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SVXY Timer
(105834580)

Created by: C_J_ C_J_
Started: 09/2016
Stocks
Last trade: 49 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 $29.00 per month.

-23.6%
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.

(84.3%)
Max Drawdown
52
Num Trades
67.3%
Win Trades
0.9 : 1
Profit Factor
65.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +23.1%(1.5%)+15.3%(3.5%)+35.0%
2017+20.6%+22.2%+26.3%(21.8%)(6.9%)+4.7%+7.5%(13.7%)+19.1%+14.7%+4.8%+6.4%+100.7%
2018+5.2%(80.9%)(1.3%)+8.8%(2.1%)+5.1%+4.1%+1.3%+3.9%(14.2%)            (79.1%)

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 100 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/27/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 440 14.03 8/31 9:30 14.00 5.86%
Trade id #119155524
Max drawdown($426)
Time8/15/18 10:57
Quant open440
Worst price13.06
Drawdown as % of equity-5.86%
($22)
Includes Typical Broker Commissions trade costs of $8.80
6/26/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 450 12.86 7/13 9:30 13.64 4.51%
Trade id #118649492
Max drawdown($306)
Time6/28/18 10:38
Quant open450
Worst price12.18
Drawdown as % of equity-4.51%
$342
Includes Typical Broker Commissions trade costs of $9.00
5/22/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 420 13.56 6/7 9:30 13.86 7.15%
Trade id #118040428
Max drawdown($462)
Time5/29/18 15:21
Quant open420
Worst price12.46
Drawdown as % of equity-7.15%
$118
Includes Typical Broker Commissions trade costs of $8.40
5/15/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 440 13.23 5/16 9:30 13.10 2.15%
Trade id #117936694
Max drawdown($145)
Time5/15/18 15:25
Quant open440
Worst price12.90
Drawdown as % of equity-2.15%
($66)
Includes Typical Broker Commissions trade costs of $8.80
4/25/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 430 11.96 5/10 9:30 12.90 1.46%
Trade id #117655225
Max drawdown($94)
Time4/25/18 9:46
Quant open430
Worst price11.74
Drawdown as % of equity-1.46%
$395
Includes Typical Broker Commissions trade costs of $8.60
4/12/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 425 11.51 4/19 9:30 12.35 0%
Trade id #117480821
Max drawdown$0
Time4/12/18 9:32
Quant open425
Worst price11.51
Drawdown as % of equity0.00%
$349
Includes Typical Broker Commissions trade costs of $8.50
3/16/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 430 12.85 3/26 9:30 11.82 10.35%
Trade id #117090670
Max drawdown($632)
Time3/23/18 15:53
Quant open430
Worst price11.38
Drawdown as % of equity-10.35%
($452)
Includes Typical Broker Commissions trade costs of $8.60
3/7/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 425 12.09 3/12 9:30 13.07 0.27%
Trade id #116903282
Max drawdown($17)
Time3/7/18 12:11
Quant open425
Worst price12.05
Drawdown as % of equity-0.27%
$409
Includes Typical Broker Commissions trade costs of $8.50
2/22/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 12.33 2/27 9:30 13.47 2.71%
Trade id #116663402
Max drawdown($151)
Time2/22/18 15:04
Quant open400
Worst price11.95
Drawdown as % of equity-2.71%
$448
Includes Typical Broker Commissions trade costs of $8.00
1/30/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 220 115.11 2/14 9:30 11.37 428.78%
Trade id #116172330
Max drawdown($23,227)
Time2/9/18 13:41
Quant open220
Worst price9.53
Drawdown as % of equity-428.78%
($22,825)
Includes Typical Broker Commissions trade costs of $4.40
1/10/18 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 180 141.26 1/12 9:30 145.63 1.28%
Trade id #115797568
Max drawdown($353)
Time1/10/18 9:54
Quant open180
Worst price139.30
Drawdown as % of equity-1.28%
$781
Includes Typical Broker Commissions trade costs of $3.60
12/26/17 9:32 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 200 128.19 12/29 9:30 130.94 2.09%
Trade id #115516516
Max drawdown($582)
Time12/29/17 9:28
Quant open-200
Worst price131.10
Drawdown as % of equity-2.09%
($555)
Includes Typical Broker Commissions trade costs of $4.00
12/21/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 129.57 12/26 9:32 128.22 1.24%
Trade id #115460863
Max drawdown($353)
Time12/26/17 8:21
Quant open200
Worst price127.80
Drawdown as % of equity-1.24%
($274)
Includes Typical Broker Commissions trade costs of $4.00
12/6/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 210 109.95 12/13 9:30 123.24 0.56%
Trade id #115217067
Max drawdown($146)
Time12/6/17 12:31
Quant open210
Worst price109.25
Drawdown as % of equity-0.56%
$2,787
Includes Typical Broker Commissions trade costs of $4.20
11/30/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 210 120.06 12/5 9:30 116.42 13.94%
Trade id #115116815
Max drawdown($3,620)
Time12/1/17 11:34
Quant open210
Worst price102.82
Drawdown as % of equity-13.94%
($767)
Includes Typical Broker Commissions trade costs of $4.20
