Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List
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 12/28/2016
Most recent certification approved 12/28/16 10:21 ET
Trades at broker Interactive Brokers (Direct Connection non-US) (server 2)
Scaling percentage used 100%
# trading signals issued by system since certification 91
# trading signals executed in manager's Interactive Brokers (Direct Connection non-US) (server 2) account 91
Percent signals followed since 12/28/2016 100%
This information was last updated 12/16/17 17:37 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 12/28/2016, 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.

Volatility Fusion
(106941436)

Created by: iAymeric iAymeric
Started: 11/2016
Stocks
Last trade: 8 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 $97.00 per month.

37.5%
Annual Return (Compounded)
24.1%
Max Drawdown
22
Num Trades
68.2%
Win Trades
2.0 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +21.1%(3.6%)+16.7%
2017+21.2%+14.7%+4.4%(12.7%)+4.0%+0.4%(6.1%)+7.2%+5.4%(4%)(1.7%)(7.6%)+22.4%

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 48 hours.

Trading Record

This strategy has placed 90 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/27/17 14:09 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,165 81.96 9/15 15:34 83.48 19.66%
Trade id #112239950
Max drawdown($6,107)
Time6/29/17 13:30
Quant open600
Worst price73.69
Drawdown as % of equity-19.66%
$1,747
Includes Typical Broker Commissions trade costs of $23.30
7/17/17 13:14 VXX IPATH S&P 500 VIX ST FUTURES E LONG 2,100 11.51 8/9 14:27 11.64 4.28%
Trade id #112642798
Max drawdown($1,264)
Time7/26/17 14:14
Quant open2,100
Worst price10.91
Drawdown as % of equity-4.28%
$251
Includes Typical Broker Commissions trade costs of $27.00
6/14/17 14:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 81.70 6/19 15:53 85.01 4.12%
Trade id #112061673
Max drawdown($1,281)
Time6/15/17 6:46
Quant open400
Worst price78.50
Drawdown as % of equity-4.12%
$1,316
Includes Typical Broker Commissions trade costs of $8.00
5/23/17 9:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 77.03 6/9 14:50 77.06 0.94%
Trade id #111727460
Max drawdown($290)
Time5/23/17 14:16
Quant open400
Worst price76.30
Drawdown as % of equity-0.94%
$7
Includes Typical Broker Commissions trade costs of $8.00
4/24/17 15:55 XIV VELOCITYSHARES DAILY INVERSE V LONG 600 75.40 5/17 10:28 77.16 0.68%
Trade id #111236281
Max drawdown($201)
Time4/24/17 19:55
Quant open400
Worst price72.88
Drawdown as % of equity-0.68%
$1,043
Includes Typical Broker Commissions trade costs of $12.00
4/3/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 840 71.11 4/11 9:40 65.31 15.53%
Trade id #110661214
Max drawdown($4,872)
Time4/11/17 9:40
Quant open200
Worst price64.62
Drawdown as % of equity-15.53%
($4,885)
Includes Typical Broker Commissions trade costs of $12.90
3/16/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 446 71.68 3/20 15:59 73.41 0.26%
Trade id #110272516
Max drawdown($89)
Time3/16/17 10:23
Quant open446
Worst price71.48
Drawdown as % of equity-0.26%
$763
Includes Typical Broker Commissions trade costs of $8.92
3/9/17 10:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 67.98 3/10 10:49 68.04 0.91%
Trade id #110137410
Max drawdown($308)
Time3/9/17 14:17
Quant open200
Worst price66.44
Drawdown as % of equity-0.91%
$7
Includes Typical Broker Commissions trade costs of $4.00
3/7/17 15:52 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 67.80 3/8 14:32 67.73 0.41%
Trade id #110088593
Max drawdown($139)
Time3/8/17 4:11
Quant open200
Worst price67.10
Drawdown as % of equity-0.41%
($17)
Includes Typical Broker Commissions trade costs of $4.00
3/1/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 499 64.90 3/3 15:54 66.49 1.51%
Trade id #109964608
Max drawdown($496)
Time3/2/17 15:44
Quant open499
Worst price63.90
Drawdown as % of equity-1.51%
$784
Includes Typical Broker Commissions trade costs of $9.98
2/15/17 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 475 67.07 2/21 9:32 67.52 5.59%
Trade id #109574180
Max drawdown($1,744)
Time2/16/17 11:12
Quant open475
Worst price63.40
Drawdown as % of equity-5.59%
$202
Includes Typical Broker Commissions trade costs of $9.50
1/31/17 9:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 466 59.62 2/14 15:57 69.44 1%
Trade id #109168436
Max drawdown($281)
Time1/31/17 10:15
