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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 12/02/2016
Most recent certification approved 12/2/16 9:43 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 73
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 73
Percent signals followed since 12/02/2016 100%
This information was last updated 12/16/17 17:39 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 12/02/2016, 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.

XIV Timer
(105834580)

Created by: C_J_ C_J_
Started: 09/2016
Stocks
Last trade: 3 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $49.00 per month.

122.8%
Annual Return (Compounded)
39.9%
Max Drawdown
38
Num Trades
73.7%
Win Trades
2.4 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +22.9%(1.6%)+15.2%(3.7%)+34.2%
2017+20.5%+22.2%+26.4%(22%)(7.1%)+4.7%+7.5%(13.9%)+19.3%+14.8%+4.7%+9.7%+105.7%

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 24 hours.

Trading Record

This strategy has placed 73 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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
3/21/17 10:00 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 140 144.99 3/22 9:30 135.04 n/a $1,391
Includes Typical Broker Commissions trade costs of $2.80
3/17/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 73.32 3/21 9:30 74.88 0.81%
Trade id #110301192
Max drawdown($176)
Time3/20/17 4:13
Quant open300
Worst price72.73
Drawdown as % of equity-0.81%
$461
Includes Typical Broker Commissions trade costs of $6.00
3/16/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V SHORT 300 71.61 3/17 9:30 73.35 2.38%
Trade id #110272618
Max drawdown($520)
Time3/17/17 9:30
Quant open0
Worst price73.35
Drawdown as % of equity-2.38%
($526)
Includes Typical Broker Commissions trade costs of $6.00
3/13/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 68.77 3/16 9:30 71.69 0.89%
Trade id #110193848
Max drawdown($189)
Time3/14/17 10:32
Quant open300
Worst price68.14
Drawdown as % of equity-0.89%
$868
Includes Typical Broker Commissions trade costs of $6.00
3/3/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 65.57 3/10 9:30 68.23 0.19%
Trade id #110015698
Max drawdown($38)
Time3/3/17 10:34
Quant open300
Worst price65.44
Drawdown as % of equity-0.19%
$792
Includes Typical Broker Commissions trade costs of $6.00
2/24/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 290 61.42 3/2 9:30 64.53 0.28%
Trade id #109827776
Max drawdown($55)
Time2/24/17 9:36
Quant open290
Worst price61.23
Drawdown as % of equity-0.28%
$897
Includes Typical Broker Commissions trade costs of $5.80
2/22/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 150 126.53 2/23 10:18 124.57 1.94%
Trade id #109742169
Max drawdown($385)
Time2/23/17 10:17
Quant open150
Worst price123.96
Drawdown as % of equity-1.94%
($298)
Includes Typical Broker Commissions trade costs of $3.00
2/17/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 140 126.69 2/21 9:30 130.74 0.95%
Trade id #109632134
Max drawdown($183)
Time2/17/17 9:34
Quant open140
Worst price125.38
Drawdown as % of equity-0.95%
$564
Includes Typical Broker Commissions trade costs of $2.80
2/15/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 127 135.00 2/16 9:30 130.26 0.36%
Trade id #109557190
Max drawdown($67)
Time2/15/17 9:35
Quant open-127
Worst price135.54
Drawdown as % of equity-0.36%
$599
Includes Typical Broker Commissions trade costs of $2.54
1/27/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 61.84 2/15 9:30 69.71 6.21%
Trade id #109089951
Max drawdown($1,004)
Time1/30/17 10:57
Quant open250
Worst price57.82
Drawdown as % of equity-6.21%
$1,963
Includes Typical Broker Commissions trade costs of $5.00
1/23/17 9:51 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 175 111.60 1/24 9:30 113.53 3.02%
Trade id #108938429
Max drawdown($491)
Time1/23/17 11:51
Quant open175
Worst price108.79
Drawdown as % of equity-3.02%
$335
Includes Typical Broker Commissions trade costs of $3.50
12/12/16 15:47 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 47.30 1/19/17 9:30 56.00 1.72%
Trade id #107885506
Max drawdown($233)
Time12/30/16 15:02
Quant open250
Worst price46.36
Drawdown as % of equity-1.72%
$2,171
Includes Typical Broker Commissions trade costs of $5.00
12/12/16 10:02 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 100 26.00 1/19/17 9:30 21.16 n/a $482
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    9/12/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    459.81
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    38
  • # Profitable
    28
  • % Profitable
    73.70%
  • Avg trade duration
    10.9 days
  • Max peak-to-valley drawdown
    39.94%
  • drawdown period
    April 05, 2017 - Aug 17, 2017
  • Annual Return (Compounded)
