This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (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 nonUS) (server 2)
Scaling percentage used
100%
# trading signals issued by system since certification
145
# trading signals executed in manager's Interactive Brokers (Direct Connection nonUS) (server 2) account
144
Percent signals followed since 12/28/2016
99.3%
This information was last updated
7/16/18 13:59 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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
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.
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)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (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 nonUS) (server 2) 
Scaling percentage used  100% 
# trading signals issued by system since certification  145 
# trading signals executed in manager's Interactive Brokers (Direct Connection nonUS) (server 2) account  144 
Percent signals followed since 12/28/2016  99.3% 
This information was last updated  7/16/18 13:59 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $97.00 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  +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%)  (8.2%)  +21.5% 
2018  +5.1%  (0.7%)  +0.9%  +2.4%  +0.1%  (28.8%)  (0.4%)  (23.5%) 
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  $20,000  
Buy Power  $24,115  
Cash  $1  
Equity  $1  
Cumulative $  $4,115  
Total System Equity  $24,115  
Margined  $1  
Open P/L  $0  
Data has been delayed by 48 hours for nonsubscribers 
System developer has asked us to delay this information by 48 hours.
Trading Record
Statistics

Strategy began11/6/2016

Suggested Minimum Cap$15,000

Strategy Age (days)614.45

Age21 months ago

What it tradesStocks

# Trades33

# Profitable21

% Profitable63.60%

Avg trade duration12.3 days

Max peaktovalley drawdown57.61%

drawdown periodFeb 06, 2018  June 18, 2018

Annual Return (Compounded)4.9%

Avg win$2,368

Avg loss$3,801
 Model Account Values (Raw)

Cash$24,115

Margin Used$0

Buying Power$24,115
 Ratios

W:L ratio1.09:1

Sharpe Ratio0.451

Sortino Ratio0.554

Calmar Ratio0.352
 CORRELATION STATISTICS

Correlation to SP5000.15200
 Return Statistics

Ann Return (w trading costs)4.9%

Ann Return (Compnd, No Fees)11.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss89.50%

Chance of 20% account loss75.50%

Chance of 30% account loss51.00%

Chance of 40% account loss35.00%

Chance of 50% account loss23.50%
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)717

C2 Score5.3
 TradesOwnSystem Certification

Trades Own System?183799

TOS percent100%
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$3,801

Avg Win$2,368

# Winners21

# Losers12

% Winners63.6%
 Frequency

Avg Position Time (mins)17654.60

Avg Position Time (hrs)294.24

Avg Trade Length12.3 days

Last Trade Ago19
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.33394

SD0.28327

Sharpe ratio (Glass type estimate)1.17888

Sharpe ratio (Hedges UMVUE)1.12596

df17.00000

t1.44382

p0.29349

Lowerbound of 95% confidence interval for Sharpe Ratio0.48524

Upperbound of 95% confidence interval for Sharpe Ratio2.81057

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.51849

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.77041
 Statistics related to Sortino ratio

Sortino ratio3.00221

Upside Potential Ratio4.63459

Upside part of mean0.51551

Downside part of mean0.18157

Upside SD0.26964

Downside SD0.11123

N nonnegative terms11.00000

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

N of observations18.00000

Mean of predictor0.14719

Mean of criterion0.33394

SD of predictor0.09623

SD of criterion0.28327

Covariance0.00058

r0.02123

b (slope, estimate of beta)0.06249

a (intercept, estimate of alpha)0.34314

Mean Square Error0.08522

DF error16.00000

t(b)0.08493

p(b)0.51061

t(a)1.31068

p(a)0.34431

Lowerbound of 95% confidence interval for beta1.62223

Upperbound of 95% confidence interval for beta1.49726

Lowerbound of 95% confidence interval for alpha0.21186

Upperbound of 95% confidence interval for alpha0.89814

Treynor index (mean / b)5.34424

Jensen alpha (a)0.34314
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.29424

SD0.26751

Sharpe ratio (Glass type estimate)1.09990

Sharpe ratio (Hedges UMVUE)1.05053

df17.00000

t1.34710

p0.30551

Lowerbound of 95% confidence interval for Sharpe Ratio0.55716

Upperbound of 95% confidence interval for Sharpe Ratio2.72650

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.58827

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.68933
 Statistics related to Sortino ratio

Sortino ratio2.53398

Upside Potential Ratio4.15039

Upside part of mean0.48193

Downside part of mean0.18769

Upside SD0.24763

Downside SD0.11612

N nonnegative terms11.00000

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

N of observations18.00000

Mean of predictor0.14165

Mean of criterion0.29424

SD of predictor0.09585

SD of criterion0.26751

Covariance0.00092

r0.03574

b (slope, estimate of beta)0.09975

a (intercept, estimate of alpha)0.30837

Mean Square Error0.07594

DF error16.00000

t(b)0.14306

p(b)0.51787

t(a)1.25493

p(a)0.35033

Lowerbound of 95% confidence interval for beta1.57789

Upperbound of 95% confidence interval for beta1.37839

Lowerbound of 95% confidence interval for alpha0.21254

Upperbound of 95% confidence interval for alpha0.82927

Treynor index (mean / b)2.94980

Jensen alpha (a)0.30837
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09742