Quant open233
Worst price58.88
Drawdown as % of equity-1.00%
$4,569
Includes Typical Broker Commissions trade costs of $9.32
1/17/17 9:46 XIV VELOCITYSHARES DAILY INVERSE V LONG 256 54.49 1/19 10:10 55.40 0.05%
Trade id #108687481
Max drawdown($12)
Time1/17/17 10:06
Quant open256
Worst price54.44
Drawdown as % of equity-0.05%
$228
Includes Typical Broker Commissions trade costs of $5.12
1/13/17 13:13 XIV VELOCITYSHARES DAILY INVERSE V LONG 512 55.65 1/13 15:59 55.20 1.85%
Trade id #108646743
Max drawdown($522)
Time1/13/17 14:30
Quant open512
Worst price54.63
Drawdown as % of equity-1.85%
($241)
Includes Typical Broker Commissions trade costs of $7.62
12/29/16 11:15 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,024 47.92 1/10/17 14:00 51.65 4.14%
Trade id #108247448
Max drawdown($973)
Time12/30/16 15:02
Quant open624
Worst price46.36
Drawdown as % of equity-4.14%
$3,807
Includes Typical Broker Commissions trade costs of $9.00
12/28/16 10:20 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,024 49.40 12/28 14:53 48.47 7.65%
Trade id #108221448
Max drawdown($1,900)
Time12/28/16 14:53
Quant open0
Worst price48.47
Drawdown as % of equity-7.65%
($958)
Includes Typical Broker Commissions trade costs of $7.50
12/27/16 9:52 XIV VELOCITYSHARES DAILY INVERSE V LONG 712 50.05 12/28 9:50 50.03 0.4%
Trade id #108199105
Max drawdown($102)
Time12/27/16 10:30
Quant open1,024
Worst price49.73
Drawdown as % of equity-0.40%
($19)
Includes Typical Broker Commissions trade costs of $7.00
12/14/16 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,024 45.61 12/23 9:47 48.99 0.37%
Trade id #107950883
Max drawdown($81)
Time12/14/16 16:04
Quant open2,048
Worst price45.57
Drawdown as % of equity-0.37%
$3,457
Includes Typical Broker Commissions trade costs of $5.00
12/8/16 9:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,038 45.70 12/8 9:55 45.00 6.53%
Trade id #107817698
Max drawdown($1,452)
Time12/8/16 9:55
Quant open0
Worst price45.00
Drawdown as % of equity-6.53%
($732)
Includes Typical Broker Commissions trade costs of $5.00
11/17/16 14:37 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,036 41.14 12/1 15:57 41.84 4.34%
Trade id #107296053
Max drawdown($973)
Time11/18/16 4:17
Quant open2,080
Worst price40.67
Drawdown as % of equity-4.34%
$720
Includes Typical Broker Commissions trade costs of $5.00
11/14/16 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,028 38.71 11/16 12:55 40.54 11.28%
Trade id #107170850
Max drawdown($2,179)
Time11/14/16 11:08
Quant open2,048
Worst price37.65
Drawdown as % of equity-11.28%
$1,876
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    11/6/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    405.02
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    22
  • # Profitable
    15
  • % Profitable
    68.20%
  • Avg trade duration
    13.5 days
  • Max peak-to-valley drawdown
    24.15%
  • drawdown period
    April 05, 2017 - Aug 17, 2017
  • Annual Return (Compounded)
    37.5%
  • Avg win
    $1,395
  • Avg loss
    $1,528
  • Model Account Values (Raw)
  • Cash
    $8,599
  • Margin Used
    $0
  • Buying Power
    $4,221
  • Ratios
  • W:L ratio
    1.96:1
  • Sharpe Ratio
    1.363
  • Sortino Ratio
    2.078
  • Calmar Ratio
    2.558
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.32200
  • Return Statistics
  • Ann Return (w trading costs)
    37.5%
  • Ann Return (Compnd, No Fees)
    45.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.50%
  • Chance of 20% account loss
    13.50%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    452
  • Popularity (Last 6 weeks)
    793
  • C2 Score
    38.3
  • Trades-Own-System Certification
  • Trades Own System?
    183799
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $1,528
  • Avg Win
    $1,395
  • # Winners
    15
  • # Losers
    7
  • % Winners
    68.2%
  • Frequency
  • Avg Position Time (mins)
    19416.80
  • Avg Position Time (hrs)
    323.61
  • Avg Trade Length
    13.5 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
    0.54031
  • SD
    0.29859
  • Sharpe ratio (Glass type estimate)
    1.80954
  • Sharpe ratio (Hedges UMVUE)
    1.68280
  • df
    11.00000
  • t
    1.80954
  • p
    0.04887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87170
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76508
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.61852