10/25/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 205 102.48 11/29 9:30 115.40 4.24%
Trade id #114514809
Max drawdown($1,019)
Time11/15/17 9:41
Quant open205
Worst price97.51
Drawdown as % of equity-4.24%
$2,644
Includes Typical Broker Commissions trade costs of $4.10
10/12/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 100.90 10/23 9:30 108.80 1.2%
Trade id #114177383
Max drawdown($278)
Time10/19/17 4:04
Quant open200
Worst price99.51
Drawdown as % of equity-1.20%
$1,577
Includes Typical Broker Commissions trade costs of $4.00
9/8/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 205 80.78 10/3 9:30 100.38 2.02%
Trade id #113598350
Max drawdown($364)
Time9/8/17 16:01
Quant open205
Worst price79.00
Drawdown as % of equity-2.02%
$4,015
Includes Typical Broker Commissions trade costs of $4.10
8/1/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 205 95.58 8/31 9:30 82.01 30.47%
Trade id #112915649
Max drawdown($5,058)
Time8/17/17 16:04
Quant open205
Worst price70.90
Drawdown as % of equity-30.47%
($2,785)
Includes Typical Broker Commissions trade costs of $4.10
7/20/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V SHORT 210 93.33 7/21 9:30 93.03 0.55%
Trade id #112696679
Max drawdown($114)
Time7/21/17 5:04
Quant open-210
Worst price93.87
Drawdown as % of equity-0.55%
$58
Includes Typical Broker Commissions trade costs of $4.20
7/7/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 225 79.89 7/12 9:30 84.83 0.91%
Trade id #112464385
Max drawdown($180)
Time7/7/17 9:35
Quant open225
Worst price79.09
Drawdown as % of equity-0.91%
$1,108
Includes Typical Broker Commissions trade costs of $4.50
5/23/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 215 77.36 7/3 9:30 84.87 4.12%
Trade id #111726933
Max drawdown($788)
Time6/29/17 13:30
Quant open215
Worst price73.69
Drawdown as % of equity-4.12%
$1,611
Includes Typical Broker Commissions trade costs of $4.30
5/11/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 78.63 5/18 9:30 67.98 17.81%
Trade id #111541840
Max drawdown($3,241)
Time5/18/17 6:01
Quant open250
Worst price65.67
Drawdown as % of equity-17.81%
($2,668)
Includes Typical Broker Commissions trade costs of $5.00
4/25/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 74.52 5/8 9:30 78.79 1.78%
Trade id #111245531
Max drawdown($353)
Time4/26/17 11:51
Quant open250
Worst price73.11
Drawdown as % of equity-1.78%
$1,061
Includes Typical Broker Commissions trade costs of $5.00
4/18/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 165 125.41 4/25 9:30 144.01 15.16%
Trade id #111083509
Max drawdown($3,069)
Time4/25/17 9:30
Quant open0
Worst price144.01
Drawdown as % of equity-15.16%
($3,072)
Includes Typical Broker Commissions trade costs of $3.30
4/3/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 165 141.48 4/11 9:30 126.28 10.64%
Trade id #110643960
Max drawdown($2,508)
Time4/11/17 9:30
Quant open0
Worst price126.28
Drawdown as % of equity-10.64%
($2,511)
Includes Typical Broker Commissions trade costs of $3.30
3/30/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 165 144.36 3/31 9:30 143.51 1.19%
Trade id #110545326
Max drawdown($305)
Time3/30/17 11:44
Quant open165
Worst price142.51
Drawdown as % of equity-1.19%
($144)
Includes Typical Broker Commissions trade costs of $3.30
3/27/17 9:35 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 140 128.99 3/28 9:30 137.84 0.83%
Trade id #110443371
Max drawdown($200)
Time3/27/17 9:42
Quant open140
Worst price127.56
Drawdown as % of equity-0.83%
$1,235
Includes Typical Broker Commissions trade costs of $2.80
3/23/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 140 134.49 3/27 9:30 128.08 1.89%
Trade id #110398406
Max drawdown($438)
Time3/23/17 11:40
Quant open-140
Worst price137.62
Drawdown as % of equity-1.89%
$895
Includes Typical Broker Commissions trade costs of $2.80
3/22/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 140 134.90 3/23 9:30 134.50 0.87%
Trade id #110375972
Max drawdown($203)
Time3/22/17 13:14
Quant open140
Worst price133.44
Drawdown as % of equity-0.87%
($59)
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    9/12/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    770.05
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    52
  • # Profitable
    35
  • % Profitable
    67.30%
  • Avg trade duration
    11.5 days
  • Max peak-to-valley drawdown
    84.33%
  • drawdown period
    Feb 01, 2018 - Feb 08, 2018
  • Annual Return (Compounded)
    -23.6%
  • Avg win
    $978.74
  • Avg loss
    $2,211
  • Model Account Values (Raw)
  • Cash
    $1,070
  • Margin Used
    $0
  • Buying Power
    $445
  • Ratios
  • W:L ratio
    0.91:1
  • Sharpe Ratio
    0.057
  • Sortino Ratio
    0.061
  • Calmar Ratio
    -0.216
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17900
  • Return Statistics
