)
Includes Typical Broker Commissions trade costs of $16.00
12/1/16 10:50 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,100 42.57 12/7 15:46 45.53 3.58%
Trade id #107660486
Max drawdown($1,256)
Time12/1/16 13:10
Quant open1,000
Worst price41.10
Drawdown as % of equity-3.58%
$3,244
Includes Typical Broker Commissions trade costs of $17.00
10/27/16 15:13 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,500 38.89 11/29 14:14 40.74 38.45%
Trade id #106712765
Max drawdown($9,420)
Time11/3/16 16:15
Quant open1,500
Worst price32.61
Drawdown as % of equity-38.45%
$2,755
Includes Typical Broker Commissions trade costs of $20.00
10/26/16 13:39 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,250 39.83 10/27 12:21 40.05 0.97%
Trade id #106681825
Max drawdown($312)
Time10/27/16 10:24
Quant open500
Worst price39.42
Drawdown as % of equity-0.97%
$272
Includes Typical Broker Commissions trade costs of $12.50
10/25/16 12:36 XIV VELOCITYSHARES DAILY INVERSE V LONG 750 40.64 10/26 11:18 41.01 1.14%
Trade id #106653661
Max drawdown($372)
Time10/26/16 5:25
Quant open500
Worst price39.90
Drawdown as % of equity-1.14%
$267
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    3/18/2016
  • Starting Unit Size
    $5,500
  • Strategy Age (days)
    638.16
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    46
  • # Profitable
    33
  • % Profitable
    71.70%
  • Avg trade duration
    7.3 days
  • Max peak-to-valley drawdown
    62.29%
  • drawdown period
    Dec 30, 2016 - April 13, 2017
  • Annual Return (Compounded)
    68.8%
  • Avg win
    $1,449
  • Avg loss
    $2,289
  • Model Account Values (Raw)
  • Cash
    $28,067
  • Margin Used
    $0
  • Buying Power
    $28,067
  • Ratios
  • W:L ratio
    1.61:1
  • Sharpe Ratio
    1.279
  • Sortino Ratio
    1.896
  • Calmar Ratio
    1.42
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.48400
  • Return Statistics
  • Ann Return (w trading costs)
    68.8%
  • Ann Return (Compnd, No Fees)
    80.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    67.50%
  • Chance of 20% account loss
    46.00%
  • Chance of 30% account loss
    33.50%
  • Chance of 40% account loss
    11.00%
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    24
  • Popularity (Last 6 weeks)
    771
  • C2 Score
    4.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $2,289
  • Avg Win
    $1,449
  • # Winners
    33
  • # Losers
    13
  • % Winners
    71.7%
  • Frequency
  • Avg Position Time (mins)
    10442.60
  • Avg Position Time (hrs)
    174.04
  • Avg Trade Length
    7.3 days
  • Last Trade Ago
    190
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.85424
  • SD
    0.85600
  • Sharpe ratio (Glass type estimate)
    0.99794
  • Sharpe ratio (Hedges UMVUE)
    0.95794
  • df
    19.00000
  • t
    1.28834
  • p
    0.32200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56509
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50637
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.76889
  • Upside Potential Ratio
    5.43606
  • Upside part of mean
    1.23211
  • Downside part of mean
    -0.37787
  • Upside SD
    0.83996
  • Downside SD
    0.22665
  • N nonnegative terms
    8.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.12863
  • Mean of criterion
    0.85424
  • SD of predictor
    0.06456
  • SD of criterion
    0.85600
  • Covariance
    0.01191
  • r
    0.21544
  • b (slope, estimate of beta)
    2.85656
  • a (intercept, estimate of alpha)
    0.48680
  • Mean Square Error
    0.73754
  • DF error
    18.00000
  • t(b)
    0.93601
  • p(b)
    0.39228
  • t(a)
    0.63024
  • p(a)
    0.42653
  • Lowerbound of 95% confidence interval for beta
    -3.55514
  • Upperbound of 95% confidence interval for beta
    9.26826
  • Lowerbound of 95% confidence interval for alpha
    -1.13597
  • Upperbound of 95% confidence interval for alpha
    2.10958
  • Treynor index (mean / b)
    0.29904
  • Jensen alpha (a)
    0.48680
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59132
  • SD
    0.65878
  • Sharpe ratio (Glass type estimate)
    0.89760
  • Sharpe ratio (Hedges UMVUE)
    0.86162
  • df
    19.00000
  • t
    1.15880
  • p
    0.33826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65814
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43071
