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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 09/19/2016
Most recent certification approved 9/19/16 14:54 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 44
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 44
Percent signals followed since 09/19/2016 100%
This information was last updated 12/16/17 17:41 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 09/19/2016, 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.

Volatility Returns
(101429306)

Created by: VolatilityReturns VolatilityReturns
Started: 03/2016
Stocks
Last trade: 8 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.

172.9%
Annual Return (Compounded)
60.2%
Max Drawdown
21
Num Trades
57.1%
Win Trades
3.0 : 1
Profit Factor
72.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              (0.5%)+9.9%+25.2%(8.9%)+11.9%+11.0%(6.1%)+5.0%+22.7%+13.4%+112.6%
2017+52.0%+6.1%+22.4%+30.0%(17.1%)(1.4%)+24.9%(46.3%)+31.0%+22.9%+10.5%+8.5%+171.0%

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 60 hours.

Trading Record

This strategy has placed 44 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/30/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,730 109.49 12/8 15:47 123.41 13.94%
Trade id #114592337
Max drawdown($13,264)
Time11/15/17 9:41
Quant open1,730
Worst price101.82
Drawdown as % of equity-13.94%
$24,078
Includes Typical Broker Commissions trade costs of $5.35
8/22/17 15:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,400 82.43 10/24 15:51 108.10 n/a $35,936
Includes Typical Broker Commissions trade costs of $5.00
8/18/17 15:53 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,540 39.21 8/21 10:25 40.00 5.58%
Trade id #113236764
Max drawdown($3,392)
Time8/21/17 6:35
Quant open1,540
Worst price37.01
Drawdown as % of equity-5.58%
$1,212
Includes Typical Broker Commissions trade costs of $7.50
8/14/17 15:39 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,900 83.39 8/17 15:48 71.64 35.66%
Trade id #113137662
Max drawdown($23,133)
Time8/17/17 15:43
Quant open1,900
Worst price71.21
Drawdown as % of equity-35.66%
($22,315)
Includes Typical Broker Commissions trade costs of $5.00
7/12/17 15:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,180 85.66 8/10 15:53 78.63 17.4%
Trade id #112561140
Max drawdown($15,941)
Time8/10/17 15:50
Quant open2,180
Worst price78.35
Drawdown as % of equity-17.40%
($15,326)
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 15:59 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 8,900 10.00 7/5 10:38 10.22 6.81%
Trade id #112291819
Max drawdown($6,216)
Time7/3/17 10:13
Quant open8,900
Worst price9.30
Drawdown as % of equity-6.81%
$1,936
Includes Typical Broker Commissions trade costs of $5.00
6/8/17 15:24 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,285 81.45 6/29 15:58 82.45 19.4%
Trade id #111977265
Max drawdown($17,728)
Time6/29/17 13:30
Quant open2,285
Worst price73.69
Drawdown as % of equity-19.40%
$2,285
Includes Typical Broker Commissions trade costs of $5.00
5/22/17 15:47 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,310 77.00 6/6 15:58 78.80 2.52%
Trade id #111717754
Max drawdown($2,270)
Time5/22/17 19:11
Quant open2,310
Worst price76.02
Drawdown as % of equity-2.52%
$4,149
Includes Typical Broker Commissions trade costs of $5.00
5/18/17 15:54 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 6,757 14.82 5/19 15:54 13.12 18.45%
Trade id #111674464
Max drawdown($16,088)
Time5/19/17 11:13
Quant open6,757
Worst price12.44
Drawdown as % of equity-18.45%
($11,492)
Includes Typical Broker Commissions trade costs of $5.00
4/19/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,692.65 64.77 5/17 15:43 70.19 0.52%
Trade id #111133950
Max drawdown($453)
Time4/19/17 16:01
Quant open2,693
Worst price64.60
Drawdown as % of equity-0.52%
$14,581
Includes Typical Broker Commissions trade costs of $5.00
11/9/16 14:51 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,652.55 39.08 4/6/17 15:35 72.13 n/a $54,616
Includes Typical Broker Commissions trade costs of $5.00
10/18/16 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,591.61 37.95 10/27 15:59 39.35 0.28%
Trade id #106521653
Max drawdown($85)
Time10/18/16 16:15
Quant open328
Worst price37.69
Drawdown as % of equity-0.28%
$2,221
Includes Typical Broker Commissions trade costs of $5.00
9/30/16 15:44 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,657.49 37.89 10/12 15:58 37.09 1.54%
Trade id #106169994
Max drawdown($484)
Time10/11/16 14:21
Quant open341
Worst price36.47
Drawdown as % of equity-1.54%
($1,329)
Includes Typical Broker Commissions trade costs of $5.00
9/19/16 15:56 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,671.08 34.30 9/29 15:59 35.95 0.46%
Trade id #105955750
Max drawdown($134)
Time9/20/16 13:03
Quant open344
Worst price33.91
Drawdown as % of equity-0.46%
$2,760
Includes Typical Broker Commissions trade costs of $5.00
9/19/16 14:54 XIV VELOCITYSHARES DAILY INVERSE V LONG 0.206 34.78 9/19 14:54 34.76 n/a $0
9/19/16 14:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 0.206 34.79 9/19 14:53 34.78 n/a $0
9/19/16 14:52 XIV VELOCITYSHARES DAILY INVERSE V LONG 0.206 34.85 9/19 14:53 34.79 n/a $0
9/19/16 14:52 XIV VELOCITYSHARES DAILY INVERSE V LONG 0.206 34.78 9/19 14:52 34.85 n/a $0
