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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 07/19/2016
Most recent certification approved 7/19/16 10:11 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 1,105
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 926
Percent signals followed since 07/19/2016 83.8%
This information was last updated 12/16/17 17:40 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 07/19/2016, 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.

Smart Volatility Margin
(102427283)

Created by: DavidJuday DavidJuday
Started: 05/2016
Stocks, Options
Last trade: 2 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 $75.00 per month.

114.0%
Annual Return (Compounded)
31.0%
Max Drawdown
325
Num Trades
38.5%
Win Trades
2.2 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                            +28.4%+14.9%+19.7%+5.2%+7.3%(3.8%)(9%)+9.3%+90.8%
2017+24.6%+1.1%+16.3%  -  +3.6%(1.9%)+10.5%(14.5%)+13.9%+9.2%(2.9%)+3.9%+76.7%

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 48 hours.

Trading Record

This strategy has placed 954 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/1/17 15:08 VXX1708L45 VXX Dec8'17 45 call LONG 5 0.19 12/9 9:35 0.00 0.12%
Trade id #115151426
Max drawdown($97)
Time12/9/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.12%
($104)
Includes Typical Broker Commissions trade costs of $7.45
12/4/17 9:39 VXX1708L38 VXX Dec8'17 38 call LONG 5 0.09 12/9 9:35 0.00 0.06%
Trade id #115170745
Max drawdown($45)
Time12/9/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.06%
($52)
Includes Typical Broker Commissions trade costs of $7.45
11/28/17 11:12 VXX1708L40 VXX Dec8'17 40 call LONG 5 0.10 12/9 9:35 0.00 0.06%
Trade id #115079117
Max drawdown($50)
Time12/9/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.06%
($57)
Includes Typical Broker Commissions trade costs of $7.45
11/24/17 9:44 VXX1701L37 VXX Dec1'17 37 call LONG 10 0.09 12/2 9:35 0.00 0.12%
Trade id #115012997
Max drawdown($88)
Time12/2/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.12%
($108)
Includes Typical Broker Commissions trade costs of $19.85
11/21/17 15:48 VXX1701L39 VXX Dec1'17 39 call LONG 5 0.10 12/2 9:35 0.00 0.06%
Trade id #114969597
Max drawdown($48)
Time12/2/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.06%
($55)
Includes Typical Broker Commissions trade costs of $7.45
11/20/17 15:27 SVXY1701X80 SVXY Dec1'17 80 put LONG 5 0.32 12/2 9:35 0.00 0.21%
Trade id #114947270
Max drawdown($161)
Time12/2/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.21%
($168)
Includes Typical Broker Commissions trade costs of $7.45
11/28/17 9:45 VXX1701X30.5 VXX Dec1'17 30.5 put SHORT 5 0.10 12/2 9:35 0.00 0.04%
Trade id #115076507
Max drawdown($30)
Time11/28/17 13:29
Quant open-5
Worst price0.16
Drawdown as % of equity-0.04%
$43
Includes Typical Broker Commissions trade costs of $7.45
11/17/17 10:13 VXX1701X33 VXX Dec1'17 33 put SHORT 5 0.53 12/1 11:32 0.06 0.97%
Trade id #114914901
Max drawdown($774)
Time11/24/17 9:31
Quant open-5
Worst price2.08
Drawdown as % of equity-0.97%
$221
Includes Typical Broker Commissions trade costs of $14.90
11/16/17 9:38 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 900 109.12 12/1 11:16 112.10 0.17%
Trade id #114890859
Max drawdown($127)
Time11/17/17 4:41
Quant open200
Worst price102.70
Drawdown as % of equity-0.17%
$2,669
Includes Typical Broker Commissions trade costs of $18.00
11/16/17 9:39 VXX1724K42.5 VXX Nov24'17 42.5 call LONG 10 0.12 11/25 9:35 0.00 0.16%
Trade id #114890893
Max drawdown($125)
Time11/25/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.16%
($140)
Includes Typical Broker Commissions trade costs of $14.90
11/17/17 9:56 VXX1724K40.5 VXX Nov24'17 40.5 call LONG 5 0.14 11/25 9:35 0.00 0.09%
Trade id #114914445
Max drawdown($70)
Time11/25/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.09%
($77)
Includes Typical Broker Commissions trade costs of $7.45
11/9/17 10:58 VXX1717K47 VXX Nov17'17 47 call LONG 5 0.13 11/18 9:35 0.00 0.09%
Trade id #114770458
Max drawdown($65)
Time11/18/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.09%
($72)
Includes Typical Broker Commissions trade costs of $7.45
11/10/17 15:52 VXX1717W33 VXX Nov17'17 33 put SHORT 5 0.29 11/18 9:35 0.00 0.01%
Trade id #114802758
Max drawdown($5)
Time11/10/17 16:04
Quant open-5
Worst price0.30
Drawdown as % of equity-0.01%
$138
Includes Typical Broker Commissions trade costs of $7.45
