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These are hypothetical performance results that have certain inherent limitations. Learn more

VIXTrader
(106901765)

Created by: RobertPeterson RobertPeterson
Started: 11/2016
Stocks
Last trade: 9 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 $149.00 per month.

111.6%
Annual Return (Compounded)
7.6%
Max Drawdown
40
Num Trades
55.0%
Win Trades
5.1 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +26.6%+2.5%+29.8%
2017+12.7%+3.0%+7.2%(1%)+0.9%+5.2%+8.3%(0.6%)+8.0%+7.7%+1.4%+8.2%+79.4%

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 168 hours.

Trading Record

This strategy has placed 364 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/17/17 10:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 355 110.05 11/28 13:50 119.52 0.58%
Trade id #114915818
Max drawdown($308)
Time11/17/17 16:15
Quant open310
Worst price108.69
Drawdown as % of equity-0.58%
$3,353
Includes Typical Broker Commissions trade costs of $7.10
11/15/17 15:02 XIV VELOCITYSHARES DAILY INVERSE V LONG 146 105.66 11/15 15:48 104.27 0.4%
Trade id #114875204
Max drawdown($212)
Time11/15/17 15:45
Quant open146
Worst price104.20
Drawdown as % of equity-0.40%
($206)
Includes Typical Broker Commissions trade costs of $2.92
11/9/17 13:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 214 109.76 11/14 10:05 107.10 1.06%
Trade id #114775467
Max drawdown($570)
Time11/14/17 10:05
Quant open149
Worst price105.28
Drawdown as % of equity-1.06%
($574)
Includes Typical Broker Commissions trade costs of $4.28
11/7/17 13:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 395 112.80 11/9 11:30 110.56 2.55%
Trade id #114728821
Max drawdown($1,396)
Time11/9/17 8:17
Quant open293
Worst price108.03
Drawdown as % of equity-2.55%
($890)
Includes Typical Broker Commissions trade costs of $7.90
11/1/17 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 466 112.25 11/7 12:00 111.25 1.53%
Trade id #114638248
Max drawdown($844)
Time11/2/17 10:14
Quant open248
Worst price107.88
Drawdown as % of equity-1.53%
($471)
Includes Typical Broker Commissions trade costs of $9.32
10/25/17 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 108.61 11/1 13:05 111.15 0.06%
Trade id #114529379
Max drawdown($32)
Time10/26/17 16:02
Quant open66
Worst price103.97
Drawdown as % of equity-0.06%
$1,006
Includes Typical Broker Commissions trade costs of $8.00
10/17/17 15:50 XIV VELOCITYSHARES DAILY INVERSE V LONG 406 110.04 10/25 10:16 107.86 3.98%
Trade id #114335488
Max drawdown($2,200)
Time10/19/17 4:02
Quant open310
Worst price102.77
Drawdown as % of equity-3.98%
($894)
Includes Typical Broker Commissions trade costs of $8.12
10/10/17 14:37 XIV VELOCITYSHARES DAILY INVERSE V LONG 489 104.28 10/17 10:40 108.69 0.04%
Trade id #114139687
Max drawdown($22)
Time10/11/17 9:55
Quant open87
Worst price102.56
Drawdown as % of equity-0.04%
$2,149
Includes Typical Broker Commissions trade costs of $9.78
10/10/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 352 102.77 10/10 12:08 101.34 0.95%
Trade id #114128717
Max drawdown($504)
Time10/10/17 12:08
Quant open126
Worst price101.21
Drawdown as % of equity-0.95%
($511)
Includes Typical Broker Commissions trade costs of $7.04
9/5/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,836 91.35 10/9 10:50 95.21 0.18%
Trade id #113547370
Max drawdown($83)
Time9/6/17 10:46
Quant open154
Worst price79.47
Drawdown as % of equity-0.18%
$7,064
Includes Typical Broker Commissions trade costs of $36.72
8/25/17 14:47 XIV VELOCITYSHARES DAILY INVERSE V LONG 441 81.82 9/5 11:58 80.76 6.16%
Trade id #113351573
Max drawdown($2,910)
Time8/29/17 5:08
Quant open369
Worst price73.40
Drawdown as % of equity-6.16%
($478)
Includes Typical Broker Commissions trade costs of $8.82
8/18/17 12:47 XIV VELOCITYSHARES DAILY INVERSE V LONG 610 76.32 8/24 15:36 77.68 0.88%
Trade id #113227658
Max drawdown($402)
Time8/18/17 14:01
Quant open101
Worst price72.71
Drawdown as % of equity-0.88%
$818
Includes Typical Broker Commissions trade costs of $12.20
8/18/17 13:44 VXX IPATH S&P 500 VIX ST FUTURES E LONG 578 13.26 8/18 15:58 13.32 0.15%
Trade id #113229369
Max drawdown($69)
Time8/18/17 14:28
Quant open578
Worst price13.14
Drawdown as % of equity-0.15%
$30
Includes Typical Broker Commissions trade costs of $5.00
8/16/17 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 194 84.66 8/17 10:02 82.13 1.58%
Trade id #113171434
Max drawdown($735)
Time8/17/17 10:02
Quant open194
Worst price80.87
Drawdown as % of equity-1.58%
($495)
Includes Typical Broker Commissions trade costs of $3.88
7/26/17 14:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 415 95.30 8/9 9:39 92.21 2.75%
Trade id #112798135
Max drawdown($1,280)
Time8/9/17 9:39
Quant open200
Worst price89.91
Drawdown as % of equity-2.75%
($1,288)
