This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (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
1,388
# trading signals executed in manager's Interactive Brokers (Direct Connection) account
1,181
Percent signals followed since 07/19/2016
85.1%
This information was last updated
7/16/18 13:54 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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
underor overcompensated 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)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (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  1,388 
# trading signals executed in manager's Interactive Brokers (Direct Connection) account  1,181 
Percent signals followed since 07/19/2016  85.1% 
This information was last updated  7/16/18 13:54 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 underor overcompensated 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.
Subscription terms. Subscriptions to this system cost $120.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2016  +28.4%  +14.8%  +19.6%  +5.1%  +7.3%  (4.2%)  (9.2%)  +9.3%  +88.9%  
2017  +24.8%  +1.0%  +16.4%  (0.1%)  +3.6%  (2%)  +10.6%  (14.7%)  +14.0%  +9.2%  (3%)  +3.2%  +75.0% 
2018  (8.5%)  +26.4%  (4.6%)  +2.6%  +0.9%  (0.9%)  +4.2%  +18.1% 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $22,709  
Buy Power  $30,685  
Cash  $1  
Equity  $1  
Cumulative $  $74,264  
Total System Equity  $96,973  
Margined  $1  
Open P/L  $2,965  
Data has been delayed by 48 hours for nonsubscribers 
System developer has asked us to delay this information by 48 hours.
Trading Record
Statistics

Strategy began5/18/2016

Suggested Minimum Cap$90,000

Strategy Age (days)788.87

Age26 months ago

What it tradesStocks, Options

# Trades387

# Profitable146

% Profitable37.70%

Avg trade duration12.3 days

Max peaktovalley drawdown31.15%

drawdown periodJune 08, 2016  June 16, 2016

Annual Return (Compounded)87.4%

Avg win$920.93

Avg loss$260.90
 Model Account Values (Raw)

Cash$159,373

Margin Used$132,490

Buying Power$30,685
 Ratios

W:L ratio2.14:1

Sharpe Ratio1.936

Sortino Ratio3.188

Calmar Ratio3.489
 CORRELATION STATISTICS

Correlation to SP5000.40400
 Return Statistics

Ann Return (w trading costs)87.4%

Ann Return (Compnd, No Fees)95.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss36.00%

Chance of 20% account loss10.50%

Chance of 30% account loss1.00%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)909

Popularity (Last 6 weeks)975

C2 Score98.6
 TradesOwnSystem Certification

Trades Own System?184126

TOS percent100%
 Subscription Price

Billing Period (days)30

Trial Days15
 Win / Loss

Avg Loss$261

Avg Win$939

# Winners146

# Losers241

% Winners37.7%
 Frequency

Avg Position Time (mins)17782.00

Avg Position Time (hrs)296.37

Avg Trade Length12.3 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.75588

SD0.42607

Sharpe ratio (Glass type estimate)1.77407

Sharpe ratio (Hedges UMVUE)1.71794

df24.00000

t2.56065

p0.00858

Lowerbound of 95% confidence interval for Sharpe Ratio0.31109

Upperbound of 95% confidence interval for Sharpe Ratio3.20458

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.27569

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.16020
 Statistics related to Sortino ratio

Sortino ratio3.89166

Upside Potential Ratio5.09224

Upside part of mean0.98907

Downside part of mean0.23319

Upside SD0.42914

Downside SD0.19423

N nonnegative terms19.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations25.00000

Mean of predictor0.11181

Mean of criterion0.75588

SD of predictor0.07881

SD of criterion0.42607

Covariance0.00124

r0.03707

b (slope, estimate of beta)0.20043

a (intercept, estimate of alpha)0.77829

Mean Square Error0.18917

DF error23.00000

t(b)0.17792

p(b)0.56983

t(a)2.38302

p(a)0.01291

Lowerbound of 95% confidence interval for beta2.53090

Upperbound of 95% confidence interval for beta2.13003

Lowerbound of 95% confidence interval for alpha0.10267

Upperbound of 95% confidence interval for alpha1.45391

Treynor index (mean / b)3.77122

Jensen alpha (a)0.77829
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.65400

