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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 09/13/2016
Most recent certification approved 9/13/16 9:30 ET
Trades at broker Interactive Brokers (Stocks / Options)
Scaling percentage used 100%
# trading signals issued by system since certification 79
# trading signals executed in manager's Interactive Brokers (Stocks / Options) account 79
Percent signals followed since 09/13/2016 100%
This information was last updated 10/23/18 2:15 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 09/13/2016, 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: 19 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 $49.00 per month.

77.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(59.6%)
Max Drawdown
31
Num Trades
51.6%
Win Trades
1.6 : 1
Profit Factor
59.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              (0.2%)+10.1%+25.3%(8.6%)+12.0%+11.1%(5.9%)+5.1%+22.6%+13.4%+115.2%
2017+51.5%+6.1%+22.2%+29.8%(17%)(1.3%)+24.7%(45.9%)+30.6%+22.7%+10.4%+6.6%+165.8%
2018(30%)(3.6%)(0.3%)(2.6%)+10.6%(0.5%)+11.3%(4.9%)+4.6%(3.1%)            (22.5%)

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 79 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/1/18 15:49 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,425.200000000 26.54 10/4 15:58 27.85 5%
Trade id #120123669
Max drawdown($5,282)
Time10/4/18 14:22
Quant open-2,280
Worst price28.86
Drawdown as % of equity-5.00%
($3,176)
Includes Typical Broker Commissions trade costs of $5.75
8/17/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 3,316.320000000 29.89 9/28 15:52 27.10 1.88%
Trade id #119485137
Max drawdown($1,832)
Time9/7/18 9:39
Quant open-2,227
Worst price31.36
Drawdown as % of equity-1.88%
$9,235
Includes Typical Broker Commissions trade costs of $18.16
8/14/18 15:52 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,842.560000000 30.12 8/15 10:05 33.35 7.08%
Trade id #119439351
Max drawdown($7,234)
Time8/15/18 10:05
Quant open94
Worst price33.42
Drawdown as % of equity-7.08%
($9,168)
Includes Typical Broker Commissions trade costs of $6.18
4/26/18 14:20 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,934.520000000 42.43 8/13 15:46 31.67 n/a $20,817
Includes Typical Broker Commissions trade costs of $5.00
4/17/18 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 13,344.240000000 12.51 4/24 13:15 12.22 3.52%
Trade id #117549925
Max drawdown($3,106)
Time4/24/18 13:15
Quant open4,988
Worst price12.04
Drawdown as % of equity-3.52%
($3,944)
Includes Typical Broker Commissions trade costs of $10.00
3/26/18 15:57 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 9,451.512000000 9.19 3/27 9:36 9.29 2.2%
Trade id #117240217
Max drawdown($1,938)
Time3/27/18 6:08
Quant open7,463
Worst price8.93
Drawdown as % of equity-2.20%
$900
Includes Typical Broker Commissions trade costs of $7.50
3/8/18 10:02 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,895.040000000 42.51 3/19 15:56 43.10 4.72%
Trade id #116928932
Max drawdown($4,134)
Time3/19/18 14:43
Quant open-1,496
Worst price45.27
Drawdown as % of equity-4.72%
($1,125)
Includes Typical Broker Commissions trade costs of $7.50
2/27/18 12:04 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 7,066.920000000 12.87 2/27 15:45 12.41 3.62%
Trade id #116751829
Max drawdown($3,336)
Time2/27/18 15:27
Quant open5,580
Worst price12.27
Drawdown as % of equity-3.62%
($3,229)
Includes Typical Broker Commissions trade costs of $5.79
1/22/18 15:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,906.884000000 144.63 1/30 10:08 119.43 48.11%
Trade id #116035057
Max drawdown($53,106)
Time1/30/18 10:08
Quant open0
Worst price119.43
Drawdown as % of equity-48.11%
($48,046)
Includes Typical Broker Commissions trade costs of $5.00
12/22/17 13:44 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,746.595000000 135.73 1/16/18 15:49 139.34 4.34%
Trade id #115489234
Max drawdown($5,931)
Time12/29/17 16:07
Quant open1,931
Worst price132.66
Drawdown as % of equity-4.34%
$6,305
Includes Typical Broker Commissions trade costs of $5.00