    122.8%
  • Avg win
    $1,120
  • Avg loss
    $1,281
  • Model Account Values (Raw)
  • Cash
    $28,547
  • Margin Used
    $0
  • Buying Power
    $28,547
  • Ratios
  • W:L ratio
    2.45:1
  • Sharpe Ratio
    2.544
  • Sortino Ratio
    3.7
  • Calmar Ratio
    3.672
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.45700
  • Return Statistics
  • Ann Return (w trading costs)
    122.8%
  • Ann Return (Compnd, No Fees)
    129.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.50%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    784
  • Popularity (Last 6 weeks)
    938
  • C2 Score
    84.7
  • Trades-Own-System Certification
  • Trades Own System?
    183824
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $1,281
  • Avg Win
    $1,120
  • # Winners
    28
  • # Losers
    10
  • % Winners
    73.7%
  • Frequency
  • Avg Position Time (mins)
    15722.80
  • Avg Position Time (hrs)
    262.05
  • Avg Trade Length
    10.9 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90822
  • SD
    0.38555
  • Sharpe ratio (Glass type estimate)
    2.35565
  • Sharpe ratio (Hedges UMVUE)
    2.22677
  • df
    14.00000
  • t
    2.63370
  • p
    0.21220
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27667
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16415
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.57696
  • Upside Potential Ratio
    7.06159
  • Upside part of mean
    1.15000
  • Downside part of mean
    -0.24178
  • Upside SD
    0.42539
  • Downside SD
    0.16285
  • N nonnegative terms
    12.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.13915
  • Mean of criterion
    0.90822
  • SD of predictor
    0.05579
  • SD of criterion
    0.38555
  • Covariance
    -0.00204
  • r
    -0.09462
  • b (slope, estimate of beta)
    -0.65385
  • a (intercept, estimate of alpha)
    0.99921
  • Mean Square Error
    0.15865
  • DF error
    13.00000
  • t(b)
    -0.34269
  • p(b)
    0.56015
  • t(a)
    2.24892
  • p(a)
    0.17955
  • Lowerbound of 95% confidence interval for beta
    -4.77585
  • Upperbound of 95% confidence interval for beta
    3.46814
  • Lowerbound of 95% confidence interval for alpha
    0.03934
  • Upperbound of 95% confidence interval for alpha
    1.95907
  • Treynor index (mean / b)
    -1.38903
  • Jensen alpha (a)
    0.99921
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81127
  • SD
    0.36937
  • Sharpe ratio (Glass type estimate)
    2.19637
  • Sharpe ratio (Hedges UMVUE)
    2.07620
  • df
    14.00000
  • t
    2.45562
  • p
    0.22566
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99051
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.69657
  • Upside Potential Ratio
    6.17591
  • Upside part of mean
    1.06680
  • Downside part of mean
    -0.25554
  • Upside SD
    0.39031
  • Downside SD
    0.17274
  • N nonnegative terms
    12.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.13662
  • Mean of criterion
    0.81127
  • SD of predictor
    0.05494
  • SD of criterion
    0.36937
  • Covariance
    -0.00184
  • r
    -0.09074
  • b (slope, estimate of beta)
    -0.61002
  • a (intercept, estimate of alpha)
    0.89460
  • Mean Square Error
    0.14572
  • DF error
    13.00000
  • t(b)
    -0.32851
  • p(b)
    0.55768
  • t(a)
    2.10317
  • p(a)
    0.19338
  • Lowerbound of 95% confidence interval for beta
    -4.62170
  • Upperbound of 95% confidence interval for beta
    3.40166
  • Lowerbound of 95% confidence interval for alpha
    -0.02433
  • Upperbound of 95% confidence interval for alpha
    1.81354
  • Treynor index (mean / b)
    -1.32990
  • Jensen alpha (a)
    0.89460
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10218
  • Expected Shortfall on VaR
    0.14064
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02265
  • Expected Shortfall on VaR
    0.05713
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.86989
  • Quartile 1
    1.03733
  • Median
    1.08309
  • Quartile 3
    1.16902
  • Maximum
    1.22478
  • Mean of quarter 1
    0.93362
  • Mean of quarter 2
    1.06810
  • Mean of quarter 3
    1.11202
  • Mean of quarter 4
    1.20682
  • Inter Quartile Range
    0.13169
  • 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 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)
    -2.20298
  • VaR(95%) (regression method)
    0.18113
  • Expected Shortfall (regression method)
    0.18543
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.20367
  • Quartile 1
    0.20367
  • Median
    0.20367
  • Quartile 3
    0.20367
  • Maximum
    0.20367
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    1.48376
  • Compounded annual return (geometric extrapolation)
    1.31445
  • Calmar ratio (compounded annual return / max draw down)
    6.45391