11/14/17 15:35 VXX1717K41 VXX Nov17'17 41 call LONG 5 0.09 11/15 9:52 0.16 0.02%
Trade id #114854975
Max drawdown($15)
Time11/14/17 16:08
Quant open5
Worst price0.06
Drawdown as % of equity-0.02%
$21
Includes Typical Broker Commissions trade costs of $14.90
11/8/17 15:34 VXX1717K43 VXX Nov17'17 43 call LONG 5 0.14 11/15 9:50 0.09 0.06%
Trade id #114755351
Max drawdown($44)
Time11/14/17 14:16
Quant open5
Worst price0.05
Drawdown as % of equity-0.06%
($40)
Includes Typical Broker Commissions trade costs of $14.90
11/9/17 14:17 SVXY1717W80 SVXY Nov17'17 80 put LONG 5 0.54 11/15 9:50 0.18 0.29%
Trade id #114776664
Max drawdown($221)
Time11/14/17 10:53
Quant open5
Worst price0.10
Drawdown as % of equity-0.29%
($196)
Includes Typical Broker Commissions trade costs of $14.90
11/3/17 10:14 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 900 106.00 11/15 9:36 101.01 5.84%
Trade id #114671974
Max drawdown($4,488)
Time11/15/17 9:36
Quant open600
Worst price98.50
Drawdown as % of equity-5.84%
($4,506)
Includes Typical Broker Commissions trade costs of $18.00
11/13/17 15:24 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 400 35.10 11/15 9:31 36.09 0.52%
Trade id #114831906
Max drawdown($396)
Time11/15/17 9:31
Quant open100
Worst price36.30
Drawdown as % of equity-0.52%
($404)
Includes Typical Broker Commissions trade costs of $8.00
11/10/17 15:25 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 500 34.57 11/13 9:46 35.08 0.62%
Trade id #114802110
Max drawdown($489)
Time11/13/17 9:17
Quant open-500
Worst price35.55
Drawdown as % of equity-0.62%
($266)
Includes Typical Broker Commissions trade costs of $10.00
11/3/17 10:16 SVXY1710W80 SVXY Nov10'17 80 put LONG 5 0.17 11/11 9:35 0.00 0.11%
Trade id #114672023
Max drawdown($86)
Time11/11/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.11%
($93)
Includes Typical Broker Commissions trade costs of $7.45
11/1/17 15:37 VXX1710K48.5 VXX Nov10'17 48.5 call LONG 5 0.09 11/11 9:35 0.00 0.06%
Trade id #114637529
Max drawdown($45)
Time11/11/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.06%
($52)
Includes Typical Broker Commissions trade costs of $7.45
11/2/17 15:43 VXX1710K45.5 VXX Nov10'17 45.5 call LONG 10 0.09 11/11 9:35 0.00 0.11%
Trade id #114659870
Max drawdown($90)
Time11/11/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.11%
($105)
Includes Typical Broker Commissions trade costs of $14.90
11/3/17 15:53 VXX1710W32.5 VXX Nov10'17 32.5 put SHORT 5 0.24 11/11 9:35 0.00 0.01%
Trade id #114680672
Max drawdown($4)
Time11/3/17 15:55
Quant open-5
Worst price0.25
Drawdown as % of equity-0.01%
$113
Includes Typical Broker Commissions trade costs of $7.45
11/8/17 15:53 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 100 33.54 11/9 12:01 34.99 0.21%
Trade id #114755873
Max drawdown($171)
Time11/9/17 11:57
Quant open-100
Worst price35.25
Drawdown as % of equity-0.21%
($147)
Includes Typical Broker Commissions trade costs of $2.00
10/27/17 15:17 VXX1703W32.5 VXX Nov3'17 32.5 put SHORT 5 0.18 11/4 9:35 0.00 0.02%
Trade id #114578050
Max drawdown($14)
Time10/31/17 9:31
Quant open-5
Worst price0.21
Drawdown as % of equity-0.02%
$84
Includes Typical Broker Commissions trade costs of $7.45
10/26/17 9:40 VXX1703K51.5 VXX Nov3'17 51.5 call LONG 10 0.12 11/4 9:35 0.00 0.14%
Trade id #114538882
Max drawdown($119)
Time11/4/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.14%
($134)
Includes Typical Broker Commissions trade costs of $14.90
10/27/17 15:44 VXX1703K45 VXX Nov3'17 45 call LONG 5 0.13 11/4 9:35 0.00 0.08%
Trade id #114578935
Max drawdown($65)
Time11/4/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.08%
($72)
Includes Typical Broker Commissions trade costs of $7.45
10/27/17 15:36 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,100 34.03 11/3 10:14 33.86 0.4%
Trade id #114578706
Max drawdown($321)
Time10/30/17 12:20
Quant open-300
Worst price35.38
Drawdown as % of equity-0.40%
$172
Includes Typical Broker Commissions trade costs of $14.50
10/23/17 9:40 VXX1727J43.5 VXX Oct27'17 43.5 call LONG 5 0.06 10/25 11:30 0.20 0.02%
Trade id #114421091
Max drawdown($12)
Time10/24/17 13:44
Quant open5
Worst price0.04
Drawdown as % of equity-0.02%
$53
Includes Typical Broker Commissions trade costs of $14.90
8/25/17 15:18 TVIX VELOCITYSHARES DAILY 2X VIX SH SHORT 3,100 12.41 10/25 11:25 10.96 2.55%
Trade id #113353411
Max drawdown($1,539)
Time9/5/17 13:16
Quant open-700
Worst price18.90
Drawdown as % of equity-2.55%
$4,448
Includes Typical Broker Commissions trade costs of $62.00