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68108
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40432
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40172
  • Upside Potential Ratio
    4.04920
  • Upside part of mean
    0.99694
  • Downside part of mean
    -0.40562
  • Upside SD
    0.61710
  • Downside SD
    0.24621
  • N nonnegative terms
    8.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.12571
  • Mean of criterion
    0.59132
  • SD of predictor
    0.06405
  • SD of criterion
    0.65878
  • Covariance
    0.01014
  • r
    0.24030
  • b (slope, estimate of beta)
    2.47163
  • a (intercept, estimate of alpha)
    0.28062
  • Mean Square Error
    0.43165
  • DF error
    18.00000
  • t(b)
    1.05027
  • p(b)
    0.37985
  • t(a)
    0.47673
  • p(a)
    0.44417
  • Lowerbound of 95% confidence interval for beta
    -2.47254
  • Upperbound of 95% confidence interval for beta
    7.41580
  • Lowerbound of 95% confidence interval for alpha
    -0.95607
  • Upperbound of 95% confidence interval for alpha
    1.51732
  • Treynor index (mean / b)
    0.23924
  • Jensen alpha (a)
    0.28062
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23167
  • Expected Shortfall on VaR
    0.28864
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08107
  • Expected Shortfall on VaR
    0.15608
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.80266
  • Quartile 1
    0.97961
  • Median
    1.00000
  • Quartile 3
    1.13411
  • Maximum
    1.99090
  • Mean of quarter 1
    0.88192
  • Mean of quarter 2
    0.99739
  • Mean of quarter 3
    1.04797
  • Mean of quarter 4
    1.36678
  • Inter Quartile Range
    0.15449
  • 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
    0.05000
  • Mean of outliers high
    1.99090
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.52094
  • VaR(95%) (moments method)
    0.09708
  • Expected Shortfall (moments method)
    0.09708
  • Extreme Value Index (regression method)
    -0.78875
  • VaR(95%) (regression method)
    0.16969
  • Expected Shortfall (regression method)
    0.19283
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01303
  • Quartile 1
    0.06652
  • Median
    0.12001
  • Quartile 3
    0.25939
  • Maximum
    0.39877
  • Mean of quarter 1
    0.01303
  • Mean of quarter 2
    0.12001
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39877
  • Inter Quartile Range
    0.19287
  • 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)
    1.08408
  • Compounded annual return (geometric extrapolation)
    0.85749
  • Calmar ratio (compounded annual return / max draw down)
    2.15036
  • Compounded annual return / average of 25% largest draw downs
    2.15036
  • Compounded annual return / Expected Shortfall lognormal
    2.97076
  • 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
    0.74756
  • SD
    0.58334
  • Sharpe ratio (Glass type estimate)
    1.28152
  • Sharpe ratio (Hedges UMVUE)
    1.27937
  • df
    447.00000
  • t
    1.67577
  • p
    0.04724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22039
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78057
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89598
  • Upside Potential Ratio
    7.18005
  • Upside part of mean
    2.83101
  • Downside part of mean
    -2.08345
  • Upside SD
    0.43150
  • Downside SD
    0.39429
  • N nonnegative terms
    172.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    448.00000
  • Mean of predictor
    0.13202
  • Mean of criterion
    0.74756
  • SD of predictor
    0.08895
  • SD of criterion
    0.58334
  • Covariance
    0.02392
  • r
    0.46095
  • b (slope, estimate of beta)
    3.02285
  • a (intercept, estimate of alpha)
    0.34800
  • Mean Square Error
    0.26858
  • DF error
    446.00000
  • t(b)
    10.96960
  • p(b)
    0.00000
  • t(a)
    0.87559
  • p(a)
    0.19086
  • Lowerbound of 95% confidence interval for beta
    2.48129
  • Upperbound of 95% confidence interval for beta
    3.56442
  • Lowerbound of 95% confidence interval for alpha
    -0.43369
  • Upperbound of 95% confidence interval for alpha
    1.13065
  • Treynor index (mean / b)
    0.24730
  • Jensen alpha (a)
    0.34848
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57566
  • SD