10/30/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,912.411000000 109.49 12/8 15:47 123.41 15.4%
Trade id #114592337
Max drawdown($16,209)
Time11/15/17 9:41
Quant open2,114
Worst price101.82
Drawdown as % of equity-15.40%
$26,617
Includes Typical Broker Commissions trade costs of $5.39
8/22/17 15:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,547.616000000 82.43 10/24 15:51 108.10 n/a $39,725
Includes Typical Broker Commissions trade costs of $5.00
8/18/17 15:53 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,702.378000000 39.21 8/21 10:25 40.00 6.17%
Trade id #113236764
Max drawdown($4,146)
Time8/21/17 6:35
Quant open1,883
Worst price37.01
Drawdown as % of equity-6.17%
$1,340
Includes Typical Broker Commissions trade costs of $7.50
8/14/17 15:39 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,100.336000000 83.39 8/17 15:48 71.64 39.42%
Trade id #113137662
Max drawdown($28,269)
Time8/17/17 15:43
Quant open2,322
Worst price71.21
Drawdown as % of equity-39.42%
($24,667)
Includes Typical Broker Commissions trade costs of $5.00
7/12/17 15:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,409.859000000 85.66 8/10 15:53 78.63 19.24%
Trade id #112561140
Max drawdown($19,479)
Time8/10/17 15:50
Quant open2,663
Worst price78.35
Drawdown as % of equity-19.24%
($16,942)
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 15:59 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 9,838.416000000 10.00 7/5 10:38 10.22 7.53%
Trade id #112291819
Max drawdown($7,596)
Time7/3/17 10:13
Quant open10,876
Worst price9.30
Drawdown as % of equity-7.53%
$2,141
Includes Typical Broker Commissions trade costs of $5.00
6/8/17 15:24 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,525.930000000 81.45 6/29 15:58 82.45 21.44%
Trade id #111977265
Max drawdown($21,663)
Time6/29/17 13:30
Quant open2,793
Worst price73.69
Drawdown as % of equity-21.44%
$2,526
Includes Typical Broker Commissions trade costs of $5.00
5/22/17 15:47 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,553.566000000 77.00 6/6 15:58 78.80 2.78%
Trade id #111717754
Max drawdown($2,775)
Time5/22/17 19:11
Quant open2,823
Worst price76.02
Drawdown as % of equity-2.78%
$4,587
Includes Typical Broker Commissions trade costs of $5.00
5/18/17 15:54 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 7,469.458000000 14.82 5/19 15:54 13.12 20.4%
Trade id #111674464
Max drawdown($19,660)
Time5/19/17 11:13
Quant open8,257
Worst price12.44
Drawdown as % of equity-20.40%
($12,703)
Includes Typical Broker Commissions trade costs of $5.00
4/19/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,976.563000000 64.77 5/17 15:43 70.19 0.57%
Trade id #111133950
Max drawdown($554)
Time4/19/17 16:01
Quant open3,292
Worst price64.60
Drawdown as % of equity-0.57%
$16,119
Includes Typical Broker Commissions trade costs of $5.00
11/9/16 14:51 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,826.795000000 39.08 4/6/17 15:35 72.13 n/a $60,376
Includes Typical Broker Commissions trade costs of $5.00
10/18/16 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,759.429000000 37.95 10/27 15:59 39.35 0.31%
Trade id #106521653
Max drawdown($104)
Time10/18/16 16:15
Quant open401
Worst price37.69
Drawdown as % of equity-0.31%
$2,456
Includes Typical Broker Commissions trade costs of $5.00
9/30/16 15:44 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,832.256000000 37.89 10/12 15:58 37.09 1.7%
Trade id #106169994
Max drawdown($592)
Time10/11/16 14:21
Quant open416
Worst price36.47
Drawdown as % of equity-1.70%
($1,468)
Includes Typical Broker Commissions trade costs of $5.00
9/19/16 15:56 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,847.279000000 34.30 9/29 15:59 35.95 0.51%
Trade id #105955750
Max drawdown($163)
Time9/20/16 13:03
Quant open421
Worst price33.91
Drawdown as % of equity-0.51%
$3,052
Includes Typical Broker Commissions trade costs of $5.00
9/19/16 14:54 XIV VELOCITYSHARES DAILY INVERSE V LONG 0.227000000 34.78 9/19 14:54 34.76 n/a $0
9/19/16 14:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 0.227000000 34.79 9/19 14:53 34.78 n/a $0