Includes Typical Broker Commissions trade costs of $8.30
4/17/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,985 78.96 7/25 14:30 80.29 3.52%
Trade id #111048866
Max drawdown($1,401)
Time5/18/17 6:01
Quant open156
Worst price65.67
Drawdown as % of equity-3.52%
$5,213
Includes Typical Broker Commissions trade costs of $79.70
6/6/17 12:43 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,100 13.56 6/6 15:58 13.59 0.36%
Trade id #111934886
Max drawdown($152)
Time6/6/17 14:36
Quant open1,100
Worst price13.42
Drawdown as % of equity-0.36%
$30
Includes Typical Broker Commissions trade costs of $5.00
5/25/17 11:34 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,092 13.68 5/26 9:31 13.70 0.63%
Trade id #111771218
Max drawdown($261)
Time5/25/17 14:23
Quant open2,092
Worst price13.55
Drawdown as % of equity-0.63%
$48
Includes Typical Broker Commissions trade costs of $5.00
5/17/17 10:36 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,612 14.72 5/17 15:59 16.08 0.18%
Trade id #111641813
Max drawdown($72)
Time5/17/17 10:46
Quant open1,612
Worst price14.68
Drawdown as % of equity-0.18%
$2,185
Includes Typical Broker Commissions trade costs of $5.00
5/16/17 14:40 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,956 13.76 5/16 15:55 13.63 0.59%
Trade id #111625358
Max drawdown($249)
Time5/16/17 15:55
Quant open1,956
Worst price13.63
Drawdown as % of equity-0.59%
($253)
Includes Typical Broker Commissions trade costs of $5.00
4/19/17 12:58 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,431 17.05 4/19 15:58 17.63 0.03%
Trade id #111127140
Max drawdown($14)
Time4/19/17 13:00
Quant open1,431
Worst price17.05
Drawdown as % of equity-0.03%
$814
Includes Typical Broker Commissions trade costs of $5.00
4/12/17 11:43 VXX IPATH S&P 500 VIX ST FUTURES E LONG 650 17.97 4/17 13:37 17.66 0.6%
Trade id #110942835
Max drawdown($241)
Time4/12/17 14:10
Quant open650
Worst price17.60
Drawdown as % of equity-0.60%
($209)
Includes Typical Broker Commissions trade costs of $5.00
4/12/17 13:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 364 64.34 4/13 13:01 63.66 1.39%
Trade id #110946032
Max drawdown($557)
Time4/13/17 6:39
Quant open364
Worst price62.81
Drawdown as % of equity-1.39%
($256)
Includes Typical Broker Commissions trade costs of $7.28
4/12/17 10:07 XIV VELOCITYSHARES DAILY INVERSE V LONG 192 64.48 4/12 11:38 63.49 0.47%
Trade id #110939546
Max drawdown($191)
Time4/12/17 11:38
Quant open0
Worst price63.49
Drawdown as % of equity-0.47%
($195)
Includes Typical Broker Commissions trade costs of $3.84
3/10/17 14:15 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,718 70.58 4/10 15:56 71.00 0.51%
Trade id #110178893
Max drawdown($198)
Time3/27/17 4:02
Quant open39
Worst price65.17
Drawdown as % of equity-0.51%
$674
Includes Typical Broker Commissions trade costs of $34.36
4/10/17 11:34 VXX IPATH S&P 500 VIX ST FUTURES E LONG 250 16.74 4/10 15:56 17.03 0.06%
Trade id #110880929
Max drawdown($24)
Time4/10/17 12:52
Quant open250
Worst price16.64
Drawdown as % of equity-0.06%
$68
Includes Typical Broker Commissions trade costs of $5.00
3/14/17 10:31 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,166 17.06 3/14 11:55 16.77 0.91%
Trade id #110220420
Max drawdown($361)
Time3/14/17 11:51
Quant open1,166
Worst price16.75
Drawdown as % of equity-0.91%
($342)
Includes Typical Broker Commissions trade costs of $5.00
1/26/17 15:55 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,362 64.65 3/9 14:40 65.77 1.47%
Trade id #109064213
Max drawdown($566)
Time2/24/17 9:04
Quant open188
Worst price61.15
Drawdown as % of equity-1.47%
$2,608
Includes Typical Broker Commissions trade costs of $47.24
1/23/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 527 58.76 1/26 10:51 61.67 0.22%
Trade id #108936381
Max drawdown($77)
Time1/23/17 11:48
Quant open61
Worst price56.13
Drawdown as % of equity-0.22%
$1,523
Includes Typical Broker Commissions trade costs of $10.54
1/23/17 10:35 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,688 20.82 1/23 15:56 20.66 1.26%
Trade id #108940798
Max drawdown($450)
Time1/23/17 13:38
Quant open1,688
Worst price20.55
Drawdown as % of equity-1.26%
($275)
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    11/3/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    408.2
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    40
  • # Profitable
    22
  • % Profitable
    55.00%
  • Avg trade duration
    9.5 days
  • Max peak-to-valley drawdown
    7.58%
  • drawdown period
    June 27, 2017 - July 06, 2017
  • Annual Return (Compounded)
    111.6%
  • Avg win
    $2,032
  • Avg loss
    $483.44
  • Model Account Values (Raw)
  • Cash
    $32,180
  • Margin Used
    $0
  • Buying Power
    $36,467
  • Ratios
  • W:L ratio
    5.14:1
  • Sharpe Ratio
    4.013
  • Sortino Ratio
    7.557