SD0.40350

Sharpe ratio (Glass type estimate)1.62081

Sharpe ratio (Hedges UMVUE)1.56954

df24.00000

t2.33944

p0.01398

Lowerbound of 95% confidence interval for Sharpe Ratio0.17323

Upperbound of 95% confidence interval for Sharpe Ratio3.03815

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.14089

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.99819
 Statistics related to Sortino ratio

Sortino ratio3.04917

Upside Potential Ratio4.23405

Upside part of mean0.90814

Downside part of mean0.25414

Upside SD0.38202

Downside SD0.21449

N nonnegative terms19.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations25.00000

Mean of predictor0.10810

Mean of criterion0.65400

SD of predictor0.07826

SD of criterion0.40350

Covariance0.00126

r0.03992

b (slope, estimate of beta)0.20585

a (intercept, estimate of alpha)0.67625

Mean Square Error0.16962

DF error23.00000

t(b)0.19162

p(b)0.57514

t(a)2.19516

p(a)0.01925

Lowerbound of 95% confidence interval for beta2.42810

Upperbound of 95% confidence interval for beta2.01641

Lowerbound of 95% confidence interval for alpha0.03897

Upperbound of 95% confidence interval for alpha1.31353

Treynor index (mean / b)3.17716

Jensen alpha (a)0.67625
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.12811

Expected Shortfall on VaR0.16877
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02477

Expected Shortfall on VaR0.06302
 ORDER STATISTICS
 Quartiles of return rates

Number of observations25.00000

Minimum0.78749

Quartile 11.01024

Median1.06930

Quartile 31.13039

Maximum1.41062

Mean of quarter 10.93406

Mean of quarter 21.03635

Mean of quarter 31.09968

Mean of quarter 41.21306

Inter Quartile Range0.12015

Number outliers low1.00000

Percentage of outliers low0.04000

Mean of outliers low0.78749

Number of outliers high1.00000

Percentage of outliers high0.04000

Mean of outliers high1.41062
 Risk estimates for a oneperiod 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)0.57881

VaR(95%) (regression method)0.16206

Expected Shortfall (regression method)0.21248
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.03207

Quartile 10.05970

Median0.11419

Quartile 30.17272

Maximum0.21251

Mean of quarter 10.03207

Mean of quarter 20.06891

Mean of quarter 30.15946

Mean of quarter 40.21251

Inter Quartile Range0.11302

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.50709

Compounded annual return (geometric extrapolation)0.97765

Calmar ratio (compounded annual return / max draw down)4.60049

Compounded annual return / average of 25% largest draw downs4.60049

Compounded annual return / Expected Shortfall lognormal5.79276

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.72349

SD0.37322

Sharpe ratio (Glass type estimate)1.93849

Sharpe ratio (Hedges UMVUE)1.93588

df556.00000

t2.82645

p0.00244

Lowerbound of 95% confidence interval for Sharpe Ratio0.58859

Upperbound of 95% confidence interval for Sharpe Ratio3.28668

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.58685

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.28490
 Statistics related to Sortino ratio

Sortino ratio3.18777

Upside Potential Ratio9.53967

Upside part of mean2.16511

Downside part of mean1.44162

Upside SD0.29922

Downside SD0.22696

N nonnegative terms319.00000

N negative terms238.00000
 Statistics related to linear regression on benchmark

N of observations557.00000

Mean of predictor0.12553

Mean of criterion0.72349

SD of predictor0.10957

SD of criterion0.37322

Covariance0.01618

r0.39574

b (slope, estimate of beta)1.34804

a (intercept, estimate of alpha)0.55400

Mean Square Error0.11769

DF error555.00000

t(b)10.15180

p(b)0.00000

t(a)2.34986

p(a)0.00956

Lowerbound of 95% confidence interval for beta1.08721

Upperbound of 95% confidence interval for beta1.60887

Lowerbound of 95% confidence interval for alpha0.09096

Upperbound of 95% confidence interval for alpha1.01759

Treynor index (mean / b)0.53670

Jensen alpha (a)0.55427
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.65442

