Ultron VIX Swing
(105938499)
Subscription terms. Subscriptions to this system cost $249.00 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  +429.1%  +8.9%  +34.6%  (0.9%)  +669.0%  
2017  +48.0%  +5.8%  +0.6%  (3.9%)  +3.6%  +6.6%  +4.0%  (13.4%)  +21.2%  (0.1%)  +14.4%  (0.9%)  +107.0% 
2018  (8.2%)  (20.8%)  (5.2%)  +5.4%  +5.8%  (1.2%)  +10.7%  (15.9%) 
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  $25,000  
Buy Power  $90,398  
Cash  $2,798  
Equity  $87,600  
Cumulative $  $328,518  
Total System Equity  $353,518  
Margined  $0  
Open P/L  $86,900 
Trading Record
Statistics

Strategy began9/19/2016

Suggested Minimum Cap$100,000

Strategy Age (days)665.22

Age22 months ago

What it tradesStocks

# Trades44

# Profitable31

% Profitable70.50%

Avg trade duration11.5 days

Max peaktovalley drawdown47.31%

drawdown periodOct 28, 2016  Nov 03, 2016

Annual Return (Compounded)312.8%

Avg win$19,545

Avg loss$21,393
 Model Account Values (Raw)

Cash$2,798

Margin Used$0

Buying Power$90,398
 Ratios

W:L ratio2.18:1

Sharpe Ratio1.758

Sortino Ratio5.132

Calmar Ratio8.742
 CORRELATION STATISTICS

Correlation to SP5000.28900
 Return Statistics

Ann Return (w trading costs)312.8%

Ann Return (Compnd, No Fees)323.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss57.00%

Chance of 20% account loss38.50%

Chance of 30% account loss14.50%

Chance of 40% account loss5.50%

Chance of 50% account loss0.50%
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)748

C2 Score49.3
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$21,393

Avg Win$19,470

# Winners31

# Losers13

% Winners70.5%
 Frequency

Avg Position Time (mins)16516.80

Avg Position Time (hrs)275.28

Avg Trade Length11.5 days

Last Trade Ago112
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean3.23594

SD3.54602

Sharpe ratio (Glass type estimate)0.91255

Sharpe ratio (Hedges UMVUE)0.87783

df20.00000

t1.20720

p0.36969

Lowerbound of 95% confidence interval for Sharpe Ratio0.60637

Upperbound of 95% confidence interval for Sharpe Ratio2.40962

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.62853

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.38419
 Statistics related to Sortino ratio

Sortino ratio10.87530

Upside Potential Ratio12.24740

Upside part of mean3.64420

Downside part of mean0.40827

Upside SD3.57206

Downside SD0.29755

N nonnegative terms14.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations21.00000

Mean of predictor0.11484

Mean of criterion3.23594

SD of predictor0.08335

SD of criterion3.54602

Covariance0.00020

r0.00068

b (slope, estimate of beta)0.02914

a (intercept, estimate of alpha)3.23259

Mean Square Error13.23610

DF error19.00000

t(b)0.00299

p(b)0.49956

t(a)1.08847

p(a)0.34729

Lowerbound of 95% confidence interval for beta20.39990

Upperbound of 95% confidence interval for beta20.45820

Lowerbound of 95% confidence interval for alpha2.98336

Upperbound of 95% confidence interval for alpha9.44855

Treynor index (mean / b)111.03900

Jensen alpha (a)3.23259
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.40082

SD1.39453

Sharpe ratio (Glass type estimate)1.00451

Sharpe ratio (Hedges UMVUE)0.96628

df20.00000

t1.32884

p0.35758

Lowerbound of 95% confidence interval for Sharpe Ratio0.52095

Upperbound of 95% confidence interval for Sharpe Ratio2.50611

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.54527

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.47784
 Statistics related to Sortino ratio

Sortino ratio4.07767

Upside Potential Ratio5.41910

Upside part of mean1.86165

Downside part of mean0.46083

Upside SD1.37754

Downside SD0.34353

N nonnegative terms14.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations21.00000

Mean of predictor0.11078

Mean of criterion1.40082

SD of predictor0.08281

SD of criterion1.39453

Covariance0.01897

r0.16422

b (slope, estimate of beta)2.76538

a (intercept, estimate of alpha)1.09448

Mean Square Error1.99187

DF error19.00000

t(b)0.72568

p(b)0.39593

t(a)0.95391

p(a)0.36495

Lowerbound of 95% confidence interval for beta5.21061

Upperbound of 95% confidence interval for beta10.74140

Lowerbound of 95% confidence interval for alpha1.30697

Upperbound of 95% confidence interval for alpha3.49592

Treynor index (mean / b)0.50656

Jensen alpha (a)1.09448
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.42041

Expected Shortfall on VaR0.50501
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05772