9/19/16 14:52 XIV VELOCITYSHARES DAILY INVERSE V LONG 0.227000000 34.85 9/19 14:53 34.79 n/a $0
9/19/16 14:52 XIV VELOCITYSHARES DAILY INVERSE V LONG 0.227000000 34.78 9/19 14:52 34.85 n/a $0
9/13/16 15:57 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,411.183000000 24.76 9/16 9:30 23.64 2.73%
Trade id #105857524
Max drawdown($868)
Time9/15/16 15:07
Quant open321
Worst price22.06
Drawdown as % of equity-2.73%
($1,591)
Includes Typical Broker Commissions trade costs of $5.00
5/18/16 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 970.216000000 27.70 9/13 9:30 34.62 n/a $6,709
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/23/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    942.38
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    31
  • # Profitable
    16
  • % Profitable
    51.60%
  • Avg trade duration
    24.3 days
  • Max peak-to-valley drawdown
    59.64%
  • drawdown period
    May 16, 2017 - Sept 05, 2017
  • Annual Return (Compounded)
    77.7%
  • Avg win
    $12,929
  • Avg loss
    $8,399
  • Model Account Values (Raw)
  • Cash
    $103,930
  • Margin Used
    $0
  • Buying Power
    $103,930
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    1.428
  • Sortino Ratio
    1.978
  • Calmar Ratio
    1.642
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.32000
  • Return Statistics
  • Ann Return (w trading costs)
    77.7%
  • Ann Return (Compnd, No Fees)
    79.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    44.50%
  • Chance of 30% account loss
    23.00%
  • Chance of 40% account loss
    15.00%
  • Chance of 50% account loss
    5.50%
  • Popularity
  • Popularity (Today)
    375
  • Popularity (Last 6 weeks)
    847
  • C2 Score
    45.5
  • Trades-Own-System Certification
  • Trades Own System?
    184331
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $8,400
  • Avg Win
    $12,930
  • # Winners
    16
  • # Losers
    15
  • % Winners
    51.6%
  • Frequency
  • Avg Position Time (mins)
    35025.90
  • Avg Position Time (hrs)
    583.77
  • Avg Trade Length
    24.3 days
  • Last Trade Ago
    17
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90792
  • SD
    0.65526
  • Sharpe ratio (Glass type estimate)
    1.38557
  • Sharpe ratio (Hedges UMVUE)
    1.34515
  • df
    26.00000
  • t
    2.07836
  • p
    0.02384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01168
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70198
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24193
  • Upside Potential Ratio
    3.42813
  • Upside part of mean
    1.38829
  • Downside part of mean
    -0.48038
  • Upside SD
    0.56406
  • Downside SD
    0.40497
  • N nonnegative terms
    19.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.13312
  • Mean of criterion
    0.90792
  • SD of predictor
    0.06517
  • SD of criterion
    0.65526
  • Covariance
    0.00901
  • r
    0.21101
  • b (slope, estimate of beta)
    2.12160
  • a (intercept, estimate of alpha)
    0.62550
  • Mean Square Error
    0.42666
  • DF error
    25.00000
  • t(b)
    1.07936
  • p(b)
    0.14536
  • t(a)
    1.23122
  • p(a)
    0.11485
  • Lowerbound of 95% confidence interval for beta
    -1.92664
  • Upperbound of 95% confidence interval for beta
    6.16985
  • Lowerbound of 95% confidence interval for alpha
    -0.42081
  • Upperbound of 95% confidence interval for alpha
    1.67180
  • Treynor index (mean / b)
    0.42794
  • Jensen alpha (a)
    0.62550
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65552
  • SD
    0.71230
  • Sharpe ratio (Glass type estimate)
    0.92029
  • Sharpe ratio (Hedges UMVUE)
    0.89345
  • df
    26.00000
  • t
    1.38044
  • p
    0.08960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24196
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22246
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25214
  • Upside Potential Ratio
    2.38727
  • Upside part of mean
    1.24978
  • Downside part of mean
    -0.59426
  • Upside SD
    0.50031
  • Downside SD
    0.52352
  • N nonnegative terms
    19.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.13006