SD0.36784

Sharpe ratio (Glass type estimate)1.77908

Sharpe ratio (Hedges UMVUE)1.77667

df556.00000

t2.59401

p0.00487

Lowerbound of 95% confidence interval for Sharpe Ratio0.43005

Upperbound of 95% confidence interval for Sharpe Ratio3.12656

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.42840

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.12495
 Statistics related to Sortino ratio

Sortino ratio2.79562

Upside Potential Ratio9.06806

Upside part of mean2.12271

Downside part of mean1.46829

Upside SD0.28619

Downside SD0.23409

N nonnegative terms319.00000

N negative terms238.00000
 Statistics related to linear regression on benchmark

N of observations557.00000

Mean of predictor0.11947

Mean of criterion0.65442

SD of predictor0.10995

SD of criterion0.36784

Covariance0.01602

r0.39620

b (slope, estimate of beta)1.32544

a (intercept, estimate of alpha)0.49607

Mean Square Error0.11427

DF error555.00000

t(b)10.16560

p(b)0.00000

t(a)2.13487

p(a)0.01660

Lowerbound of 95% confidence interval for beta1.06933

Upperbound of 95% confidence interval for beta1.58155

Lowerbound of 95% confidence interval for alpha0.03965

Upperbound of 95% confidence interval for alpha0.95250

Treynor index (mean / b)0.49374

Jensen alpha (a)0.49607
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03428

Expected Shortfall on VaR0.04337
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01117

Expected Shortfall on VaR0.02440
 ORDER STATISTICS
 Quartiles of return rates

Number of observations557.00000

Minimum0.87508

Quartile 10.99542

Median1.00171

Quartile 31.01052

Maximum1.21844

Mean of quarter 10.97949

Mean of quarter 20.99905

Mean of quarter 31.00571

Mean of quarter 41.02739

Inter Quartile Range0.01510

Number outliers low30.00000

Percentage of outliers low0.05386

Mean of outliers low0.95045

Number of outliers high28.00000

Percentage of outliers high0.05027

Mean of outliers high1.06008
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.40708

VaR(95%) (moments method)0.01708

Expected Shortfall (moments method)0.03495

Extreme Value Index (regression method)0.30633

VaR(95%) (regression method)0.01695

Expected Shortfall (regression method)0.03095
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations30.00000

Minimum0.00104

Quartile 10.01251

Median0.04095

Quartile 30.08131

Maximum0.28043

Mean of quarter 10.00592

Mean of quarter 20.02051

Mean of quarter 30.05976

Mean of quarter 40.16010

Inter Quartile Range0.06880

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.10000

Mean of outliers high0.24797
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.14843

VaR(95%) (moments method)0.17269

Expected Shortfall (moments method)0.24939

Extreme Value Index (regression method)0.37451

VaR(95%) (regression method)0.18788

Expected Shortfall (regression method)0.22161
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.53609

Compounded annual return (geometric extrapolation)0.97847

Calmar ratio (compounded annual return / max draw down)3.48923

Compounded annual return / average of 25% largest draw downs6.11168

Compounded annual return / Expected Shortfall lognormal22.55910

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

Mean0.30091

SD0.34678

Sharpe ratio (Glass type estimate)0.86774

Sharpe ratio (Hedges UMVUE)0.86272

df130.00000

t0.61358

p0.47313

Lowerbound of 95% confidence interval for Sharpe Ratio1.90764

Upperbound of 95% confidence interval for Sharpe Ratio3.63998

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.91107

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.63651
 Statistics related to Sortino ratio