  • Ann Return (w trading costs)
    -23.6%
  • Ann Return (Compnd, No Fees)
    -17.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    89.50%
  • Chance of 50% account loss
    66.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    713
  • C2 Score
    19.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $2,211
  • Avg Win
    $979
  • # Winners
    35
  • # Losers
    17
  • % Winners
    67.3%
  • Frequency
  • Avg Position Time (mins)
    16599.90
  • Avg Position Time (hrs)
    276.67
  • Avg Trade Length
    11.5 days
  • Last Trade Ago
    49
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23445
  • SD
    0.68039
  • Sharpe ratio (Glass type estimate)
    0.34458
  • Sharpe ratio (Hedges UMVUE)
    0.33368
  • df
    24.00000
  • t
    0.49736
  • p
    0.31173
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69486
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40758
  • Upside Potential Ratio
    1.42306
  • Upside part of mean
    0.81858
  • Downside part of mean
    -0.58413
  • Upside SD
    0.34367
  • Downside SD
    0.57523
  • N nonnegative terms
    19.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.09429
  • Mean of criterion
    0.23445
  • SD of predictor
    0.07095
  • SD of criterion
    0.68039
  • Covariance
    0.01380
  • r
    0.28590
  • b (slope, estimate of beta)
    2.74154
  • a (intercept, estimate of alpha)
    -0.02405
  • Mean Square Error
    0.44357
  • DF error
    23.00000
  • t(b)
    1.43083
  • p(b)
    0.08296
  • t(a)
    -0.04854
  • p(a)
    0.51915
  • Lowerbound of 95% confidence interval for beta
    -1.22212
  • Upperbound of 95% confidence interval for beta
    6.70520
  • Lowerbound of 95% confidence interval for alpha
    -1.04915
  • Upperbound of 95% confidence interval for alpha
    1.00104
  • Treynor index (mean / b)
    0.08552
  • Jensen alpha (a)
    -0.02405
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22075
  • SD
    1.19481
  • Sharpe ratio (Glass type estimate)
    -0.18475
  • Sharpe ratio (Hedges UMVUE)
    -0.17891
  • df
    24.00000
  • t
    -0.26667
  • p
    0.60400
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17994
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19553
  • Upside Potential Ratio
    0.67666
  • Upside part of mean
    0.76391
  • Downside part of mean
    -0.98466
  • Upside SD
    0.31627
  • Downside SD
    1.12894
  • N nonnegative terms
    19.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.09132
  • Mean of criterion
    -0.22075
  • SD of predictor
    0.07071
  • SD of criterion
    1.19481
  • Covariance
    0.02466
  • r
    0.29191
  • b (slope, estimate of beta)
    4.93265
  • a (intercept, estimate of alpha)
    -0.67118
  • Mean Square Error
    1.36270
  • DF error
    23.00000
  • t(b)
    1.46371
  • p(b)
    0.07840
  • t(a)
    -0.77563
  • p(a)
    0.77707
  • Lowerbound of 95% confidence interval for beta
    -2.03865
  • Upperbound of 95% confidence interval for beta
    11.90400
  • Lowerbound of 95% confidence interval for alpha
    -2.46125
  • Upperbound of 95% confidence interval for alpha
    1.11890
  • Treynor index (mean / b)
    -0.04475
  • Jensen alpha (a)
    -0.67118
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.44330
  • Expected Shortfall on VaR
    0.51428
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06085
  • Expected Shortfall on VaR
    0.15991
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.19956
  • Quartile 1
    1.01113
  • Median
    1.04743
  • Quartile 3
    1.09294
  • Maximum
    1.22478
  • Mean of quarter 1
    0.82974
  • Mean of quarter 2
    1.02890
  • Mean of quarter 3
    1.07655
  • Mean of quarter 4
    1.18430
  • Inter Quartile Range
    0.08181
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08000
  • Mean of outliers low
    0.53473
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    1.22383
  • 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)
    0.57600
  • VaR(95%) (regression method)
    0.13633
  • Expected Shortfall (regression method)
    0.45902
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.20367
  • Quartile 1
    0.35292
  • Median
    0.50217
  • Quartile 3
    0.65143
  • Maximum
    0.80068
  • Mean of quarter 1
    0.20367
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.80068
  • Inter Quartile Range
    0.29851
  • 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)
    -0.15881
  • Compounded annual return (geometric extrapolation)
    -0.17539
  • Calmar ratio (compounded annual return / max draw down)
    -0.21904
  • Compounded annual return / average of 25% largest draw downs
    -0.21904
  • Compounded annual return / Expected Shortfall lognormal
    -0.34103
  • 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
    0.03318
  • SD