  • Calmar Ratio
    21.765
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.55900
  • Return Statistics
  • Ann Return (w trading costs)
    111.6%
  • Ann Return (Compnd, No Fees)
    121.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    979
  • Popularity (Last 6 weeks)
    993
  • C2 Score
    93.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $483
  • Avg Win
    $2,032
  • # Winners
    22
  • # Losers
    18
  • % Winners
    55.0%
  • Frequency
  • Avg Position Time (mins)
    13633.50
  • Avg Position Time (hrs)
    227.23
  • Avg Trade Length
    9.5 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77665
  • SD
    0.26982
  • Sharpe ratio (Glass type estimate)
    2.87844
  • Sharpe ratio (Hedges UMVUE)
    2.69405
  • df
    12.00000
  • t
    2.99597
  • p
    0.17292
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.86377
  • Statistics related to Sortino ratio
  • Sortino ratio
    38.75700
  • Upside Potential Ratio
    40.03200
  • Upside part of mean
    0.80220
  • Downside part of mean
    -0.02555
  • Upside SD
    0.34215
  • Downside SD
    0.02004
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.18852
  • Mean of criterion
    0.77665
  • SD of predictor
    0.06796
  • SD of criterion
    0.26982
  • Covariance
    0.01418
  • r
    0.77310
  • b (slope, estimate of beta)
    3.06931
  • a (intercept, estimate of alpha)
    0.19802
  • Mean Square Error
    0.03195
  • DF error
    11.00000
  • t(b)
    4.04246
  • p(b)
    0.00097
  • t(a)
    0.88573
  • p(a)
    0.19736
  • Lowerbound of 95% confidence interval for beta
    1.39817
  • Upperbound of 95% confidence interval for beta
    4.74046
  • Lowerbound of 95% confidence interval for alpha
    -0.29405
  • Upperbound of 95% confidence interval for alpha
    0.69010
  • Treynor index (mean / b)
    0.25304
  • Jensen alpha (a)
    0.19802
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72253
  • SD
    0.24534
  • Sharpe ratio (Glass type estimate)
    2.94497
  • Sharpe ratio (Hedges UMVUE)
    2.75632
  • df
    12.00000
  • t
    3.06523
  • p
    0.16866
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.11554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93852
  • Statistics related to Sortino ratio
  • Sortino ratio
    35.82420
  • Upside Potential Ratio
    37.09810
  • Upside part of mean
    0.74822
  • Downside part of mean
    -0.02569
  • Upside SD
    0.31410
  • Downside SD
    0.02017
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.18457
  • Mean of criterion
    0.72253
  • SD of predictor
    0.06671
  • SD of criterion
    0.24534
  • Covariance
    0.01254
  • r
    0.76604
  • b (slope, estimate of beta)
    2.81709
  • a (intercept, estimate of alpha)
    0.20258
  • Mean Square Error
    0.02713
  • DF error
    11.00000
  • t(b)
    3.95255
  • p(b)
    0.00113
  • t(a)
    0.98438
  • p(a)
    0.17304
  • Lowerbound of 95% confidence interval for beta
    1.24839
  • Upperbound of 95% confidence interval for beta
    4.38580
  • Lowerbound of 95% confidence interval for alpha
    -0.25037
  • Upperbound of 95% confidence interval for alpha
    0.65551
  • Treynor index (mean / b)
    0.25648
  • Jensen alpha (a)
    0.20258
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05473
  • Expected Shortfall on VaR
    0.08198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00265
  • Expected Shortfall on VaR
    0.00670
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.98318
  • Quartile 1
    1.00517
  • Median
    1.04992
  • Quartile 3
    1.12476
  • Maximum
    1.25023
  • Mean of quarter 1
    0.99612
  • Mean of quarter 2
    1.03468
  • Mean of quarter 3
    1.08298
  • Mean of quarter 4
    1.17806
  • Inter Quartile Range
    0.11959
  • 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)
    -0.55603
  • VaR(95%) (regression method)
    0.01794
  • Expected Shortfall (regression method)
    0.02367
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00594
  • Quartile 1
    0.00866
  • Median
    0.01138
  • Quartile 3
    0.01410
  • Maximum
    0.01682
  • Mean of quarter 1
    0.00594
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01682
  • Inter Quartile Range
    0.00544
  • 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)
    1.15808
  • Compounded annual return (geometric extrapolation)
    1.11792
  • Calmar ratio (compounded annual return / max draw down)
    66.46450
  • Compounded annual return / average of 25% largest draw downs
    66.46450
  • Compounded annual return / Expected Shortfall lognormal
    13.63620
  • 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
    0.80394
  • SD
    0.19983
  • Sharpe ratio (Glass type estimate)
    4.02316
  • Sharpe ratio (Hedges UMVUE)
    4.01274
  • df
    290.00000
  • t
    4.23997