9/13/16 15:57 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,276.58 24.76 9/16 9:30 23.64 2.47%
Trade id #105857524
Max drawdown($710)
Time9/15/16 15:07
Quant open263
Worst price22.06
Drawdown as % of equity-2.47%
($1,440)
Includes Typical Broker Commissions trade costs of $5.00
5/18/16 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 877.675 27.70 9/13 9:30 34.62 n/a $6,069
Includes Typical Broker Commissions trade costs of $5.00
4/8/16 15:36 XIV VELOCITYSHARES DAILY INVERSE V LONG 938.132 23.88 5/18 9:30 27.62 4.98%
Trade id #101738773
Max drawdown($1,036)
Time4/12/16 10:24
Quant open1,956
Worst price23.35
Drawdown as % of equity-4.98%
$3,504
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/23/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    633.68
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    21
  • # Profitable
    12
  • % Profitable
    57.10%
  • Avg trade duration
    26.1 days
  • Max peak-to-valley drawdown
    60.15%
  • drawdown period
    May 16, 2017 - Sept 05, 2017
  • Annual Return (Compounded)
    172.9%
  • Avg win
    $12,784
  • Avg loss
    $5,764
  • Model Account Values (Raw)
  • Cash
    $122,380
  • Margin Used
    $0
  • Buying Power
    $122,380
  • Ratios
  • W:L ratio
    2.96:1
  • Sharpe Ratio
    2.118
  • Sortino Ratio
    3.005
  • Calmar Ratio
    3.808
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.38800
  • Return Statistics
  • Ann Return (w trading costs)
    172.9%
  • Ann Return (Compnd, No Fees)
    176.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.50%
  • Chance of 20% account loss
    29.50%
  • Chance of 30% account loss
    18.50%
  • Chance of 40% account loss
    9.00%
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    721
  • Popularity (Last 6 weeks)
    925
  • C2 Score
    18.8
  • Trades-Own-System Certification
  • Trades Own System?
    183744
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $5,764
  • Avg Win
    $12,784
  • # Winners
    12
  • # Losers
    9
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    37515.80
  • Avg Position Time (hrs)
    625.26
  • Avg Trade Length
    26.1 days
  • Last Trade Ago
    8
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.42785
  • SD
    0.70154
  • Sharpe ratio (Glass type estimate)
    2.03529
  • Sharpe ratio (Hedges UMVUE)
    1.94393
  • df
    17.00000
  • t
    2.49272
  • p
    0.18598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21537
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67249
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41845
  • Upside Potential Ratio
    4.55446
  • Upside part of mean
    1.90234
  • Downside part of mean
    -0.47450
  • Upside SD
    0.67842
  • Downside SD
    0.41769
  • N nonnegative terms
    15.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.14378
  • Mean of criterion
    1.42785
  • SD of predictor
    0.04811
  • SD of criterion
    0.70154
  • Covariance
    0.01616
  • r
    0.47888
  • b (slope, estimate of beta)
    6.98278
  • a (intercept, estimate of alpha)
    0.42386
  • Mean Square Error
    0.40300
  • DF error
    16.00000
  • t(b)
    2.18197
  • p(b)
    0.26056
  • t(a)
    0.61154
  • p(a)
    0.42444
  • Lowerbound of 95% confidence interval for beta
    0.19863
  • Upperbound of 95% confidence interval for beta
    13.76690
  • Lowerbound of 95% confidence interval for alpha
    -1.04545
  • Upperbound of 95% confidence interval for alpha
    1.89316
  • Treynor index (mean / b)
    0.20448
  • Jensen alpha (a)
    0.42386
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.10277
  • SD
    0.77425
  • Sharpe ratio (Glass type estimate)
    1.42431
  • Sharpe ratio (Hedges UMVUE)
    1.36037
  • df
    17.00000
  • t
    1.74442
  • p
    0.25837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26412
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30397
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02472
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98901
  • Upside Potential Ratio
    3.07149
  • Upside part of mean
    1.70293
  • Downside part of mean
    -0.60016
  • Upside SD
    0.60009
  • Downside SD
    0.55443
  • N nonnegative terms
    15.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.14153
  • Mean of criterion
    1.10277
  • SD of predictor
    0.04762
  • SD of criterion
    0.77425
  • Covariance
    0.01768
  • r
    0.47954
  • b (slope, estimate of beta)
    7.79648
  • a (intercept, estimate of alpha)
    -0.00065
  • Mean Square Error
    0.49046
  • DF error
    16.00000
  • t(b)
    2.18591
  • p(b)
    0.26023
  • t(a)
    -0.00085
  • p(a)
    0.50011
  • Lowerbound of 95% confidence interval for beta
    0.23542
  • Upperbound of 95% confidence interval for beta
    15.35750
  • Lowerbound of 95% confidence interval for alpha
    -1.61760
  • Upperbound of 95% confidence interval for alpha
    1.61630
  • Treynor index (mean / b)
    0.14144
  • Jensen alpha (a)
    -0.00065
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24099
  • Expected Shortfall on VaR
    0.30637
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03516
  • Expected Shortfall on VaR
    0.10230
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.52257
  • Quartile 1
    1.05752