    0.58305
  • Sharpe ratio (Glass type estimate)
    0.05691
  • Sharpe ratio (Hedges UMVUE)
    0.05683
  • df
    546.00000
  • t
    0.08223
  • p
    0.46725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41337
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29962
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41329
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06116
  • Upside Potential Ratio
    3.21908
  • Upside part of mean
    1.74649
  • Downside part of mean
    -1.71331
  • Upside SD
    0.21208
  • Downside SD
    0.54254
  • N nonnegative terms
    290.00000
  • N negative terms
    257.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    547.00000
  • Mean of predictor
    0.09483
  • Mean of criterion
    0.03318
  • SD of predictor
    0.10764
  • SD of criterion
    0.58305
  • Covariance
    0.01177
  • r
    0.18761
  • b (slope, estimate of beta)
    1.01624
  • a (intercept, estimate of alpha)
    -0.06300
  • Mean Square Error
    0.32859
  • DF error
    545.00000
  • t(b)
    4.45905
  • p(b)
    0.00001
  • t(a)
    -0.15905
  • p(a)
    0.56315
  • Lowerbound of 95% confidence interval for beta
    0.56856
  • Upperbound of 95% confidence interval for beta
    1.46392
  • Lowerbound of 95% confidence interval for alpha
    -0.84363
  • Upperbound of 95% confidence interval for alpha
    0.71725
  • Treynor index (mean / b)
    0.03265
  • Jensen alpha (a)
    -0.06319
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22244
  • SD
    0.80183
  • Sharpe ratio (Glass type estimate)
    -0.27741
  • Sharpe ratio (Hedges UMVUE)
    -0.27703
  • df
    546.00000
  • t
    -0.40083
  • p
    0.65565
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63358
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07952
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28748
  • Upside Potential Ratio
    2.22862
  • Upside part of mean
    1.72440
  • Downside part of mean
    -1.94684
  • Upside SD
    0.20798
  • Downside SD
    0.77375
  • N nonnegative terms
    290.00000
  • N negative terms
    257.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    547.00000
  • Mean of predictor
    0.08900
  • Mean of criterion
    -0.22244
  • SD of predictor
    0.10800
  • SD of criterion
    0.80183
  • Covariance
    0.00949
  • r
    0.10964
  • b (slope, estimate of beta)
    0.81395
  • a (intercept, estimate of alpha)
    -0.29488
  • Mean Square Error
    0.63638
  • DF error
    545.00000
  • t(b)
    2.57500
  • p(b)
    0.00514
  • t(a)
    -0.53341
  • p(a)
    0.70302
  • Lowerbound of 95% confidence interval for beta
    0.19303
  • Upperbound of 95% confidence interval for beta
    1.43487
  • Lowerbound of 95% confidence interval for alpha
    -1.38078
  • Upperbound of 95% confidence interval for alpha
    0.79102
  • Treynor index (mean / b)
    -0.27328
  • Jensen alpha (a)
    -0.29488
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07903
  • Expected Shortfall on VaR
    0.09775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01368
  • Expected Shortfall on VaR
    0.03286
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    547.00000
  • Minimum
    0.37600
  • Quartile 1
    0.99771
  • Median
    1.00097
  • Quartile 3
    1.00900
  • Maximum
    1.08169
  • Mean of quarter 1
    0.97432
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00491
  • Mean of quarter 4
    1.02190
  • Inter Quartile Range
    0.01128
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.08592
  • Mean of outliers low
    0.94100
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.06764
  • Mean of outliers high
    1.03919
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.80121
  • VaR(95%) (moments method)
    0.01533
  • Expected Shortfall (moments method)
    0.08776
  • Extreme Value Index (regression method)
    0.57667
  • VaR(95%) (regression method)
    0.02025
  • Expected Shortfall (regression method)
    0.06063
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00424
  • Median
    0.01373
  • Quartile 3
    0.04599
  • Maximum
    0.81668
  • Mean of quarter 1
    0.00240
  • Mean of quarter 2
    0.00958
  • Mean of quarter 3
    0.03060
  • Mean of quarter 4
    0.25312
  • Inter Quartile Range
    0.04175
  • 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
    0.12000
  • Mean of outliers high
    0.45154
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.06479
  • VaR(95%) (moments method)
    0.25710
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.30960
  • VaR(95%) (regression method)
    0.27931
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.15987
  • Compounded annual return (geometric extrapolation)
    -0.17678
  • Calmar ratio (compounded annual return / max draw down)
    -0.21646