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.34634
  • 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
    0.86687
  • SD
    0.33997
  • Sharpe ratio (Glass type estimate)
    2.54987
  • Sharpe ratio (Hedges UMVUE)
    2.54403
  • df
    328.00000
  • t
    2.85736
  • p
    0.00227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30388
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.70015
  • Upside Potential Ratio
    9.53330
  • Upside part of mean
    2.23345
  • Downside part of mean
    -1.36658
  • Upside SD
    0.25141
  • Downside SD
    0.23428
  • N nonnegative terms
    204.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    329.00000
  • Mean of predictor
    0.14582
  • Mean of criterion
    0.86687
  • SD of predictor
    0.07479
  • SD of criterion
    0.33997
  • Covariance
    0.01129
  • r
    0.44417
  • b (slope, estimate of beta)
    2.01915
  • a (intercept, estimate of alpha)
    0.57200
  • Mean Square Error
    0.09306
  • DF error
    327.00000
  • t(b)
    8.96485
  • p(b)
    -0.00000
  • t(a)
    2.08764
  • p(a)
    0.01880
  • Lowerbound of 95% confidence interval for beta
    1.57606
  • Upperbound of 95% confidence interval for beta
    2.46223
  • Lowerbound of 95% confidence interval for alpha
    0.03301
  • Upperbound of 95% confidence interval for alpha
    1.11185
  • Treynor index (mean / b)
    0.42932
  • Jensen alpha (a)
    0.57243
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80744
  • SD
    0.34192
  • Sharpe ratio (Glass type estimate)
    2.36152
  • Sharpe ratio (Hedges UMVUE)
    2.35611
  • df
    328.00000
  • t
    2.64630
  • p
    0.00427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11443
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34083
  • Upside Potential Ratio
    9.11288
  • Upside part of mean
    2.20248
  • Downside part of mean
    -1.39504
  • Upside SD
    0.24622
  • Downside SD
    0.24169
  • N nonnegative terms
    204.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    329.00000
  • Mean of predictor
    0.14298
  • Mean of criterion
    0.80744
  • SD of predictor
    0.07475
  • SD of criterion
    0.34192
  • Covariance
    0.01130
  • r
    0.44227
  • b (slope, estimate of beta)
    2.02306
  • a (intercept, estimate of alpha)
    0.51818
  • Mean Square Error
    0.09433
  • DF error
    327.00000
  • t(b)
    8.91709
  • p(b)
    -0.00000
  • t(a)
    1.87754
  • p(a)
    0.03067
  • Lowerbound of 95% confidence interval for beta
    1.57674
  • Upperbound of 95% confidence interval for beta
    2.46938
  • Lowerbound of 95% confidence interval for alpha
    -0.02476
  • Upperbound of 95% confidence interval for alpha
    1.06112
  • Treynor index (mean / b)
    0.39912
  • Jensen alpha (a)
    0.51818
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03117
  • Expected Shortfall on VaR
    0.03965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00965
  • Expected Shortfall on VaR
    0.02201
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    329.00000
  • Minimum
    0.90679
  • Quartile 1
    0.99792
  • Median
    1.00332
  • Quartile 3
    1.01122
  • Maximum
    1.08169
  • Mean of quarter 1
    0.97961
  • Mean of quarter 2
    1.00077
  • Mean of quarter 3
    1.00694
  • Mean of quarter 4
    1.02663
  • Inter Quartile Range
    0.01329
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.07903
  • Mean of outliers low
    0.95701
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.05471
  • Mean of outliers high
    1.04902
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39166
  • VaR(95%) (moments method)
    0.01077
  • Expected Shortfall (moments method)
    0.02276
  • Extreme Value Index (regression method)
    0.14214
  • VaR(95%) (regression method)
    0.01970
  • Expected Shortfall (regression method)
    0.03394
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00408
  • Median
    0.01201
  • Quartile 3
    0.04022
  • Maximum
    0.35553
  • Mean of quarter 1
    0.00209
  • Mean of quarter 2
    0.00800
  • Mean of quarter 3
    0.02452
  • Mean of quarter 4
    0.12467
  • Inter Quartile Range
    0.03614
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.26897
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79278
  • VaR(95%) (moments method)
    0.14638
  • Expected Shortfall (moments method)
    0.70458
  • Extreme Value Index (regression method)
    2.15198
  • VaR(95%) (regression method)
    0.14016
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.47700
  • Compounded annual return (geometric extrapolation)
    1.30561
  • Calmar ratio (compounded annual return / max draw down)
    3.67227
  • Compounded annual return / average of 25% largest draw downs
    10.47270
  • Compounded annual return / Expected Shortfall lognormal