  • Median
    1.17772
  • Quartile 3
    1.23535
  • Maximum
    1.40734
  • Mean of quarter 1
    0.87060
  • Mean of quarter 2
    1.12585
  • Mean of quarter 3
    1.21865
  • Mean of quarter 4
    1.29054
  • Inter Quartile Range
    0.17783
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.52257
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.40025
  • VaR(95%) (regression method)
    0.32701
  • Expected Shortfall (regression method)
    0.83356
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.06561
  • Quartile 1
    0.11367
  • Median
    0.16172
  • Quartile 3
    0.31957
  • Maximum
    0.47743
  • Mean of quarter 1
    0.06561
  • Mean of quarter 2
    0.16172
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.47743
  • Inter Quartile Range
    0.20591
  • 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)
    2.96812
  • Compounded annual return (geometric extrapolation)
    2.09775
  • Calmar ratio (compounded annual return / max draw down)
    4.39384
  • Compounded annual return / average of 25% largest draw downs
    4.39384
  • Compounded annual return / Expected Shortfall lognormal
    6.84709
  • 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
    1.31479
  • SD
    0.61974
  • Sharpe ratio (Glass type estimate)
    2.12152
  • Sharpe ratio (Hedges UMVUE)
    2.11758
  • df
    404.00000
  • t
    2.63769
  • p
    0.00433
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70345
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53441
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70074
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00550
  • Upside Potential Ratio
    9.14471
  • Upside part of mean
    4.00046
  • Downside part of mean
    -2.68567
  • Upside SD
    0.44537
  • Downside SD
    0.43746
  • N nonnegative terms
    233.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    405.00000
  • Mean of predictor
    0.15318
  • Mean of criterion
    1.31479
  • SD of predictor
    0.09481
  • SD of criterion
    0.61974
  • Covariance
    0.02303
  • r
    0.39198
  • b (slope, estimate of beta)
    2.56233
  • a (intercept, estimate of alpha)
    0.92200
  • Mean Square Error
    0.32587
  • DF error
    403.00000
  • t(b)
    8.55344
  • p(b)
    -0.00000
  • t(a)
    1.99878
  • p(a)
    0.02315
  • Lowerbound of 95% confidence interval for beta
    1.97342
  • Upperbound of 95% confidence interval for beta
    3.15125
  • Lowerbound of 95% confidence interval for alpha
    0.01518
  • Upperbound of 95% confidence interval for alpha
    1.82940
  • Treynor index (mean / b)
    0.51312
  • Jensen alpha (a)
    0.92229
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11705
  • SD
    0.62848
  • Sharpe ratio (Glass type estimate)
    1.77739
  • Sharpe ratio (Hedges UMVUE)
    1.77408
  • df
    404.00000
  • t
    2.20983
  • p
    0.01384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19515
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35746
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35524
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41065
  • Upside Potential Ratio
    8.42875
  • Upside part of mean
    3.90571
  • Downside part of mean
    -2.78866
  • Upside SD
    0.42901
  • Downside SD
    0.46338
  • N nonnegative terms
    233.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    405.00000
  • Mean of predictor
    0.14865
  • Mean of criterion
    1.11705
  • SD of predictor
    0.09466
  • SD of criterion
    0.62848
  • Covariance
    0.02306
  • r
    0.38755
  • b (slope, estimate of beta)
    2.57293
  • a (intercept, estimate of alpha)
    0.73459
  • Mean Square Error
    0.33649
  • DF error
    403.00000
  • t(b)
    8.43947
  • p(b)
    -0.00000
  • t(a)
    1.56709
  • p(a)
    0.05894
  • Lowerbound of 95% confidence interval for beta
    1.97360
  • Upperbound of 95% confidence interval for beta
    3.17226
  • Lowerbound of 95% confidence interval for alpha
    -0.18693
  • Upperbound of 95% confidence interval for alpha
    1.65611
  • Treynor index (mean / b)
    0.43416
  • Jensen alpha (a)
    0.73459
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05786
  • Expected Shortfall on VaR
    0.07293
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02065
  • Expected Shortfall on VaR
    0.04561
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    405.00000
  • Minimum
    0.83065
  • Quartile 1
    0.99298
  • Median
    1.00530
  • Quartile 3
    1.02466
  • Maximum
    1.18536
  • Mean of quarter 1
    0.96070
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.01421
  • Mean of quarter 4
    1.04630
  • Inter Quartile Range
    0.03168
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.05679
  • Mean of outliers low
    0.90290
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.03457
  • Mean of outliers high
    1.09695
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36055
  • VaR(95%) (moments method)
    0.02834
  • Expected Shortfall (moments method)
    0.05568
  • Extreme Value Index (regression method)
    -0.06158
  • VaR(95%) (regression method)
    0.03717
  • Expected Shortfall (regression method)
    0.05391
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00161
  • Quartile 1
    0.00640
  • Median