Statistics

  • Strategy began
    5/18/2016
  • Starting Unit Size
    $22,709
  • Strategy Age (days)
    577.08
  • Age
    19 months ago
  • What it trades
    Stocks, Options
  • # Trades
    325
  • # Profitable
    125
  • % Profitable
    38.50%
  • Avg trade duration
    13.1 days
  • Max peak-to-valley drawdown
    31.03%
  • drawdown period
    June 08, 2016 - June 16, 2016
  • Annual Return (Compounded)
    114.0%
  • Avg win
    $868.52
  • Avg loss
    $245.81
  • Model Account Values (Raw)
  • Cash
    $67,521
  • Margin Used
    $52,839
  • Buying Power
    $19,364
  • Ratios
  • W:L ratio
    2.21:1
  • Sharpe Ratio
    2.247
  • Sortino Ratio
    3.419
  • Calmar Ratio
    4.577
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.55900
  • Return Statistics
  • Ann Return (w trading costs)
    114.0%
  • Ann Return (Compnd, No Fees)
    125.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.00%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    767
  • Popularity (Last 6 weeks)
    972
  • C2 Score
    93.9
  • Trades-Own-System Certification
  • Trades Own System?
    184126
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $246
  • Avg Win
    $869
  • # Winners
    125
  • # Losers
    200
  • % Winners
    38.5%
  • Frequency
  • Avg Position Time (mins)
    18890.90
  • Avg Position Time (hrs)
    314.85
  • Avg Trade Length
    13.1 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93710
  • SD
    0.45771
  • Sharpe ratio (Glass type estimate)
    2.04737
  • Sharpe ratio (Hedges UMVUE)
    1.95547
  • df
    17.00000
  • t
    2.50751
  • p
    0.18476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76196
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.68550
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.26735
  • Upside Potential Ratio
    5.41676
  • Upside part of mean
    1.18950
  • Downside part of mean
    -0.25241
  • Upside SD
    0.47203
  • Downside SD
    0.21960
  • 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
    0.13422
  • Mean of criterion
    0.93710
  • SD of predictor
    0.05176
  • SD of criterion
    0.45771
  • Covariance
    0.00519
  • r
    0.21921
  • b (slope, estimate of beta)
    1.93841
  • a (intercept, estimate of alpha)
    0.67692
  • Mean Square Error
    0.21189
  • DF error
    16.00000
  • t(b)
    0.89870
  • p(b)
    0.39039
  • t(a)
    1.42682
  • p(a)
    0.33201
  • Lowerbound of 95% confidence interval for beta
    -2.63404
  • Upperbound of 95% confidence interval for beta
    6.51086
  • Lowerbound of 95% confidence interval for alpha
    -0.32881
  • Upperbound of 95% confidence interval for alpha
    1.68265
  • Treynor index (mean / b)
    0.48344
  • Jensen alpha (a)
    0.67692
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81242
  • SD
    0.43678
  • Sharpe ratio (Glass type estimate)
    1.86002
  • Sharpe ratio (Hedges UMVUE)
    1.77653
  • df
    17.00000
  • t
    2.27805
  • p
    0.20459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55274
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48461
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33186
  • Upside Potential Ratio
    4.47811
  • Upside part of mean
    1.09192
  • Downside part of mean
    -0.27950
  • Upside SD
    0.41920
  • Downside SD
    0.24383
  • 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
    0.13193
  • Mean of criterion
    0.81242
  • SD of predictor
    0.05124
  • SD of criterion
    0.43678
  • Covariance
    0.00460
  • r
    0.20565
  • b (slope, estimate of beta)
    1.75295
  • a (intercept, estimate of alpha)
    0.58115
  • Mean Square Error
    0.19413
  • DF error
    16.00000
  • t(b)
    0.84057
  • p(b)
    0.39718
  • t(a)
    1.28318
  • p(a)
    0.34727
  • Lowerbound of 95% confidence interval for beta
    -2.66796
  • Upperbound of 95% confidence interval for beta
    6.17386
  • Lowerbound of 95% confidence interval for alpha
    -0.37895
  • Upperbound of 95% confidence interval for alpha
    1.54126
  • Treynor index (mean / b)
    0.46346
  • Jensen alpha (a)
    0.58115
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13038
  • Expected Shortfall on VaR
    0.17412
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01874
  • Expected Shortfall on VaR
    0.05438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.78749
  • Quartile 1
    1.03695
  • Median
    1.09214
  • Quartile 3
    1.14766
  • Maximum
    1.41062
  • Mean of quarter 1
    0.93645
  • Mean of quarter 2
    1.06797
  • Mean of quarter 3
    1.10923
  • Mean of quarter 4
    1.21131
  • Inter Quartile Range
    0.11071
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.81402
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.41062
  • 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)
    -2.59085
  • VaR(95%) (regression method)
    0.33442
  • Expected Shortfall (regression method)
    0.34736
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.15946
  • Quartile 1