    32.92690
  • 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
    0.84121
  • SD
    0.32678
  • Sharpe ratio (Glass type estimate)
    2.57421
  • Sharpe ratio (Hedges UMVUE)
    2.55933
  • df
    130.00000
  • t
    1.82024
  • p
    0.42118
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35877
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34854
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60576
  • Upside Potential Ratio
    8.85424
  • Upside part of mean
    2.06565
  • Downside part of mean
    -1.22444
  • Upside SD
    0.23291
  • Downside SD
    0.23330
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.84121
  • SD of predictor
    0.06774
  • SD of criterion
    0.32678
  • Covariance
    0.01347
  • r
    0.60872
  • b (slope, estimate of beta)
    2.93669
  • a (intercept, estimate of alpha)
    0.35625
  • Mean Square Error
    0.06774
  • DF error
    129.00000
  • t(b)
    8.71430
  • p(b)
    0.13795
  • t(a)
    0.95700
  • p(a)
    0.44661
  • Lowerbound of 95% confidence interval for beta
    2.26993
  • Upperbound of 95% confidence interval for beta
    3.60344
  • Lowerbound of 95% confidence interval for alpha
    -0.38027
  • Upperbound of 95% confidence interval for alpha
    1.09277
  • Treynor index (mean / b)
    0.28645
  • Jensen alpha (a)
    0.35625
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78633
  • SD
    0.32950
  • Sharpe ratio (Glass type estimate)
    2.38643
  • Sharpe ratio (Hedges UMVUE)
    2.37263
  • df
    130.00000
  • t
    1.68746
  • p
    0.42680
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15940
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26869
  • Upside Potential Ratio
    8.47588
  • Upside part of mean
    2.03899
  • Downside part of mean
    -1.25266
  • Upside SD
    0.22854
  • Downside SD
    0.24056
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.78633
  • SD of predictor
    0.06776
  • SD of criterion
    0.32950
  • Covariance
    0.01359
  • r
    0.60848
  • b (slope, estimate of beta)
    2.95880
  • a (intercept, estimate of alpha)
    0.30466
  • Mean Square Error
    0.06890
  • DF error
    129.00000
  • t(b)
    8.70883
  • p(b)
    0.13808
  • t(a)
    0.81174
  • p(a)
    0.45465
  • Lowerbound of 95% confidence interval for beta
    2.28660
  • Upperbound of 95% confidence interval for beta
    3.63100
  • Lowerbound of 95% confidence interval for alpha
    -0.43791
  • Upperbound of 95% confidence interval for alpha
    1.04723
  • Treynor index (mean / b)
    0.26576
  • Jensen alpha (a)
    0.30466
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03002
  • Expected Shortfall on VaR
    0.03821
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00872
  • Expected Shortfall on VaR
    0.02028
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91729
  • Quartile 1
    1.00000
  • Median
    1.00229
  • Quartile 3
    1.01175
  • Maximum
    1.06879
  • Mean of quarter 1
    0.98161
  • Mean of quarter 2
    1.00061
  • Mean of quarter 3
    1.00612
  • Mean of quarter 4
    1.02502
  • Inter Quartile Range
    0.01175
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.95373
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.04396
  • 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)
    0.11151
  • VaR(95%) (regression method)
    0.01874
  • Expected Shortfall (regression method)
    0.03388
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00327
  • Quartile 1
    0.01073
  • Median
    0.03428
  • Quartile 3
    0.05411
  • Maximum
    0.20831
  • Mean of quarter 1
    0.00633
  • Mean of quarter 2
    0.01761
  • Mean of quarter 3
    0.04746
  • Mean of quarter 4
    0.13678
  • Inter Quartile Range
    0.04338
  • 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
    0.12500
  • Mean of outliers high
    0.20831
  • 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)
    1.00496
  • Compounded annual return (geometric extrapolation)
    1.25745
  • Calmar ratio (compounded annual return / max draw down)
    6.03646
  • Compounded annual return / average of 25% largest draw downs
    9.19311
  • Compounded annual return / Expected Shortfall lognormal
    32.90810

Strategy Description

A certified 100% Trades-Own-System strategy, XIV Timer is a proprietary trading strategy using key variables predictive of the next-day % change in XIV, an ETF tied to the VIX futures. This strategy will typically be either long XIV or a comparable fund, short XIV 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
Minimum Capital Required
$5,000
# Trades
38
# Profitable
28
% Profitable
73.7%
Correlation S&P500
0.457
Sharpe Ratio
2.544

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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