    0.02898
  • Quartile 3
    0.08724
  • Maximum
    0.56259
  • Mean of quarter 1
    0.00335
  • Mean of quarter 2
    0.01721
  • Mean of quarter 3
    0.05256
  • Mean of quarter 4
    0.19690
  • Inter Quartile Range
    0.08084
  • 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
    0.06667
  • Mean of outliers high
    0.40402
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47438
  • VaR(95%) (moments method)
    0.22758
  • Expected Shortfall (moments method)
    0.46479
  • Extreme Value Index (regression method)
    0.84425
  • VaR(95%) (regression method)
    0.25624
  • Expected Shortfall (regression method)
    1.44857
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.15054
  • Compounded annual return (geometric extrapolation)
    2.14230
  • Calmar ratio (compounded annual return / max draw down)
    3.80796
  • Compounded annual return / average of 25% largest draw downs
    10.88030
  • Compounded annual return / Expected Shortfall lognormal
    29.37590
  • 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
    0.73428
  • SD
    0.64120
  • Sharpe ratio (Glass type estimate)
    1.14516
  • Sharpe ratio (Hedges UMVUE)
    1.13854
  • df
    130.00000
  • t
    0.80975
  • p
    0.46458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63672
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91380
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43797
  • Upside Potential Ratio
    7.33213
  • Upside part of mean
    3.74405
  • Downside part of mean
    -3.00977
  • Upside SD
    0.38640
  • Downside SD
    0.51064
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.73428
  • SD of predictor
    0.06774
  • SD of criterion
    0.64120
  • Covariance
    0.02626
  • r
    0.60472
  • b (slope, estimate of beta)
    5.72439
  • a (intercept, estimate of alpha)
    -0.21103
  • Mean Square Error
    0.26281
  • DF error
    129.00000
  • t(b)
    8.62379
  • p(b)
    0.13998
  • t(a)
    -0.28780
  • p(a)
    0.51612
  • Lowerbound of 95% confidence interval for beta
    4.41106
  • Upperbound of 95% confidence interval for beta
    7.03771
  • Lowerbound of 95% confidence interval for alpha
    -1.66176
  • Upperbound of 95% confidence interval for alpha
    1.23970
  • Treynor index (mean / b)
    0.12827
  • Jensen alpha (a)
    -0.21103
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51929
  • SD
    0.66573
  • Sharpe ratio (Glass type estimate)
    0.78002
  • Sharpe ratio (Hedges UMVUE)
    0.77551
  • df
    130.00000
  • t
    0.55156
  • p
    0.47584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.99486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54892
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94983
  • Upside Potential Ratio
    6.71549
  • Upside part of mean
    3.67148
  • Downside part of mean
    -3.15220
  • Upside SD
    0.37676
  • Downside SD
    0.54672
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.51929
  • SD of predictor
    0.06776
  • SD of criterion
    0.66573
  • Covariance
    0.02735
  • r
    0.60633
  • b (slope, estimate of beta)
    5.95690
  • a (intercept, estimate of alpha)
    -0.45044
  • Mean Square Error
    0.28244
  • DF error
    129.00000
  • t(b)
    8.65999
  • p(b)
    0.13917
  • t(a)
    -0.59278
  • p(a)
    0.53317
  • Lowerbound of 95% confidence interval for beta
    4.59594
  • Upperbound of 95% confidence interval for beta
    7.31785
  • Lowerbound of 95% confidence interval for alpha
    -1.95388
  • Upperbound of 95% confidence interval for alpha
    1.05300
  • Treynor index (mean / b)
    0.08717
  • Jensen alpha (a)
    -0.45044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06356
  • Expected Shortfall on VaR
    0.07941
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02257
  • Expected Shortfall on VaR
    0.05064
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.83065
  • Quartile 1
    0.99274
  • Median
    1.00550
  • Quartile 3
    1.02362
  • Maximum
    1.09107
  • Mean of quarter 1
    0.95554
  • Mean of quarter 2
    1.00013
  • Mean of quarter 3
    1.01414
  • Mean of quarter 4
    1.04216
  • Inter Quartile Range
    0.03088
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.88705
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.07924
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42313
  • VaR(95%) (moments method)
    0.03182
  • Expected Shortfall (moments method)
    0.06832
  • Extreme Value Index (regression method)
    -0.11678
  • VaR(95%) (regression method)
    0.04172
  • Expected Shortfall (regression method)
    0.05902
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01899
  • Quartile 1
    0.06280
  • Median
    0.10662
  • Quartile 3
    0.31248
  • Maximum
    0.51834
  • Mean of quarter 1
    0.01899
  • Mean of quarter 2
    0.10662
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.51834
  • Inter Quartile Range
    0.24968
  • 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)
    0.62937
  • Compounded annual return (geometric extrapolation)
    0.72840
  • Calmar ratio (compounded annual return / max draw down)
    1.40524
  • Compounded annual return / average of 25% largest draw downs
    1.40524
  • Compounded annual return / Expected Shortfall lognormal
    9.17269