  • Upside Potential Ratio
    9.22198
  • Upside part of mean
    0.65403
  • Downside part of mean
    -0.11372
  • Upside SD
    0.31784
  • Downside SD
    0.07092
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.16569
  • Mean of criterion
    0.54031
  • SD of predictor
    0.05977
  • SD of criterion
    0.29859
  • Covariance
    0.00910
  • r
    0.51011
  • b (slope, estimate of beta)
    2.54836
  • a (intercept, estimate of alpha)
    0.11807
  • Mean Square Error
    0.07255
  • DF error
    10.00000
  • t(b)
    1.87549
  • p(b)
    0.04510
  • t(a)
    0.33635
  • p(a)
    0.37178
  • Lowerbound of 95% confidence interval for beta
    -0.47917
  • Upperbound of 95% confidence interval for beta
    5.57589
  • Lowerbound of 95% confidence interval for alpha
    -0.66412
  • Upperbound of 95% confidence interval for alpha
    0.90027
  • Treynor index (mean / b)
    0.21202
  • Jensen alpha (a)
    0.11807
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49168
  • SD
    0.27576
  • Sharpe ratio (Glass type estimate)
    1.78298
  • Sharpe ratio (Hedges UMVUE)
    1.65810
  • df
    11.00000
  • t
    1.78298
  • p
    0.05109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34571
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.84163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42072
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73693
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.77082
  • Upside Potential Ratio
    8.36887
  • Upside part of mean
    0.60772
  • Downside part of mean
    -0.11604
  • Upside SD
    0.29083
  • Downside SD
    0.07262
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.16260
  • Mean of criterion
    0.49168
  • SD of predictor
    0.05852
  • SD of criterion
    0.27576
  • Covariance
    0.00849
  • r
    0.52603
  • b (slope, estimate of beta)
    2.47899
  • a (intercept, estimate of alpha)
    0.08859
  • Mean Square Error
    0.06050
  • DF error
    10.00000
  • t(b)
    1.95595
  • p(b)
    0.03948
  • t(a)
    0.27607
  • p(a)
    0.39406
  • Lowerbound of 95% confidence interval for beta
    -0.34498
  • Upperbound of 95% confidence interval for beta
    5.30296
  • Lowerbound of 95% confidence interval for alpha
    -0.62640
  • Upperbound of 95% confidence interval for alpha
    0.80358
  • Treynor index (mean / b)
    0.19834
  • Jensen alpha (a)
    0.08859
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08604
  • Expected Shortfall on VaR
    0.11556
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01647
  • Expected Shortfall on VaR
    0.03537
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.94403
  • Quartile 1
    0.99558
  • Median
    1.01611
  • Quartile 3
    1.07673
  • Maximum
    1.24009
  • Mean of quarter 1
    0.96603
  • Mean of quarter 2
    1.00610
  • Mean of quarter 3
    1.04352
  • Mean of quarter 4
    1.17377
  • Inter Quartile Range
    0.08114
  • 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
    0.08333
  • Mean of outliers high
    1.24009
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -19.91750
  • VaR(95%) (moments method)
    0.02598
  • Expected Shortfall (moments method)
    0.02598
  • Extreme Value Index (regression method)
    -1.34123
  • VaR(95%) (regression method)
    0.06747
  • Expected Shortfall (regression method)
    0.07232
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10124
  • Quartile 1
    0.10124
  • Median
    0.10124
  • Quartile 3
    0.10124
  • Maximum
    0.10124
  • 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)
    0.68133
  • Compounded annual return (geometric extrapolation)
    0.68133
  • Calmar ratio (compounded annual return / max draw down)
    6.72960
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.89598
  • 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
    0.40184
  • SD
    0.29407
  • Sharpe ratio (Glass type estimate)
    1.36648
  • Sharpe ratio (Hedges UMVUE)
    1.36283
  • df
    281.00000
  • t
    1.41768
  • p
    0.07870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52971
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25537
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07789
  • Upside Potential Ratio
    8.50249
  • Upside part of mean
    1.64429
  • Downside part of mean
    -1.24245
  • Upside SD
    0.22223
  • Downside SD
    0.19339
  • N nonnegative terms
    129.00000