    0.17272
  • Median
    0.18598
  • Quartile 3
    0.19925
  • Maximum
    0.21251
  • Mean of quarter 1
    0.15946
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21251
  • Inter Quartile Range
    0.02653
  • 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)
    1.68478
  • Compounded annual return (geometric extrapolation)
    1.31714
  • Calmar ratio (compounded annual return / max draw down)
    6.19802
  • Compounded annual return / average of 25% largest draw downs
    6.19802
  • Compounded annual return / Expected Shortfall lognormal
    7.56441
  • 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
    0.87442
  • SD
    0.38840
  • Sharpe ratio (Glass type estimate)
    2.25132
  • Sharpe ratio (Hedges UMVUE)
    2.24717
  • df
    407.00000
  • t
    2.80942
  • p
    0.00260
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.82820
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82535
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41917
  • Upside Potential Ratio
    9.96396
  • Upside part of mean
    2.54818
  • Downside part of mean
    -1.67376
  • Upside SD
    0.29665
  • Downside SD
    0.25574
  • N nonnegative terms
    252.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    408.00000
  • Mean of predictor
    0.14774
  • Mean of criterion
    0.87442
  • SD of predictor
    0.08685
  • SD of criterion
    0.38840
  • Covariance
    0.01850
  • r
    0.54836
  • b (slope, estimate of beta)
    2.45221
  • a (intercept, estimate of alpha)
    0.51200
  • Mean Square Error
    0.10575
  • DF error
    406.00000
  • t(b)
    13.21270
  • p(b)
    0.00000
  • t(a)
    1.95440
  • p(a)
    0.02567
  • Lowerbound of 95% confidence interval for beta
    2.08737
  • Upperbound of 95% confidence interval for beta
    2.81706
  • Lowerbound of 95% confidence interval for alpha
    -0.00299
  • Upperbound of 95% confidence interval for alpha
    1.02724
  • Treynor index (mean / b)
    0.35658
  • Jensen alpha (a)
    0.51212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79780
  • SD
    0.38850
  • Sharpe ratio (Glass type estimate)
    2.05356
  • Sharpe ratio (Hedges UMVUE)
    2.04978
  • df
    407.00000
  • t
    2.56264
  • p
    0.00537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62925
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62668
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02050
  • Upside Potential Ratio
    9.48592
  • Upside part of mean
    2.50552
  • Downside part of mean
    -1.70771
  • Upside SD
    0.28849
  • Downside SD
    0.26413
  • N nonnegative terms
    252.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    408.00000
  • Mean of predictor
    0.14391
  • Mean of criterion
    0.79780
  • SD of predictor
    0.08700
  • SD of criterion
    0.38850
  • Covariance
    0.01851
  • r
    0.54766
  • b (slope, estimate of beta)
    2.44550
  • a (intercept, estimate of alpha)
    0.44586
  • Mean Square Error
    0.10592
  • DF error
    406.00000
  • t(b)
    13.18880
  • p(b)
    0.00000
  • t(a)
    1.70069
  • p(a)
    0.04488
  • Lowerbound of 95% confidence interval for beta
    2.08099
  • Upperbound of 95% confidence interval for beta
    2.81000
  • Lowerbound of 95% confidence interval for alpha
    -0.06951
  • Upperbound of 95% confidence interval for alpha
    0.96123
  • Treynor index (mean / b)
    0.32623
  • Jensen alpha (a)
    0.44586
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03578
  • Expected Shortfall on VaR
    0.04536
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01202
  • Expected Shortfall on VaR
    0.02651
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    408.00000
  • Minimum
    0.87508
  • Quartile 1
    0.99348
  • Median
    1.00376
  • Quartile 3
    1.01409
  • Maximum
    1.11401
  • Mean of quarter 1
    0.97609
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.00820
  • Mean of quarter 4
    1.03014
  • Inter Quartile Range
    0.02061
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.04902
  • Mean of outliers low
    0.94163
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.03676
  • Mean of outliers high
    1.06715
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49789
  • VaR(95%) (moments method)
    0.02314
  • Expected Shortfall (moments method)
    0.05292
  • Extreme Value Index (regression method)
    0.31612
  • VaR(95%) (regression method)
    0.02042
  • Expected Shortfall (regression method)
    0.03639
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00104
  • Quartile 1
    0.01201
  • Median
    0.04095
  • Quartile 3
    0.08385
  • Maximum
    0.28043
  • Mean of quarter 1
    0.00514
  • Mean of quarter 2
    0.02116
  • Mean of quarter 3
    0.06483
  • Mean of quarter 4
    0.18165
  • Inter Quartile Range
    0.07184
  • 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
    0.12500
  • Mean of outliers high
    0.24797
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.62902