  • Compounded annual return / average of 25% largest draw downs
    -0.69840
  • Compounded annual return / Expected Shortfall lognormal
    -1.80848
  • 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
    0.04201
  • SD
    0.16437
  • Sharpe ratio (Glass type estimate)
    0.25558
  • Sharpe ratio (Hedges UMVUE)
    0.25410
  • df
    130.00000
  • t
    0.18072
  • p
    0.49208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02708
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.51788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02608
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32702
  • Upside Potential Ratio
    7.11196
  • Upside part of mean
    0.91362
  • Downside part of mean
    -0.87161
  • Upside SD
    0.10157
  • Downside SD
    0.12846
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04113
  • Mean of criterion
    0.04201
  • SD of predictor
    0.10805
  • SD of criterion
    0.16437
  • Covariance
    0.01166
  • r
    0.65679
  • b (slope, estimate of beta)
    0.99919
  • a (intercept, estimate of alpha)
    0.00092
  • Mean Square Error
    0.01548
  • DF error
    129.00000
  • t(b)
    9.89256
  • p(b)
    0.11427
  • t(a)
    0.00521
  • p(a)
    0.49971
  • Lowerbound of 95% confidence interval for beta
    0.79935
  • Upperbound of 95% confidence interval for beta
    1.19903
  • Lowerbound of 95% confidence interval for alpha
    -0.34733
  • Upperbound of 95% confidence interval for alpha
    0.34917
  • Treynor index (mean / b)
    0.04204
  • Jensen alpha (a)
    0.00092
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02848
  • SD
    0.16548
  • Sharpe ratio (Glass type estimate)
    0.17209
  • Sharpe ratio (Hedges UMVUE)
    0.17109
  • df
    130.00000
  • t
    0.12168
  • p
    0.49466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.60004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94373
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94298
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21838
  • Upside Potential Ratio
    6.96607
  • Upside part of mean
    0.90841
  • Downside part of mean
    -0.87994
  • Upside SD
    0.10086
  • Downside SD
    0.13041
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03530
  • Mean of criterion
    0.02848
  • SD of predictor
    0.10836
  • SD of criterion
    0.16548
  • Covariance
    0.01184
  • r
    0.66054
  • b (slope, estimate of beta)
    1.00878
  • a (intercept, estimate of alpha)
    -0.00714
  • Mean Square Error
    0.01556
  • DF error
    129.00000
  • t(b)
    9.99264
  • p(b)
    0.11247
  • t(a)
    -0.04046
  • p(a)
    0.50227
  • Lowerbound of 95% confidence interval for beta
    0.80905
  • Upperbound of 95% confidence interval for beta
    1.20852
  • Lowerbound of 95% confidence interval for alpha
    -0.35619
  • Upperbound of 95% confidence interval for alpha
    0.34192
  • Treynor index (mean / b)
    0.02823
  • Jensen alpha (a)
    -0.00714
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01657
  • Expected Shortfall on VaR
    0.02075
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00811
  • Expected Shortfall on VaR
    0.01670
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95171
  • Quartile 1
    0.99686
  • Median
    1.00000
  • Quartile 3
    1.00704
  • Maximum
    1.02194
  • Mean of quarter 1
    0.98783
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00261
  • Mean of quarter 4
    1.01150
  • Inter Quartile Range
    0.01018
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96774
  • 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)
    0.24031
  • VaR(95%) (moments method)
    0.01050
  • Expected Shortfall (moments method)
    0.01750
  • Extreme Value Index (regression method)
    0.27775
  • VaR(95%) (regression method)
    0.01351
  • Expected Shortfall (regression method)
    0.02421
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00535
  • Median
    0.01059
  • Quartile 3
    0.03674
  • Maximum
    0.12849
  • Mean of quarter 1
    0.00334
  • Mean of quarter 2
    0.00770
  • Mean of quarter 3
    0.02447
  • Mean of quarter 4
    0.07570
  • Inter Quartile Range
    0.03138
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.12849
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38918
  • VaR(95%) (moments method)
    0.08985
  • Expected Shortfall (moments method)
    0.15758
  • Extreme Value Index (regression method)
    3.75427
  • VaR(95%) (regression method)
    0.18846
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05719
  • Compounded annual return (geometric extrapolation)
    0.05800
  • Calmar ratio (compounded annual return / max draw down)
    0.45143
  • Compounded annual return / average of 25% largest draw downs
    0.76619
  • Compounded annual return / Expected Shortfall lognormal
    2.79483