Strategy Description

We’ve been actively trading different volatility strategies since 2011. We consider this strategy to be the most well-balanced automated volatility strategy that we’ve ever come across. We believe in it and trade it ourselves (100% TOS).

Through backtested results, our strategy has produced impressive returns for the past 10 years:

2007: -17%
2008: 1564%
2009: 441%
2010: 1963%
2011: 782%
2012: 636%
2013: 112%
2014: 38%
2015: -2%
2016: 268%

Of course, with such massive returns, there are risks. That’s why we would never suggest anyone follow it without at least a 5 year time horizon. There will certainly be plenty of losses along the way. If you can’t handle the losses, then this strategy is not for you. We appreciate that 5 years is a long time horizon, particularly within the world of C2 where people want instant returns. However, to compensate for the long time horizon, we’ve made our strategy extremely affordable so that anyone can afford it over the long term.

Historically, the strategy trades on average less than 2 times per month. With so few trades in comparison to other strategies, you don't necessarily need to be on auto-trade in order to keep up with our strategy.

C2 currently mentions that you need $25,000 minimum capital to trade our system. However, that is not accurate and you can trade with significantly less than that as long as you scale appropriately.

Summary Statistics

Strategy began
2016-03-23
Minimum Capital Required
$5,000
# Trades
21
# Profitable
12
% Profitable
57.1%
Correlation S&P500
0.388
Sharpe Ratio
2.118

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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