Expected Shortfall on VaR0.13135
 ORDER STATISTICS
 Quartiles of return rates

Number of observations21.00000

Minimum0.71749

Quartile 10.99201

Median1.02873

Quartile 31.12467

Maximum5.68480

Mean of quarter 10.88352

Mean of quarter 21.02089

Mean of quarter 31.09336

Mean of quarter 42.16787

Inter Quartile Range0.13266

Number outliers low2.00000

Percentage of outliers low0.09524

Mean of outliers low0.73414

Number of outliers high3.00000

Percentage of outliers high0.14286

Mean of outliers high2.80160
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.15176

VaR(95%) (moments method)0.03908

Expected Shortfall (moments method)0.04238

Extreme Value Index (regression method)0.22586

VaR(95%) (regression method)0.15279

Expected Shortfall (regression method)0.20993
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.03586

Quartile 10.14254

Median0.24921

Quartile 30.28364

Maximum0.31807

Mean of quarter 10.03586

Mean of quarter 20.24921

Mean of quarter 30.00000

Mean of quarter 40.31807

Inter Quartile Range0.14111

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)6.39194

Compounded annual return (geometric extrapolation)3.17340

Calmar ratio (compounded annual return / max draw down)9.97693

Compounded annual return / average of 25% largest draw downs9.97693

Compounded annual return / Expected Shortfall lognormal6.28380

0.00000

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

Mean1.90356

SD1.08127

Sharpe ratio (Glass type estimate)1.76048

Sharpe ratio (Hedges UMVUE)1.75765

df466.00000

t2.35039

p0.00958

Lowerbound of 95% confidence interval for Sharpe Ratio0.28721

Upperbound of 95% confidence interval for Sharpe Ratio3.23196

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.28527

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.23003
 Statistics related to Sortino ratio

Sortino ratio5.13193

Upside Potential Ratio10.18030

Upside part of mean3.77612

Downside part of mean1.87256

Upside SD1.02122

Downside SD0.37093

N nonnegative terms203.00000

N negative terms264.00000
 Statistics related to linear regression on benchmark

N of observations467.00000

Mean of predictor0.12917

Mean of criterion1.90356

SD of predictor0.10696

SD of criterion1.08127

Covariance0.03367

r0.29117

b (slope, estimate of beta)2.94348

a (intercept, estimate of alpha)1.52300

Mean Square Error1.07233

DF error465.00000

t(b)6.56308

p(b)0.00000

t(a)1.95854

p(a)0.02538

Lowerbound of 95% confidence interval for beta2.06216

Upperbound of 95% confidence interval for beta3.82480

Lowerbound of 95% confidence interval for alpha0.00509

Upperbound of 95% confidence interval for alpha3.05177

Treynor index (mean / b)0.64670

Jensen alpha (a)1.52334
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.44992

SD0.89384

Sharpe ratio (Glass type estimate)1.62212

Sharpe ratio (Hedges UMVUE)1.61951

df466.00000

t2.16566

p0.01542

Lowerbound of 95% confidence interval for Sharpe Ratio0.14957

Upperbound of 95% confidence interval for Sharpe Ratio3.09304

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.14778

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.09123
 Statistics related to Sortino ratio

Sortino ratio3.67593

Upside Potential Ratio8.61207

Upside part of mean3.39691

Downside part of mean1.94699

Upside SD0.80603

Downside SD0.39444

N nonnegative terms203.00000

N negative terms264.00000
 Statistics related to linear regression on benchmark

N of observations467.00000

Mean of predictor0.12340

Mean of criterion1.44992

SD of predictor0.10730

SD of criterion0.89384

Covariance0.03236

r0.33738

b (slope, estimate of beta)2.81040

a (intercept, estimate of alpha)1.10312

Mean Square Error0.70953

DF error465.00000

t(b)7.72845

p(b)0.00000

t(a)1.74401

p(a)0.04091

Lowerbound of 95% confidence interval for beta2.09581

Upperbound of 95% confidence interval for beta3.52499

Lowerbound of 95% confidence interval for alpha0.13983

Upperbound of 95% confidence interval for alpha2.34607

Treynor index (mean / b)0.51591

Jensen alpha (a)1.10312
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08176

Expected Shortfall on VaR0.10252
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01731

Expected Shortfall on VaR0.03840
 ORDER STATISTICS
 Quartiles of return rates

Number of observations467.00000

Minimum0.79924

Quartile 10.99971

Median1.00000

Quartile 31.01089

Maximum1.85540

Mean of quarter 10.97172

Mean of quarter 20.99999

Mean of quarter 31.00347

Mean of quarter 41.05427

Inter Quartile Range0.01118

Number outliers low52.00000

Percentage of outliers low0.11135

Mean of outliers low0.94423

Number of outliers high54.00000

Percentage of outliers high0.11563

Mean of outliers high1.09829
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.84000