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.13150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.90813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.90094
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.55740
  • Upside Potential Ratio
    14.41800
  • Upside part of mean
    1.53376
  • Downside part of mean
    -0.72982
  • Upside SD
    0.17591
  • Downside SD
    0.10638
  • N nonnegative terms
    160.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    291.00000
  • Mean of predictor
    0.19776
  • Mean of criterion
    0.80394
  • SD of predictor
    0.07134
  • SD of criterion
    0.19983
  • Covariance
    0.00771
  • r
    0.54100
  • b (slope, estimate of beta)
    1.51537
  • a (intercept, estimate of alpha)
    0.50400
  • Mean Square Error
    0.02834
  • DF error
    289.00000
  • t(b)
    10.93550
  • p(b)
    -0.00000
  • t(a)
    3.11126
  • p(a)
    0.00102
  • Lowerbound of 95% confidence interval for beta
    1.24263
  • Upperbound of 95% confidence interval for beta
    1.78811
  • Lowerbound of 95% confidence interval for alpha
    0.18526
  • Upperbound of 95% confidence interval for alpha
    0.82326
  • Treynor index (mean / b)
    0.53052
  • Jensen alpha (a)
    0.50426
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78289
  • SD
    0.19889
  • Sharpe ratio (Glass type estimate)
    3.93627
  • Sharpe ratio (Hedges UMVUE)
    3.92608
  • df
    290.00000
  • t
    4.14840
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.04589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.82009
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03909
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.81307
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.25645
  • Upside Potential Ratio
    14.07370
  • Upside part of mean
    1.51840
  • Downside part of mean
    -0.73551
  • Upside SD
    0.17356
  • Downside SD
    0.10789
  • N nonnegative terms
    160.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    291.00000
  • Mean of predictor
    0.19514
  • Mean of criterion
    0.78289
  • SD of predictor
    0.07127
  • SD of criterion
    0.19889
  • Covariance
    0.00770
  • r
    0.54334
  • b (slope, estimate of beta)
    1.51625
  • a (intercept, estimate of alpha)
    0.48702
  • Mean Square Error
    0.02798
  • DF error
    289.00000
  • t(b)
    11.00260
  • p(b)
    -0.00000
  • t(a)
    3.02553
  • p(a)
    0.00135
  • Lowerbound of 95% confidence interval for beta
    1.24502
  • Upperbound of 95% confidence interval for beta
    1.78749
  • Lowerbound of 95% confidence interval for alpha
    0.17020
  • Upperbound of 95% confidence interval for alpha
    0.80384
  • Treynor index (mean / b)
    0.51633
  • Jensen alpha (a)
    0.48702
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01708
  • Expected Shortfall on VaR
    0.02210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00591
  • Expected Shortfall on VaR
    0.01248
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    291.00000
  • Minimum
    0.94332
  • Quartile 1
    0.99682
  • Median
    1.00109
  • Quartile 3
    1.00852
  • Maximum
    1.05068
  • Mean of quarter 1
    0.99002
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00423
  • Mean of quarter 4
    1.01926
  • Inter Quartile Range
    0.01170
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.02062
  • Mean of outliers low
    0.96900
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.05155
  • Mean of outliers high
    1.03380
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29237
  • VaR(95%) (moments method)
    0.00924
  • Expected Shortfall (moments method)
    0.01595
  • Extreme Value Index (regression method)
    0.22942
  • VaR(95%) (regression method)
    0.00947
  • Expected Shortfall (regression method)
    0.01553
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00064
  • Quartile 1
    0.00349
  • Median
    0.01119
  • Quartile 3
    0.04333
  • Maximum
    0.05742
  • Mean of quarter 1
    0.00240
  • Mean of quarter 2
    0.00739
  • Mean of quarter 3
    0.02288
  • Mean of quarter 4
    0.05223
  • Inter Quartile Range
    0.03984
  • 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)
    -4.92167
  • VaR(95%) (moments method)
    0.05298
  • Expected Shortfall (moments method)
    0.05299
  • Extreme Value Index (regression method)
    -0.52114
  • VaR(95%) (regression method)
    0.05056
  • Expected Shortfall (regression method)
    0.05234
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.31535
  • Compounded annual return (geometric extrapolation)
    1.24971
  • Calmar ratio (compounded annual return / max draw down)
    21.76540
  • Compounded annual return / average of 25% largest draw downs
    23.92840
  • Compounded annual return / Expected Shortfall lognormal