    0.58754
  • Sharpe ratio (Glass type estimate)
    0.97977
  • Sharpe ratio (Hedges UMVUE)
    0.97813
  • df
    447.00000
  • t
    1.28119
  • p
    0.10040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52095
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47835
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36749
  • Upside Potential Ratio
    6.51762
  • Upside part of mean
    2.74364
  • Downside part of mean
    -2.16799
  • Upside SD
    0.41048
  • Downside SD
    0.42096
  • N nonnegative terms
    172.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    448.00000
  • Mean of predictor
    0.12802
  • Mean of criterion
    0.57566
  • SD of predictor
    0.08908
  • SD of criterion
    0.58754
  • Covariance
    0.02478
  • r
    0.47341
  • b (slope, estimate of beta)
    3.12245
  • a (intercept, estimate of alpha)
    0.17591
  • Mean Square Error
    0.26844
  • DF error
    446.00000
  • t(b)
    11.35030
  • p(b)
    0.00000
  • t(a)
    0.44224
  • p(a)
    0.32927
  • Lowerbound of 95% confidence interval for beta
    2.58180
  • Upperbound of 95% confidence interval for beta
    3.66310
  • Lowerbound of 95% confidence interval for alpha
    -0.60584
  • Upperbound of 95% confidence interval for alpha
    0.95767
  • Treynor index (mean / b)
    0.18436
  • Jensen alpha (a)
    0.17591
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05589
  • Expected Shortfall on VaR
    0.07001
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02043
  • Expected Shortfall on VaR
    0.04446
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    448.00000
  • Minimum
    0.77300
  • Quartile 1
    0.99832
  • Median
    1.00000
  • Quartile 3
    1.01067
  • Maximum
    1.18468
  • Mean of quarter 1
    0.96849
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00320
  • Mean of quarter 4
    1.04018
  • Inter Quartile Range
    0.01236
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.12054
  • Mean of outliers low
    0.94352
  • Number of outliers high
    53.00000
  • Percentage of outliers high
    0.11830
  • Mean of outliers high
    1.06380
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85126
  • VaR(95%) (moments method)
    0.01584
  • Expected Shortfall (moments method)
    0.12367
  • Extreme Value Index (regression method)
    0.35491
  • VaR(95%) (regression method)
    0.02839
  • Expected Shortfall (regression method)
    0.06200
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00164
  • Quartile 1
    0.00497
  • Median
    0.03791
  • Quartile 3
    0.10408
  • Maximum
    0.58344
  • Mean of quarter 1
    0.00256
  • Mean of quarter 2
    0.01655
  • Mean of quarter 3
    0.07237
  • Mean of quarter 4
    0.30165
  • Inter Quartile Range
    0.09911
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    0.41600
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.61578
  • VaR(95%) (moments method)
    0.28606
  • Expected Shortfall (moments method)
    0.33493
  • Extreme Value Index (regression method)
    -0.12968
  • VaR(95%) (regression method)
    0.32995
  • Expected Shortfall (regression method)
    0.44089
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.05666
  • Compounded annual return (geometric extrapolation)
    0.82862
  • Calmar ratio (compounded annual return / max draw down)
    1.42024
  • Compounded annual return / average of 25% largest draw downs
    2.74693
  • Compounded annual return / Expected Shortfall lognormal
    11.83510
  • 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
    -0.02845
  • SD
    0.02315
  • Sharpe ratio (Glass type estimate)
    -1.22909
  • Sharpe ratio (Hedges UMVUE)
    -1.22198
  • df
    130.00000
  • t
    -0.86910
  • p
    0.53800
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.00262
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.99777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55380
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.70001
  • Upside Potential Ratio
    1.34872
  • Upside part of mean
    0.02257
  • Downside part of mean
    -0.05103
  • Upside SD
    0.01596
  • Downside SD
    0.01674
  • N nonnegative terms
    1.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16416
  • Mean of criterion
    -0.02845
  • SD of predictor