  • VaR(95%) (moments method)
    0.18923
  • Expected Shortfall (moments method)
    0.21635
  • Extreme Value Index (regression method)
    -1.08006
  • VaR(95%) (regression method)
    0.21981
  • Expected Shortfall (regression method)
    0.23533
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.68098
  • Compounded annual return (geometric extrapolation)
    1.28351
  • Calmar ratio (compounded annual return / max draw down)
    4.57696
  • Compounded annual return / average of 25% largest draw downs
    7.06595
  • Compounded annual return / Expected Shortfall lognormal
    28.29450
  • 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
    0.39514
  • SD
    0.30128
  • Sharpe ratio (Glass type estimate)
    1.31151
  • Sharpe ratio (Hedges UMVUE)
    1.30393
  • df
    130.00000
  • t
    0.92738
  • p
    0.45947
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47241
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08026
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68749
  • Upside Potential Ratio
    8.10836
  • Upside part of mean
    1.89862
  • Downside part of mean
    -1.50348
  • Upside SD
    0.18933
  • Downside SD
    0.23416
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.39514
  • SD of predictor
    0.06774
  • SD of criterion
    0.30128
  • Covariance
    0.01374
  • r
    0.67317
  • b (slope, estimate of beta)
    2.99422
  • a (intercept, estimate of alpha)
    -0.09932
  • Mean Square Error
    0.05002
  • DF error
    129.00000
  • t(b)
    10.33940
  • p(b)
    0.10648
  • t(a)
    -0.31048
  • p(a)
    0.51739
  • Lowerbound of 95% confidence interval for beta
    2.42125
  • Upperbound of 95% confidence interval for beta
    3.56719
  • Lowerbound of 95% confidence interval for alpha
    -0.73224
  • Upperbound of 95% confidence interval for alpha
    0.53360
  • Treynor index (mean / b)
    0.13197
  • Jensen alpha (a)
    -0.09932
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34907
  • SD
    0.30501
  • Sharpe ratio (Glass type estimate)
    1.14443
  • Sharpe ratio (Hedges UMVUE)
    1.13781
  • df
    130.00000
  • t
    0.80923
  • p
    0.46460
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63304
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91755
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63744
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91307
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45159
  • Upside Potential Ratio
    7.82125
  • Upside part of mean
    1.88079
  • Downside part of mean
    -1.53173
  • Upside SD
    0.18698
  • Downside SD
    0.24047
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.34907
  • SD of predictor
    0.06776
  • SD of criterion
    0.30501
  • Covariance
    0.01390
  • r
    0.67234
  • b (slope, estimate of beta)
    3.02634
  • a (intercept, estimate of alpha)
    -0.14359
  • Mean Square Error
    0.05137
  • DF error
    129.00000
  • t(b)
    10.31580
  • p(b)
    0.10687
  • t(a)
    -0.44308
  • p(a)
    0.52481
  • Lowerbound of 95% confidence interval for beta
    2.44590
  • Upperbound of 95% confidence interval for beta
    3.60678
  • Lowerbound of 95% confidence interval for alpha
    -0.78480
  • Upperbound of 95% confidence interval for alpha
    0.49761
  • Treynor index (mean / b)
    0.11534
  • Jensen alpha (a)
    -0.14359
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02923
  • Expected Shortfall on VaR
    0.03682
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01076
  • Expected Shortfall on VaR
    0.02388
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91801
  • Quartile 1
    0.99524
  • Median
    1.00485
  • Quartile 3
    1.01150
  • Maximum
    1.03954
  • Mean of quarter 1
    0.97844
  • Mean of quarter 2
    1.00016
  • Mean of quarter 3
    1.00759
  • Mean of quarter 4
    1.02044
  • Inter Quartile Range
    0.01627
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.94870
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03915
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54414
  • VaR(95%) (moments method)
    0.01949
  • Expected Shortfall (moments method)
    0.04962
  • Extreme Value Index (regression method)
    0.39569
  • VaR(95%) (regression method)
    0.01909
  • Expected Shortfall (regression method)
    0.03881
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00104
  • Quartile 1
    0.01034
  • Median
    0.02611
  • Quartile 3
    0.09111
  • Maximum
    0.19522
  • Mean of quarter 1
    0.00413
  • Mean of quarter 2
    0.01978
  • Mean of quarter 3
    0.08711
  • Mean of quarter 4
    0.14517
  • Inter Quartile Range
    0.08078
  • 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)
    0.41484
  • Compounded annual return (geometric extrapolation)
    0.45787
  • Calmar ratio (compounded annual return / max draw down)
    2.34539
  • Compounded annual return / average of 25% largest draw downs
    3.15404
  • Compounded annual return / Expected Shortfall lognormal
    12.43600