  • N negative terms
    153.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    282.00000
  • Mean of predictor
    0.18605
  • Mean of criterion
    0.40184
  • SD of predictor
    0.07208
  • SD of criterion
    0.29407
  • Covariance
    0.00697
  • r
    0.32871
  • b (slope, estimate of beta)
    1.34108
  • a (intercept, estimate of alpha)
    0.15200
  • Mean Square Error
    0.07741
  • DF error
    280.00000
  • t(b)
    5.82397
  • p(b)
    0.00000
  • t(a)
    0.56092
  • p(a)
    0.28765
  • Lowerbound of 95% confidence interval for beta
    0.88780
  • Upperbound of 95% confidence interval for beta
    1.79436
  • Lowerbound of 95% confidence interval for alpha
    -0.38226
  • Upperbound of 95% confidence interval for alpha
    0.68693
  • Treynor index (mean / b)
    0.29964
  • Jensen alpha (a)
    0.15233
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35852
  • SD
    0.29374
  • Sharpe ratio (Glass type estimate)
    1.22054
  • Sharpe ratio (Hedges UMVUE)
    1.21728
  • df
    281.00000
  • t
    1.26627
  • p
    0.10323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67458
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10914
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81267
  • Upside Potential Ratio
    8.19111
  • Upside part of mean
    1.62011
  • Downside part of mean
    -1.26158
  • Upside SD
    0.21760
  • Downside SD
    0.19779
  • N nonnegative terms
    129.00000
  • N negative terms
    153.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    282.00000
  • Mean of predictor
    0.18338
  • Mean of criterion
    0.35852
  • SD of predictor
    0.07201
  • SD of criterion
    0.29374
  • Covariance
    0.00701
  • r
    0.33124
  • b (slope, estimate of beta)
    1.35119
  • a (intercept, estimate of alpha)
    0.11074
  • Mean Square Error
    0.07709
  • DF error
    280.00000
  • t(b)
    5.87426
  • p(b)
    0.00000
  • t(a)
    0.40874
  • p(a)
    0.34152
  • Lowerbound of 95% confidence interval for beta
    0.89841
  • Upperbound of 95% confidence interval for beta
    1.80398
  • Lowerbound of 95% confidence interval for alpha
    -0.42258
  • Upperbound of 95% confidence interval for alpha
    0.64407
  • Treynor index (mean / b)
    0.26534
  • Jensen alpha (a)
    0.11074
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02808
  • Expected Shortfall on VaR
    0.03540
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01133
  • Expected Shortfall on VaR
    0.02383
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    282.00000
  • Minimum
    0.92127
  • Quartile 1
    0.99622
  • Median
    1.00000
  • Quartile 3
    1.00702
  • Maximum
    1.06640
  • Mean of quarter 1
    0.98203
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00273
  • Mean of quarter 4
    1.02243
  • Inter Quartile Range
    0.01080
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.08865
  • Mean of outliers low
    0.96535
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.09220
  • Mean of outliers high
    1.03880
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54298
  • VaR(95%) (moments method)
    0.01583
  • Expected Shortfall (moments method)
    0.04046
  • Extreme Value Index (regression method)
    0.29617
  • VaR(95%) (regression method)
    0.01701
  • Expected Shortfall (regression method)
    0.03166
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00524
  • Median
    0.00824
  • Quartile 3
    0.04173
  • Maximum
    0.18443
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.00596
  • Mean of quarter 3
    0.01394
  • Mean of quarter 4
    0.13302
  • Inter Quartile Range
    0.03648
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.13302
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.21626
  • VaR(95%) (moments method)
    0.14790
  • Expected Shortfall (moments method)
    0.19789
  • Extreme Value Index (regression method)
    4.34755
  • VaR(95%) (regression method)
    0.22024
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47920
  • Compounded annual return (geometric extrapolation)
    0.47172
  • Calmar ratio (compounded annual return / max draw down)
    2.55775
  • Compounded annual return / average of 25% largest draw downs
    3.54628
  • Compounded annual return / Expected Shortfall lognormal
    13.32530
  • 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
    -0.08029
  • SD