  • Mean of criterion
    0.65552
  • SD of predictor
    0.06489
  • SD of criterion
    0.71230
  • Covariance
    0.00889
  • r
    0.19230
  • b (slope, estimate of beta)
    2.11084
  • a (intercept, estimate of alpha)
    0.38098
  • Mean Square Error
    0.50814
  • DF error
    25.00000
  • t(b)
    0.97981
  • p(b)
    0.16828
  • t(a)
    0.69058
  • p(a)
    0.24810
  • Lowerbound of 95% confidence interval for beta
    -2.32611
  • Upperbound of 95% confidence interval for beta
    6.54779
  • Lowerbound of 95% confidence interval for alpha
    -0.75523
  • Upperbound of 95% confidence interval for alpha
    1.51719
  • Treynor index (mean / b)
    0.31055
  • Jensen alpha (a)
    0.38098
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24693
  • Expected Shortfall on VaR
    0.30698
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06082
  • Expected Shortfall on VaR
    0.14741
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.52257
  • Quartile 1
    1.00121
  • Median
    1.09998
  • Quartile 3
    1.22180
  • Maximum
    1.40737
  • Mean of quarter 1
    0.84793
  • Mean of quarter 2
    1.04226
  • Mean of quarter 3
    1.16143
  • Mean of quarter 4
    1.27225
  • Inter Quartile Range
    0.22059
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03704
  • 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)
    0.90103
  • VaR(95%) (regression method)
    0.21383
  • Expected Shortfall (regression method)
    2.75851
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.06560
  • Quartile 1
    0.13769
  • Median
    0.25484
  • Quartile 3
    0.38033
  • Maximum
    0.47743
  • Mean of quarter 1
    0.06560
  • Mean of quarter 2
    0.16172
  • Mean of quarter 3
    0.34796
  • Mean of quarter 4
    0.47743
  • Inter Quartile Range
    0.24264
  • 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)
    1.62397
  • Compounded annual return (geometric extrapolation)
    0.98066
  • Calmar ratio (compounded annual return / max draw down)
    2.05402
  • Compounded annual return / average of 25% largest draw downs
    2.05402
  • Compounded annual return / Expected Shortfall lognormal
    3.19451
  • 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
    0.77829
  • SD
    0.54438
  • Sharpe ratio (Glass type estimate)
    1.42968
  • Sharpe ratio (Hedges UMVUE)
    1.42790
  • df
    602.00000
  • t
    2.16894
  • p
    0.01524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13465
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13345
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72235
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97753
  • Upside Potential Ratio
    7.97154
  • Upside part of mean
    3.13732
  • Downside part of mean
    -2.35904
  • Upside SD
    0.37852
  • Downside SD
    0.39357
  • N nonnegative terms
    313.00000
  • N negative terms
    290.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    603.00000
  • Mean of predictor
    0.11208
  • Mean of criterion
    0.77829
  • SD of predictor
    0.11553
  • SD of criterion
    0.54438
  • Covariance
    0.02033
  • r
    0.32321
  • b (slope, estimate of beta)
    1.52291
  • a (intercept, estimate of alpha)
    0.60800
  • Mean Square Error
    0.26583
  • DF error
    601.00000
  • t(b)
    8.37288
  • p(b)
    -0.00000
  • t(a)
    1.78461
  • p(a)
    0.03741
  • Lowerbound of 95% confidence interval for beta
    1.16570
  • Upperbound of 95% confidence interval for beta
    1.88012
  • Lowerbound of 95% confidence interval for alpha
    -0.06105
  • Upperbound of 95% confidence interval for alpha
    1.27625
  • Treynor index (mean / b)
    0.51105
  • Jensen alpha (a)
    0.60760
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62652
  • SD
    0.55282
  • Sharpe ratio (Glass type estimate)
    1.13332
  • Sharpe ratio (Hedges UMVUE)
    1.13191
  • df
    602.00000
  • t
    1.71934
  • p
    0.04303
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16062
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42642
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16160