Strategy Description

I wouldn't call Volatility an asset class, but volatility products have incredible potential for significant and consistent gains...IF USED WELL!

Being short regular Volatility ETFs or long Inverse Volatility ETFs are winning strategies...MOST OF THE TIME.

The challenge is that when the VIX spikes or when the VIX futures curve is downward sloping instead of upward sloping, very significant losses can occur. Many people have built and back-tested models that attempt to move from long to short to neutral positions in the various Volatility ETFs, but almost all of them have one or both of these very significant flaws: 1) Failure to use "out of sample" back-testing and 2) Failure to protect against "black swan" events.

My strategies do the following:
- A position and weighting in the appropriate Volatility ETFs are established based on a multi-factor model which always uses out of sample back-testing to determine effectiveness.
- Volatility Options are always used to protect against significant short-term moves which left unchecked could result in the total loss of one's portfolio value; these options will usually lose money, but that is a small price to pay for the protection they provide. (Strategies should be scaled at a minimum of 20% to ensure options protection.)

Smart Volatility Margin - this is best strategy for regular brokerage accounts with margin and in which short selling is allowed. A mix of Long positions in Inverse Volatility ETPs and Short positions in Leveraged Volatility ETPs are typically held. Target return for this strategy is 70-100% per year. Suggested minimum capital: $12,000 (using 20% scaling).

Smart Volatility IRA - this is the best strategy for IRA accounts in which short selling is not allowed. Long positions in Inverse Volatility ETFs are typically held. Target return for this strategy is 50-80% per year. Suggested minimum capital: $20,000 (using 20% scaling).

Summary Statistics

Strategy began
2016-05-18
Minimum Capital Required
$22,700
# Trades
325
# Profitable
125
% Profitable
38.5%
Correlation S&P500
0.559
Sharpe Ratio
2.247

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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