    56.54940
  • 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
    0.73737
  • SD
    0.17742
  • Sharpe ratio (Glass type estimate)
    4.15611
  • Sharpe ratio (Hedges UMVUE)
    4.13208
  • df
    130.00000
  • t
    2.93881
  • p
    0.37520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.33103
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.96585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31514
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.94903
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.13541
  • Upside Potential Ratio
    15.67690
  • Upside part of mean
    1.42091
  • Downside part of mean
    -0.68354
  • Upside SD
    0.15842
  • Downside SD
    0.09064
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.73737
  • SD of predictor
    0.06774
  • SD of criterion
    0.17742
  • Covariance
    0.00628
  • r
    0.52238
  • b (slope, estimate of beta)
    1.36826
  • a (intercept, estimate of alpha)
    0.51142
  • Mean Square Error
    0.02306
  • DF error
    129.00000
  • t(b)
    6.95799
  • p(b)
    0.18325
  • t(a)
    2.35438
  • p(a)
    0.37167
  • Lowerbound of 95% confidence interval for beta
    0.97919
  • Upperbound of 95% confidence interval for beta
    1.75733
  • Lowerbound of 95% confidence interval for alpha
    0.08164
  • Upperbound of 95% confidence interval for alpha
    0.94119
  • Treynor index (mean / b)
    0.53891
  • Jensen alpha (a)
    0.51142
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72077
  • SD
    0.17652
  • Sharpe ratio (Glass type estimate)
    4.08319
  • Sharpe ratio (Hedges UMVUE)
    4.05959
  • df
    130.00000
  • t
    2.88725
  • p
    0.37726
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.25982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.89149
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24421
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.87498
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.88739
  • Upside Potential Ratio
    15.41200
  • Upside part of mean
    1.40839
  • Downside part of mean
    -0.68762
  • Upside SD
    0.15670
  • Downside SD
    0.09138
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.72077
  • SD of predictor
    0.06776
  • SD of criterion
    0.17652
  • Covariance
    0.00626
  • r
    0.52305
  • b (slope, estimate of beta)
    1.36256
  • a (intercept, estimate of alpha)
    0.49896
  • Mean Square Error
    0.02281
  • DF error
    129.00000
  • t(b)
    6.97023
  • p(b)
    0.18289
  • t(a)
    2.31055
  • p(a)
    0.37394
  • Lowerbound of 95% confidence interval for beta
    0.97579
  • Upperbound of 95% confidence interval for beta
    1.74933
  • Lowerbound of 95% confidence interval for alpha
    0.07170
  • Upperbound of 95% confidence interval for alpha
    0.92622
  • Treynor index (mean / b)
    0.52899
  • Jensen alpha (a)
    0.49896
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01507
  • Expected Shortfall on VaR
    0.01954
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00559
  • Expected Shortfall on VaR
    0.01137
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97335
  • Quartile 1
    0.99692
  • Median
    1.00102
  • Quartile 3
    1.00863
  • Maximum
    1.03403
  • Mean of quarter 1
    0.99072
  • Mean of quarter 2
    0.99923
  • Mean of quarter 3
    1.00386
  • Mean of quarter 4
    1.01791
  • Inter Quartile Range
    0.01171
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97600
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02959
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13957
  • VaR(95%) (moments method)
    0.00839
  • Expected Shortfall (moments method)
    0.01264
  • Extreme Value Index (regression method)
    0.17136
  • VaR(95%) (regression method)
    0.00883
  • Expected Shortfall (regression method)
    0.01367
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00204
  • Quartile 1
    0.00291
  • Median
    0.00914
  • Quartile 3
    0.02531
  • Maximum
    0.05462
  • Mean of quarter 1
    0.00221
  • Mean of quarter 2
    0.00571
  • Mean of quarter 3
    0.01530
  • Mean of quarter 4
    0.05041
  • Inter Quartile Range
    0.02240
  • 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)
    -149.64600
  • VaR(95%) (moments method)
    0.05288
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.86598
  • VaR(95%) (regression method)
    0.06789
  • Expected Shortfall (regression method)
    0.06795
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90806
  • Compounded annual return (geometric extrapolation)
    1.11421
  • Calmar ratio (compounded annual return / max draw down)
    20.39810
  • Compounded annual return / average of 25% largest draw downs
    22.10470
  • Compounded annual return / Expected Shortfall lognormal
    57.01510