    0.06941
  • SD of criterion
    0.02315
  • Covariance
    0.00000
  • r
    0.00271
  • b (slope, estimate of beta)
    0.00090
  • a (intercept, estimate of alpha)
    -0.02860
  • Mean Square Error
    0.00054
  • DF error
    129.00000
  • t(b)
    0.03080
  • p(b)
    0.49827
  • t(a)
    -0.86106
  • p(a)
    0.54808
  • Lowerbound of 95% confidence interval for beta
    -0.05720
  • Upperbound of 95% confidence interval for beta
    0.05901
  • Lowerbound of 95% confidence interval for alpha
    -0.09433
  • Upperbound of 95% confidence interval for alpha
    0.03712
  • Treynor index (mean / b)
    -31.46270
  • Jensen alpha (a)
    -0.02860
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02872
  • SD
    0.02316
  • Sharpe ratio (Glass type estimate)
    -1.24019
  • Sharpe ratio (Hedges UMVUE)
    -1.23302
  • df
    130.00000
  • t
    -0.87694
  • p
    0.53834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.01380
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53801
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.00887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54284
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.70598
  • Upside Potential Ratio
    1.33334
  • Upside part of mean
    0.02245
  • Downside part of mean
    -0.05117
  • Upside SD
    0.01587
  • Downside SD
    0.01683
  • N nonnegative terms
    1.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16170
  • Mean of criterion
    -0.02872
  • SD of predictor
    0.06941
  • SD of criterion
    0.02316
  • Covariance
    0.00000
  • r
    0.00298
  • b (slope, estimate of beta)
    0.00099
  • a (intercept, estimate of alpha)
    -0.02888
  • Mean Square Error
    0.00054
  • DF error
    129.00000
  • t(b)
    0.03387
  • p(b)
    0.49810
  • t(a)
    -0.86943
  • p(a)
    0.54854
  • Lowerbound of 95% confidence interval for beta
    -0.05712
  • Upperbound of 95% confidence interval for beta
    0.05911
  • Lowerbound of 95% confidence interval for alpha
    -0.09460
  • Upperbound of 95% confidence interval for alpha
    0.03684
  • Treynor index (mean / b)
    -28.86990
  • Jensen alpha (a)
    -0.02888
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00246
  • Expected Shortfall on VaR
    0.00306
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00067
  • Expected Shortfall on VaR
    0.00150
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98833
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01139
  • Mean of quarter 1
    0.99965
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00035
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.98833
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01139
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01167
  • Quartile 1
    0.01167
  • Median
    0.01167
  • Quartile 3
    0.01167
  • Maximum
    0.01167
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00081
  • Compounded annual return (geometric extrapolation)
    -0.00081
  • Calmar ratio (compounded annual return / max draw down)
    -0.06958
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.26566

Strategy Description

Since this is a metric based trading system. We stay in a trade or add to the trade until metrics changes direction or goes neutral. If you can't handle large volatility please set stoploss accordingly. We will be trading INTRADAY and/or Swing thru out this strategy. Mostly XIV and UVXY. My other strategy offers uvxy option and ultra high risk trades, reason why this strategy was created because some of my Subscribers said they have no access to short UVXY or write options. this strategy will be solely long VIX ETF only. This is a simple boring strategy to swing/intraday trading VIX etf. We will be holding XIV/UVXY from 1 day to 3 months depend on the current market conditions. We will be trading INTRADAY and/or sit in cash up to a week thru out this strategy. If you wish for an heartattack strategy, welcome to subscribe to my "Volatility Trader"

Summary Statistics

Strategy began
2016-03-18
Minimum Capital Required
$5,500
# Trades
46
# Profitable
33
% Profitable
71.7%
Correlation S&P500
0.484
Sharpe Ratio
1.279

Latest Activity

#PERSONNAME#
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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