    0.28253
  • Sharpe ratio (Glass type estimate)
    -0.28419
  • Sharpe ratio (Hedges UMVUE)
    -0.28255
  • df
    130.00000
  • t
    -0.20095
  • p
    0.50881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.05573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48831
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48947
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38570
  • Upside Potential Ratio
    6.64379
  • Upside part of mean
    1.38306
  • Downside part of mean
    -1.46335
  • Upside SD
    0.18947
  • Downside SD
    0.20817
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16814
  • Mean of criterion
    -0.08029
  • SD of predictor
    0.07394
  • SD of criterion
    0.28253
  • Covariance
    0.00717
  • r
    0.34331
  • b (slope, estimate of beta)
    1.31184
  • a (intercept, estimate of alpha)
    -0.30087
  • Mean Square Error
    0.07096
  • DF error
    129.00000
  • t(b)
    4.15156
  • p(b)
    0.28581
  • t(a)
    -0.79083
  • p(a)
    0.54418
  • Lowerbound of 95% confidence interval for beta
    0.68665
  • Upperbound of 95% confidence interval for beta
    1.93703
  • Lowerbound of 95% confidence interval for alpha
    -1.05359
  • Upperbound of 95% confidence interval for alpha
    0.45185
  • Treynor index (mean / b)
    -0.06121
  • Jensen alpha (a)
    -0.30087
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12018
  • SD
    0.28402
  • Sharpe ratio (Glass type estimate)
    -0.42314
  • Sharpe ratio (Hedges UMVUE)
    -0.42069
  • df
    130.00000
  • t
    -0.29920
  • p
    0.51312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.19470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.19297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35159
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56351
  • Upside Potential Ratio
    6.40233
  • Upside part of mean
    1.36539
  • Downside part of mean
    -1.48557
  • Upside SD
    0.18607
  • Downside SD
    0.21326
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16537
  • Mean of criterion
    -0.12018
  • SD of predictor
    0.07382
  • SD of criterion
    0.28402
  • Covariance
    0.00728
  • r
    0.34717
  • b (slope, estimate of beta)
    1.33565
  • a (intercept, estimate of alpha)
    -0.34105
  • Mean Square Error
    0.07149
  • DF error
    129.00000
  • t(b)
    4.20465
  • p(b)
    0.28351
  • t(a)
    -0.89335
  • p(a)
    0.54987
  • Lowerbound of 95% confidence interval for beta
    0.70715
  • Upperbound of 95% confidence interval for beta
    1.96415
  • Lowerbound of 95% confidence interval for alpha
    -1.09638
  • Upperbound of 95% confidence interval for alpha
    0.41428
  • Treynor index (mean / b)
    -0.08998
  • Jensen alpha (a)
    -0.34105
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02889
  • Expected Shortfall on VaR
    0.03597
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01365
  • Expected Shortfall on VaR
    0.02774
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92127
  • Quartile 1
    0.99452
  • Median
    1.00000
  • Quartile 3
    1.00647
  • Maximum
    1.05969
  • Mean of quarter 1
    0.98015
  • Mean of quarter 2
    0.99791
  • Mean of quarter 3
    1.00192
  • Mean of quarter 4
    1.01929
  • Inter Quartile Range
    0.01195
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.95751
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.03434
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12574
  • VaR(95%) (moments method)
    0.01598
  • Expected Shortfall (moments method)
    0.02429
  • Extreme Value Index (regression method)
    0.09453
  • VaR(95%) (regression method)
    0.02036
  • Expected Shortfall (regression method)
    0.03133
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00015
  • Quartile 1
    0.01238
  • Median
    0.04566
  • Quartile 3
    0.10276
  • Maximum
    0.12453
  • Mean of quarter 1
    0.00240
  • Mean of quarter 2
    0.03561
  • Mean of quarter 3
    0.05572
  • Mean of quarter 4
    0.12149
  • Inter Quartile Range
    0.09038
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09017
  • Compounded annual return (geometric extrapolation)
    -0.08814
  • Calmar ratio (compounded annual return / max draw down)
    -0.70776
  • Compounded annual return / average of 25% largest draw downs
    -0.72551
  • Compounded annual return / Expected Shortfall lognormal
    -2.45054