Strategy Description

The goal is 10%-20% per month while maintaining low DD. This algorithmic trading system is aimed at achieving an absolute return and its success does not depend on market behavior.

Various researches proved that one can know in advance when emotions such as hope and fear will emerge and how human beings demonstrate consistent reactions to such emotions. In fact, hope, fear, greed, herd-dynamics, euphoria and panic drive the wheels of capital markets everywhere. When human activities, which come as a reaction to a certain emotion, repeat themselves enough times and last for a sufficient amount of time, this could create a fertile ground of information that enables one to track down those behaviors, which repeat themselves over and over again among investors.
When a certain behavior is found to be predictable with sufficiently high rates of success, then we can claim that we had found the base for a trading strategy.
My system is based on waves of euphoria and panic appearing among buyers and sellers in the capital markets quite frequently. The "herd dynamics" that follows only enhances the magnitude of such waves.
Upon the recognition of such wave of euphoria or panic in the market, the strategy starts seeking the most appropriate timing to tag along. When this moment arrives, a chain of decision making commences, at the end of which an order to sell or buy the symbol VXX or XIV is being issued. When the strategy identifies the coming end of such wave then once again a decision making chain commences, in the end of which an order to sell or buy a security is issued for the purpose exiting the trading position. In the cases where the system identifies an unpredictable wave behavior, an order to close the position is being closed.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, I do make an effort to control the risk as I do to my private money.


Summary Statistics

Strategy began
2016-11-03
Minimum Capital Required
$5,000
# Trades
40
# Profitable
22
% Profitable
55.0%
Correlation S&P500
0.559
Sharpe Ratio
4.013

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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