VIXTrader
(106901765)
Subscription terms. Subscriptions to this system cost $149.00 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  +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%  +9.4%  +81.4% 
2018  (2.9%)  +4.1%  (7.8%)  +14.1%  +2.1%  (5.1%)  +2.9%  +6.0% 
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  $66,500  
Cash  $1  
Equity  $1  
Cumulative $  $41,500  
Total System Equity  $66,500  
Margined  $1  
Open P/L  $0  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began11/3/2016

Suggested Minimum Cap$35,000

Strategy Age (days)619.99

Age21 months ago

What it tradesStocks

# Trades76

# Profitable38

% Profitable50.00%

Avg trade duration6.3 days

Max peaktovalley drawdown11.68%

drawdown periodMay 21, 2018  June 27, 2018

Annual Return (Compounded)70.9%

Avg win$1,853

Avg loss$761.47
 Model Account Values (Raw)

Cash$66,500

Margin Used$0

Buying Power$66,500
 Ratios

W:L ratio2.43:1

Sharpe Ratio2.99

Sortino Ratio5.255

Calmar Ratio8.365
 CORRELATION STATISTICS

Correlation to SP5000.42400
 Return Statistics

Ann Return (w trading costs)70.9%

Ann Return (Compnd, No Fees)77.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss7.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)953

Popularity (Last 6 weeks)982

C2 Score97.1
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$761

Avg Win$1,854

# Winners38

# Losers38

% Winners50.0%
 Frequency

Avg Position Time (mins)9053.33

Avg Position Time (hrs)150.89

Avg Trade Length6.3 days

Last Trade Ago7
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.61225

SD0.27871

Sharpe ratio (Glass type estimate)2.19669

Sharpe ratio (Hedges UMVUE)2.10863

df19.00000

t2.83592

p0.17089

Lowerbound of 95% confidence interval for Sharpe Ratio0.50373

Upperbound of 95% confidence interval for Sharpe Ratio3.84204

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.44900

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.76825
 Statistics related to Sortino ratio

Sortino ratio8.80443

Upside Potential Ratio10.28190

Upside part of mean0.71499

Downside part of mean0.10274

Upside SD0.31654

Downside SD0.06954

N nonnegative terms13.00000

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

N of observations20.00000

Mean of predictor0.14954

Mean of criterion0.61225

SD of predictor0.11257

SD of criterion0.27871

Covariance0.02131

r0.67912

b (slope, estimate of beta)1.68135

a (intercept, estimate of alpha)0.36081

Mean Square Error0.04418

DF error18.00000

t(b)3.92526

p(b)0.16044

t(a)2.06225

p(a)0.28142

Lowerbound of 95% confidence interval for beta0.78144

Upperbound of 95% confidence interval for beta2.58126

Lowerbound of 95% confidence interval for alpha0.00677

Upperbound of 95% confidence interval for alpha0.72839

Treynor index (mean / b)0.36414

Jensen alpha (a)0.36081
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.56340

SD0.25948

Sharpe ratio (Glass type estimate)2.17129

Sharpe ratio (Hedges UMVUE)2.08424

df19.00000

t2.80312

p0.17328

Lowerbound of 95% confidence interval for Sharpe Ratio0.48182

Upperbound of 95% confidence interval for Sharpe Ratio3.81346

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.42773

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.74075
 Statistics related to Sortino ratio

Sortino ratio7.87385

Upside Potential Ratio9.34142

Upside part of mean0.66841

Downside part of mean0.10501

Upside SD0.29205

Downside SD0.07155

N nonnegative terms13.00000

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

N of observations20.00000

Mean of predictor0.14236

Mean of criterion0.56340

SD of predictor0.11199

SD of criterion0.25948

Covariance0.02012

r0.69252

b (slope, estimate of beta)1.60457

a (intercept, estimate of alpha)0.33498

Mean Square Error0.03699

DF error18.00000

t(b)4.07280

p(b)0.15374

t(a)2.10445

p(a)0.27782

Lowerbound of 95% confidence interval for beta0.77687

Upperbound of 95% confidence interval for beta2.43228

Lowerbound of 95% confidence interval for alpha0.00056

Upperbound of 95% confidence interval for alpha0.66939

Treynor index (mean / b)0.35112

Jensen alpha (a)0.33498
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07342

Expected Shortfall on VaR0.10163
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01522

Expected Shortfall on VaR0.03347
 ORDER STATISTICS
 Quartiles of return rates

Number of observations20.00000

Minimum0.92946

Quartile 10.99415

Median1.04771

Quartile 31.12794

Maximum1.25023

Mean of quarter 10.96976

Mean of quarter 21.01111

Mean of quarter 31.06966

Mean of quarter 41.16286

Inter Quartile Range0.13380

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 for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.39573