Strategy Description

This strategy provides access to a thoroughly back-tested strategy, giving the user access to a detailed volatility system. This strategy trades only on simple instruments which are exchange-traded products such as VXX and XIV (inverse VIX), so that the user does not need access to futures or options. Moreover, the use of long XIV positions allows the strategy to “short” volatility without actually having to borrow stock, as this can lead to problems for the end-users of the system.
The goal of this strategy is to take advantage of XIV whenever it goes on a multi-week positive run. The strategy tries to prevent the biggest drawdowns in the XIV which can be quite detrimental to performance and move to VXX in bear markets but with far more conservative signal (2% of the time). The strategy is either 100% invested in XIV, VXX or 100% in cash. The strategy may have long stretches where it is fully in cash if conditions don't favor XIV. Ultimately for a full year, it is expected the strategy to be always absolutely positive and to outperform XIV on annual basis.

Using these 2 ETFs, the strategy switches between “risk-on” (VXX) and “risk-off” (XIV) according to 6 different metrics and volatility indicators.

The trading system is implemented as an automated strategy. Back-tested results can be made available to subscribers.
Back-test since 2004, 2006 or 2010 is available on demand. The biggest historical maximum drawdown is 24% and CAGR is 90% from 2006 and 147% from 2010.
The following are the detailed mechanics of this automated trading system:
- Trades will typically be placed just before 4:00pm ET if our indicators detect a change in direction.
- This strategy is in 100% cash approximately 52% of the time, VXX only 2% and XIV 46%
- This strategy makes ~30 trades per year.
- VXX trades are entered with roughly a 15% stop loss.
- XIV trades are entered with roughly a 15% stop loss.

Summary Statistics

Strategy began
2016-11-06
Minimum Capital Required
$5,000
# Trades
22
# Profitable
15
% Profitable
68.2%
Correlation S&P500
0.322
Sharpe Ratio
1.363

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.