Strategy Description

A certified 100% Trades-Own-System strategy, SVXY Timer is a proprietary trading strategy using key variables predictive of the next-day % change in SVXY, an ETF tied to the VIX futures. This strategy will typically be either long SVXY or a comparable fund, short SVXY or a comparable fund, or in cash. We don't use leverage (i.e. the amount of our ETF allocations at any given time will not exceed NAV).

Because the system is designed to trade on signals derived from the trading algorithm, stop losses are not normally employed (back-testing shows that this takes you out of too many positions that end up being profitable). If you are not willing to experience draw-downs of 20% or more, you should consider setting your own stop loss positions although, as noted, this may hamper your long-term results.

To control downside risk without stop losses, we instead limit our exposures as noted above, and build into our model proprietary variables that are predictive of black-swan events. We also will go short volatility as well as long volatility in order to take advantage of market moves in either direction.

Important: we don't provide professional financial or investment advice specific to your situation; rather, we simply provide algorithmic (and in rare situations discretionary) trading signals for certain S&P 500 volatility (VIX) related exchange traded products based on proprietary analysis.

Summary Statistics

Strategy began
2016-09-12
Suggested Minimum Capital
$15,000
# Trades
52
# Profitable
35
% Profitable
67.3%
Correlation S&P500
0.179
Sharpe Ratio
0.057

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.