VaR(95%) (moments method)0.02009

Expected Shortfall (moments method)0.02148

Extreme Value Index (regression method)1.56316

VaR(95%) (regression method)0.02069

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00594

Quartile 10.01682

Median0.02256

Quartile 30.04104

Maximum0.07054

Mean of quarter 10.01138

Mean of quarter 20.02256

Mean of quarter 30.04104

Mean of quarter 40.07054

Inter Quartile Range0.02423

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.00751

Compounded annual return (geometric extrapolation)0.80635

Calmar ratio (compounded annual return / max draw down)11.43180

Compounded annual return / average of 25% largest draw downs11.43180

Compounded annual return / Expected Shortfall lognormal7.93406

0.00000

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

Mean0.57809

SD0.19300

Sharpe ratio (Glass type estimate)2.99529

Sharpe ratio (Hedges UMVUE)2.99017

df439.00000

t3.88164

p0.00006

Lowerbound of 95% confidence interval for Sharpe Ratio1.46828

Upperbound of 95% confidence interval for Sharpe Ratio4.51897

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.46488

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.51547
 Statistics related to Sortino ratio

Sortino ratio5.25468

Upside Potential Ratio12.13830

Upside part of mean1.33539

Downside part of mean0.75730

Upside SD0.16229

Downside SD0.11001

N nonnegative terms210.00000

N negative terms230.00000
 Statistics related to linear regression on benchmark

N of observations440.00000

Mean of predictor0.15270

Mean of criterion0.57809

SD of predictor0.10762

SD of criterion0.19300

Covariance0.00876

r0.42164

b (slope, estimate of beta)0.75617

a (intercept, estimate of alpha)0.46300

Mean Square Error0.03070

DF error438.00000

t(b)9.73161

p(b)0.00000

t(a)3.40871

p(a)0.00036

Lowerbound of 95% confidence interval for beta0.60345

Upperbound of 95% confidence interval for beta0.90889

Lowerbound of 95% confidence interval for alpha0.19588

Upperbound of 95% confidence interval for alpha0.72936

Treynor index (mean / b)0.76450

Jensen alpha (a)0.46262
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.55892

SD0.19235

Sharpe ratio (Glass type estimate)2.90570

Sharpe ratio (Hedges UMVUE)2.90073

df439.00000

t3.76554

p0.00009

Lowerbound of 95% confidence interval for Sharpe Ratio1.37952

Upperbound of 95% confidence interval for Sharpe Ratio4.42869

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.37619

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.42528
 Statistics related to Sortino ratio

Sortino ratio5.00762

Upside Potential Ratio11.84710

Upside part of mean1.32231

Downside part of mean0.76339

Upside SD0.16016

Downside SD0.11162

N nonnegative terms210.00000

N negative terms230.00000
 Statistics related to linear regression on benchmark

N of observations440.00000

Mean of predictor0.14684

Mean of criterion0.55892

SD of predictor0.10798

SD of criterion0.19235

Covariance0.00877

r0.42240

b (slope, estimate of beta)0.75246

a (intercept, estimate of alpha)0.44843

Mean Square Error0.03047

DF error438.00000

t(b)9.75284

p(b)0.00000

t(a)3.31757

p(a)0.00049

Lowerbound of 95% confidence interval for beta0.60082

Upperbound of 95% confidence interval for beta0.90410

Lowerbound of 95% confidence interval for alpha0.18277

Upperbound of 95% confidence interval for alpha0.71409

Treynor index (mean / b)0.74279

Jensen alpha (a)0.44843
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01726

Expected Shortfall on VaR0.02212
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00677

Expected Shortfall on VaR0.01398
 ORDER STATISTICS
 Quartiles of return rates

Number of observations440.00000

Minimum0.94332

Quartile 10.99677

Median1.00000

Quartile 31.00691

Maximum1.05068

Mean of quarter 10.98969

Mean of quarter 20.99897

Mean of quarter 31.00297

Mean of quarter 41.01762

Inter Quartile Range0.01014

Number outliers low12.00000

Percentage of outliers low0.02727

Mean of outliers low0.97009

Number of outliers high28.00000

Percentage of outliers high0.06364

Mean of outliers high1.03044
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.27243

VaR(95%) (moments method)0.00940

Expected Shortfall (moments method)0.01591

Extreme Value Index (regression method)0.29896

VaR(95%) (regression method)0.00947

Expected Shortfall (regression method)0.01640
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations41.00000