VaR(95%) (moments method)0.00890

Expected Shortfall (moments method)0.06668

Extreme Value Index (regression method)0.20756

VaR(95%) (regression method)0.02554

Expected Shortfall (regression method)0.04893
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations19.00000

Minimum0.00038

Quartile 10.00954

Median0.01766

Quartile 30.11129

Maximum0.38701

Mean of quarter 10.00409

Mean of quarter 20.01359

Mean of quarter 30.06645

Mean of quarter 40.26287

Inter Quartile Range0.10174

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.15790

Mean of outliers high0.35348
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.20544

VaR(95%) (moments method)0.27150

Expected Shortfall (moments method)0.34394

Extreme Value Index (regression method)2.34127

VaR(95%) (regression method)0.22466

Expected Shortfall (regression method)0.22631
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)7.25485

Compounded annual return (geometric extrapolation)3.38341

Calmar ratio (compounded annual return / max draw down)8.74243

Compounded annual return / average of 25% largest draw downs12.87120

Compounded annual return / Expected Shortfall lognormal33.00250

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

Mean0.22759

SD0.50616

Sharpe ratio (Glass type estimate)0.44964

Sharpe ratio (Hedges UMVUE)0.44704

df130.00000

t0.31794

p0.51394

Lowerbound of 95% confidence interval for Sharpe Ratio3.22114

Upperbound of 95% confidence interval for Sharpe Ratio2.32355

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.21938

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.32530
 Statistics related to Sortino ratio

Sortino ratio0.56418

Upside Potential Ratio7.10417

Upside part of mean2.86581

Downside part of mean3.09339

Upside SD0.30283

Downside SD0.40340

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.04166

Mean of criterion0.22759

SD of predictor0.16492

SD of criterion0.50616

Covariance0.05389

r0.64561

b (slope, estimate of beta)1.98151

a (intercept, estimate of alpha)0.31014

Mean Square Error0.15057

DF error129.00000

t(b)9.60203

p(b)0.11967

t(a)0.56511

p(a)0.53162

Lowerbound of 95% confidence interval for beta1.57321

Upperbound of 95% confidence interval for beta2.38980

Lowerbound of 95% confidence interval for alpha1.39601

Upperbound of 95% confidence interval for alpha0.77572

Treynor index (mean / b)0.11486

Jensen alpha (a)0.31014
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.35779

SD0.51501

Sharpe ratio (Glass type estimate)0.69472

Sharpe ratio (Hedges UMVUE)0.69071

df130.00000

t0.49124

p0.52152

Lowerbound of 95% confidence interval for Sharpe Ratio3.46649

Upperbound of 95% confidence interval for Sharpe Ratio2.07970

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.46378

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.08237
 Statistics related to Sortino ratio

Sortino ratio0.85412

Upside Potential Ratio6.73393

Upside part of mean2.82082

Downside part of mean3.17861

Upside SD0.29702

Downside SD0.41890

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.02807

Mean of criterion0.35779

SD of predictor0.16576

SD of criterion0.51501

Covariance0.05534

r0.64832

b (slope, estimate of beta)2.01435

a (intercept, estimate of alpha)0.41433

Mean Square Error0.15494

DF error129.00000

t(b)9.67138

p(b)0.11835

t(a)0.74426

p(a)0.54160

Lowerbound of 95% confidence interval for beta1.60226

Upperbound of 95% confidence interval for beta2.42643

Lowerbound of 95% confidence interval for alpha1.51578

Upperbound of 95% confidence interval for alpha0.68712

Treynor index (mean / b)0.17762

Jensen alpha (a)0.41433
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05228

Expected Shortfall on VaR0.06474
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02619

Expected Shortfall on VaR0.05243
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.88795

Quartile 10.98558

Median1.00106

Quartile 31.01776

Maximum1.06262

Mean of quarter 10.95780

Mean of quarter 20.99560

Mean of quarter 31.00996

Mean of quarter 41.03392

Inter Quartile Range0.03219

Number outliers low6.00000

Percentage of outliers low0.04580

Mean of outliers low0.91318

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.06337

VaR(95%) (moments method)0.03835

Expected Shortfall (moments method)0.05428

Extreme Value Index (regression method)0.07229

VaR(95%) (regression method)0.04395

Expected Shortfall (regression method)0.05930
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00833

Quartile 10.01388

Median0.01944

Quartile 30.20252

Maximum0.38561

Mean of quarter 10.00833

Mean of quarter 20.01944

Mean of quarter 30.00000

Mean of quarter 40.38561

Inter Quartile Range0.18864

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)0.30411

Compounded annual return (geometric extrapolation)0.28099

Calmar ratio (compounded annual return / max draw down)0.72868

Compounded annual return / average of 25% largest draw downs0.72868

Compounded annual return / Expected Shortfall lognormal4.34059
Strategy Description
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.