Sortino ratio2.48379

Upside Potential Ratio9.40280

Upside part of mean1.13915

Downside part of mean0.83824

Upside SD0.32404

Downside SD0.12115

N nonnegative terms56.00000

N negative terms75.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00381

Mean of criterion0.30091

SD of predictor0.16441

SD of criterion0.34678

Covariance0.01070

r0.18766

b (slope, estimate of beta)0.39582

a (intercept, estimate of alpha)0.30242

Mean Square Error0.11692

DF error129.00000

t(b)2.16993

p(b)0.38124

t(a)0.62539

p(a)0.46502

Lowerbound of 95% confidence interval for beta0.03491

Upperbound of 95% confidence interval for beta0.75672

Lowerbound of 95% confidence interval for alpha0.65433

Upperbound of 95% confidence interval for alpha1.25917

Treynor index (mean / b)0.76023

Jensen alpha (a)0.30242
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.24696

SD0.32105

Sharpe ratio (Glass type estimate)0.76921

Sharpe ratio (Hedges UMVUE)0.76476

df130.00000

t0.54391

p0.47618

Lowerbound of 95% confidence interval for Sharpe Ratio2.00563

Upperbound of 95% confidence interval for Sharpe Ratio3.54114

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.00860

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.53813
 Statistics related to Sortino ratio

Sortino ratio2.01235

Upside Potential Ratio8.90295

Upside part of mean1.09257

Downside part of mean0.84562

Upside SD0.29574

Downside SD0.12272

N nonnegative terms56.00000

N negative terms75.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01731

Mean of criterion0.24696

SD of predictor0.16524

SD of criterion0.32105

Covariance0.00996

r0.18780

b (slope, estimate of beta)0.36489

a (intercept, estimate of alpha)0.25327

Mean Square Error0.10021

DF error129.00000

t(b)2.17162

p(b)0.38115

t(a)0.56573

p(a)0.46834

Lowerbound of 95% confidence interval for beta0.03245

Upperbound of 95% confidence interval for beta0.69732

Lowerbound of 95% confidence interval for alpha0.63250

Upperbound of 95% confidence interval for alpha1.13904

Treynor index (mean / b)0.67680

Jensen alpha (a)0.25327
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03119

Expected Shortfall on VaR0.03916
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00795

Expected Shortfall on VaR0.01619
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95842

Quartile 10.99709

Median0.99998

Quartile 31.00354

Maximum1.21844

Mean of quarter 10.98852

Mean of quarter 20.99901

Mean of quarter 31.00110

Mean of quarter 41.01639

Inter Quartile Range0.00645

Number outliers low10.00000

Percentage of outliers low0.07634

Mean of outliers low0.97666

Number of outliers high8.00000

Percentage of outliers high0.06107

Mean of outliers high1.04588
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.53586

VaR(95%) (moments method)0.01112

Expected Shortfall (moments method)0.02748

Extreme Value Index (regression method)0.36220

VaR(95%) (regression method)0.01053

Expected Shortfall (regression method)0.02022
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.01589

Quartile 10.04178

Median0.05605

Quartile 30.07218

Maximum0.10361

Mean of quarter 10.01589

Mean of quarter 20.05040

Mean of quarter 30.06170

Mean of quarter 40.10361

Inter Quartile Range0.03041

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.29464

Compounded annual return (geometric extrapolation)0.31635

Calmar ratio (compounded annual return / max draw down)3.05314

Compounded annual return / average of 25% largest draw downs3.05314

Compounded annual return / Expected Shortfall lognormal8.07914
Strategy Description
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 backtested 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" backtesting 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 multifactor model which always uses out of sample backtesting to determine effectiveness.
 Volatility Options are always used to protect against significant shortterm 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. Suggested minimum capital: $17,000 (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. Suggested minimum capital: $26,000 (using 20% scaling).
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.