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42542
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50533
  • Upside Potential Ratio
    7.37315
  • Upside part of mean
    3.06871
  • Downside part of mean
    -2.44219
  • Upside SD
    0.36521
  • Downside SD
    0.41620
  • N nonnegative terms
    313.00000
  • N negative terms
    290.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    603.00000
  • Mean of predictor
    0.10536
  • Mean of criterion
    0.62652
  • SD of predictor
    0.11588
  • SD of criterion
    0.55282
  • Covariance
    0.02043
  • r
    0.31887
  • b (slope, estimate of beta)
    1.52119
  • a (intercept, estimate of alpha)
    0.46625
  • Mean Square Error
    0.27499
  • DF error
    601.00000
  • t(b)
    8.24770
  • p(b)
    -0.00000
  • t(a)
    1.34675
  • p(a)
    0.08928
  • Lowerbound of 95% confidence interval for beta
    1.15897
  • Upperbound of 95% confidence interval for beta
    1.88341
  • Lowerbound of 95% confidence interval for alpha
    -0.21367
  • Upperbound of 95% confidence interval for alpha
    1.14618
  • Treynor index (mean / b)
    0.41186
  • Jensen alpha (a)
    0.46625
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05236
  • Expected Shortfall on VaR
    0.06572
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01974
  • Expected Shortfall on VaR
    0.04306
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    603.00000
  • Minimum
    0.83065
  • Quartile 1
    0.99413
  • Median
    1.00148
  • Quartile 3
    1.01829
  • Maximum
    1.18536
  • Mean of quarter 1
    0.96543
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00900
  • Mean of quarter 4
    1.03902
  • Inter Quartile Range
    0.02416
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.05804
  • Mean of outliers low
    0.91492
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.04312
  • Mean of outliers high
    1.08008
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38799
  • VaR(95%) (moments method)
    0.02457
  • Expected Shortfall (moments method)
    0.05010
  • Extreme Value Index (regression method)
    0.07106
  • VaR(95%) (regression method)
    0.02817
  • Expected Shortfall (regression method)
    0.04393
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00161
  • Quartile 1
    0.00551
  • Median
    0.02898
  • Quartile 3
    0.09351
  • Maximum
    0.56259
  • Mean of quarter 1
    0.00323
  • Mean of quarter 2
    0.01578
  • Mean of quarter 3
    0.05740
  • Mean of quarter 4
    0.23966
  • Inter Quartile Range
    0.08800
  • 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
    0.09375
  • Mean of outliers high
    0.41382
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39874
  • VaR(95%) (moments method)
    0.25599
  • Expected Shortfall (moments method)
    0.48839
  • Extreme Value Index (regression method)
    0.51579
  • VaR(95%) (regression method)
    0.30483
  • Expected Shortfall (regression method)
    0.69632
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.52485
  • Compounded annual return (geometric extrapolation)
    0.92404
  • Calmar ratio (compounded annual return / max draw down)
    1.64249
  • Compounded annual return / average of 25% largest draw downs
    3.85565
  • Compounded annual return / Expected Shortfall lognormal
    14.06070
  • 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
    0.31110
  • SD
    0.25889
  • Sharpe ratio (Glass type estimate)
    1.20167
  • Sharpe ratio (Hedges UMVUE)
    1.19472
  • df
    130.00000
  • t
    0.84971
  • p
    0.46284
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97033
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67983
  • Upside Potential Ratio
    8.72249
  • Upside part of mean
    1.61540
  • Downside part of mean
    -1.30429
  • Upside SD
    0.18051
  • Downside SD
    0.18520
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11496
  • Mean of criterion
    0.31110
  • SD of predictor
    0.13210
  • SD of criterion
    0.25889
  • Covariance
    0.01166
  • r
    0.34097
  • b (slope, estimate of beta)