Minimum0.00064

Quartile 10.00349

Median0.00950

Quartile 30.04333

Maximum0.09543

Mean of quarter 10.00238

Mean of quarter 20.00659

Mean of quarter 30.02204

Mean of quarter 40.06017

Inter Quartile Range0.03984

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)0.07153

VaR(95%) (moments method)0.06478

Expected Shortfall (moments method)0.08020

Extreme Value Index (regression method)0.07695

VaR(95%) (regression method)0.05605

Expected Shortfall (regression method)0.06491
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.99988

Compounded annual return (geometric extrapolation)0.79828

Calmar ratio (compounded annual return / max draw down)8.36522

Compounded annual return / average of 25% largest draw downs13.26660

Compounded annual return / Expected Shortfall lognormal36.08660

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

Mean0.07237

SD0.18331

Sharpe ratio (Glass type estimate)0.39480

Sharpe ratio (Hedges UMVUE)0.39251

df130.00000

t0.27916

p0.48776

Lowerbound of 95% confidence interval for Sharpe Ratio2.37815

Upperbound of 95% confidence interval for Sharpe Ratio3.16629

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.37970

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.16473
 Statistics related to Sortino ratio

Sortino ratio0.58533

Upside Potential Ratio7.64089

Upside part of mean0.94469

Downside part of mean0.87233

Upside SD0.13446

Downside SD0.12364

N nonnegative terms42.00000

N negative terms89.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00381

Mean of criterion0.07237

SD of predictor0.16441

SD of criterion0.18331

Covariance0.01167

r0.38710

b (slope, estimate of beta)0.43160

a (intercept, estimate of alpha)0.07401

Mean Square Error0.02879

DF error129.00000

t(b)4.76834

p(b)0.25987

t(a)0.30845

p(a)0.48272

Lowerbound of 95% confidence interval for beta0.25251

Upperbound of 95% confidence interval for beta0.61068

Lowerbound of 95% confidence interval for alpha0.40073

Upperbound of 95% confidence interval for alpha0.54876

Treynor index (mean / b)0.16768

Jensen alpha (a)0.07401
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05568

SD0.18338

Sharpe ratio (Glass type estimate)0.30360

Sharpe ratio (Hedges UMVUE)0.30185

df130.00000

t0.21468

p0.49059

Lowerbound of 95% confidence interval for Sharpe Ratio2.46893

Upperbound of 95% confidence interval for Sharpe Ratio3.07517

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.47020

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.07390
 Statistics related to Sortino ratio

Sortino ratio0.44354

Upside Potential Ratio7.45436

Upside part of mean0.93571

Downside part of mean0.88003

Upside SD0.13277

Downside SD0.12552

N nonnegative terms42.00000

N negative terms89.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01731

Mean of criterion0.05568

SD of predictor0.16524

SD of criterion0.18338

Covariance0.01172

r0.38688

b (slope, estimate of beta)0.42936

a (intercept, estimate of alpha)0.06311

Mean Square Error0.02882

DF error129.00000

t(b)4.76521

p(b)0.25999

t(a)0.26287

p(a)0.48527

Lowerbound of 95% confidence interval for beta0.25109

Upperbound of 95% confidence interval for beta0.60763

Lowerbound of 95% confidence interval for alpha0.41189

Upperbound of 95% confidence interval for alpha0.53810

Treynor index (mean / b)0.12967

Jensen alpha (a)0.06311
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01825

Expected Shortfall on VaR0.02288
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00921

Expected Shortfall on VaR0.01824
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95185

Quartile 10.99623

Median1.00000

Quartile 31.00401

Maximum1.04338

Mean of quarter 10.98835

Mean of quarter 20.99872

Mean of quarter 31.00052

Mean of quarter 41.01395

Inter Quartile Range0.00778

Number outliers low5.00000

Percentage of outliers low0.03817

Mean of outliers low0.96998

Number of outliers high9.00000

Percentage of outliers high0.06870

Mean of outliers high1.02624
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.15643

VaR(95%) (moments method)0.01028

Expected Shortfall (moments method)0.01570

Extreme Value Index (regression method)0.36232

VaR(95%) (regression method)0.01092

Expected Shortfall (regression method)0.02000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00188

Quartile 10.00704

Median0.00982

Quartile 30.04763

Maximum0.09543

Mean of quarter 10.00386

Mean of quarter 20.00849

Mean of quarter 30.04345

Mean of quarter 40.09399

Inter Quartile Range0.04059

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)980.43700

VaR(95%) (moments method)0.08003

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)4.96170

VaR(95%) (regression method)0.18297

Expected Shortfall (regression method)0.18299
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.08535

Compounded annual return (geometric extrapolation)0.08717

Calmar ratio (compounded annual return / max draw down)0.91351

Compounded annual return / average of 25% largest draw downs0.92752

Compounded annual return / Expected Shortfall lognormal3.80974
Strategy Description
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, herddynamics, 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 riskfree or lowrisk 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.
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.