    0.66823
  • a (intercept, estimate of alpha)
    0.23428
  • Mean Square Error
    0.05969
  • DF error
    129.00000
  • t(b)
    4.11959
  • p(b)
    0.28721
  • t(a)
    0.67707
  • p(a)
    0.46214
  • Lowerbound of 95% confidence interval for beta
    0.34730
  • Upperbound of 95% confidence interval for beta
    0.98916
  • Lowerbound of 95% confidence interval for alpha
    -0.45033
  • Upperbound of 95% confidence interval for alpha
    0.91890
  • Treynor index (mean / b)
    0.46557
  • Jensen alpha (a)
    0.23428
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27748
  • SD
    0.25998
  • Sharpe ratio (Glass type estimate)
    1.06731
  • Sharpe ratio (Hedges UMVUE)
    1.06114
  • df
    130.00000
  • t
    0.75470
  • p
    0.46698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70946
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.84010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83595
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47051
  • Upside Potential Ratio
    8.47521
  • Upside part of mean
    1.59921
  • Downside part of mean
    -1.32173
  • Upside SD
    0.17821
  • Downside SD
    0.18869
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10621
  • Mean of criterion
    0.27748
  • SD of predictor
    0.13275
  • SD of criterion
    0.25998
  • Covariance
    0.01175
  • r
    0.34039
  • b (slope, estimate of beta)
    0.66658
  • a (intercept, estimate of alpha)
    0.20667
  • Mean Square Error
    0.06022
  • DF error
    129.00000
  • t(b)
    4.11157
  • p(b)
    0.28756
  • t(a)
    0.59480
  • p(a)
    0.46672
  • Lowerbound of 95% confidence interval for beta
    0.34582
  • Upperbound of 95% confidence interval for beta
    0.98735
  • Lowerbound of 95% confidence interval for alpha
    -0.48080
  • Upperbound of 95% confidence interval for alpha
    0.89415
  • Treynor index (mean / b)
    0.41626
  • Jensen alpha (a)
    0.20667
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02504
  • Expected Shortfall on VaR
    0.03154
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01129
  • Expected Shortfall on VaR
    0.02329
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94179
  • Quartile 1
    0.99449
  • Median
    1.00048
  • Quartile 3
    1.00982
  • Maximum
    1.03827
  • Mean of quarter 1
    0.98177
  • Mean of quarter 2
    0.99869
  • Mean of quarter 3
    1.00496
  • Mean of quarter 4
    1.01987
  • Inter Quartile Range
    0.01532
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95867
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37548
  • VaR(95%) (moments method)
    0.01736
  • Expected Shortfall (moments method)
    0.03322
  • Extreme Value Index (regression method)
    0.36483
  • VaR(95%) (regression method)
    0.01564
  • Expected Shortfall (regression method)
    0.02873
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00537
  • Median
    0.01712
  • Quartile 3
    0.04820
  • Maximum
    0.14013
  • Mean of quarter 1
    0.00276
  • Mean of quarter 2
    0.00886
  • Mean of quarter 3
    0.03209
  • Mean of quarter 4
    0.10734
  • Inter Quartile Range
    0.04283
  • 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
    0.16667
  • Mean of outliers high
    0.13064
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -53.66640
  • VaR(95%) (moments method)
    0.10797
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.66940
  • VaR(95%) (regression method)
    0.19206
  • Expected Shortfall (regression method)
    0.19370
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32993
  • Compounded annual return (geometric extrapolation)
    0.35714
  • Calmar ratio (compounded annual return / max draw down)
    2.54861
  • Compounded annual return / average of 25% largest draw downs
    3.32718
  • Compounded annual return / Expected Shortfall lognormal
    11.32180

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
Suggested Minimum Capital
$35,000
# Trades
31
# Profitable
16
% Profitable
51.6%
Correlation S&P500
0.320
Sharpe Ratio
1.428

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.