Expected Shortfall on VaR0.12573
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02943

Expected Shortfall on VaR0.06091
 ORDER STATISTICS
 Quartiles of return rates

Number of observations18.00000

Minimum0.89359

Quartile 10.99052

Median1.01186

Quartile 31.05692

Maximum1.24009

Mean of quarter 10.95078

Mean of quarter 21.00271

Mean of quarter 31.02743

Mean of quarter 41.13367

Inter Quartile Range0.06641

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.05556

Mean of outliers high1.24009
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)5.08875

VaR(95%) (moments method)0.03030

Expected Shortfall (moments method)0.03031

Extreme Value Index (regression method)0.17500

VaR(95%) (regression method)0.06484

Expected Shortfall (regression method)0.11083
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.14752

Quartile 10.14752

Median0.14752

Quartile 30.14752

Maximum0.14752

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

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

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.41419

Compounded annual return (geometric extrapolation)0.38008

Calmar ratio (compounded annual return / max draw down)2.57657

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal3.02304

0.00000

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

Mean0.16387

SD0.36274

Sharpe ratio (Glass type estimate)0.45175

Sharpe ratio (Hedges UMVUE)0.45093

df411.00000

t0.56650

p0.28568

Lowerbound of 95% confidence interval for Sharpe Ratio1.11175

Upperbound of 95% confidence interval for Sharpe Ratio2.01480

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11234

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.01420
 Statistics related to Sortino ratio

Sortino ratio0.55408

Upside Potential Ratio4.74799

Upside part of mean1.40421

Downside part of mean1.24035

Upside SD0.20952

Downside SD0.29575

N nonnegative terms169.00000

N negative terms243.00000
 Statistics related to linear regression on benchmark

N of observations412.00000

Mean of predictor0.14805

Mean of criterion0.16387

SD of predictor0.10977

SD of criterion0.36274

Covariance0.00562

r0.14121

b (slope, estimate of beta)0.46663

a (intercept, estimate of alpha)0.09500

Mean Square Error0.12927

DF error410.00000

t(b)2.88824

p(b)0.00204

t(a)0.32944

p(a)0.37100

Lowerbound of 95% confidence interval for beta0.14904

Upperbound of 95% confidence interval for beta0.78423

Lowerbound of 95% confidence interval for alpha0.47079

Upperbound of 95% confidence interval for alpha0.66036

Treynor index (mean / b)0.35117

Jensen alpha (a)0.09478
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09113

SD0.39270

Sharpe ratio (Glass type estimate)0.23205

Sharpe ratio (Hedges UMVUE)0.23163

df411.00000

t0.29099

p0.38560

Lowerbound of 95% confidence interval for Sharpe Ratio1.33111

Upperbound of 95% confidence interval for Sharpe Ratio1.79499

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.33142

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.79468
 Statistics related to Sortino ratio

Sortino ratio0.27239

Upside Potential Ratio4.13331

Upside part of mean1.38277

Downside part of mean1.29164

Upside SD0.20483

Downside SD0.33454

N nonnegative terms169.00000

N negative terms243.00000
 Statistics related to linear regression on benchmark

N of observations412.00000

Mean of predictor0.14196

Mean of criterion0.09113

SD of predictor0.11014

SD of criterion0.39270

Covariance0.00582

r0.13463

b (slope, estimate of beta)0.48003

a (intercept, estimate of alpha)0.02298

Mean Square Error0.15179

DF error410.00000

t(b)2.75115

p(b)0.00310

t(a)0.07374

p(a)0.47063

Lowerbound of 95% confidence interval for beta0.13704

Upperbound of 95% confidence interval for beta0.82303

Lowerbound of 95% confidence interval for alpha0.58969

Upperbound of 95% confidence interval for alpha0.63566

Treynor index (mean / b)0.18984

Jensen alpha (a)0.02298
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03879

Expected Shortfall on VaR0.04844
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01172

Expected Shortfall on VaR0.02660
 ORDER STATISTICS
 Quartiles of return rates

Number of observations412.00000

Minimum0.70272

Quartile 10.99778

Median1.00000

Quartile 31.00505

Maximum1.08452

Mean of quarter 10.98167

Mean of quarter 20.99964

Mean of quarter 31.00142

Mean of quarter 41.02019

Inter Quartile Range0.00728

Number outliers low39.00000

Percentage of outliers low0.09466

Mean of outliers low0.96250

Number of outliers high46.00000

Percentage of outliers high0.11165

Mean of outliers high1.03343
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.56372

VaR(95%) (moments method)0.01180

Expected Shortfall (moments method)0.03240

Extreme Value Index (regression method)0.53035

VaR(95%) (regression method)0.01439

Expected Shortfall (regression method)0.03812
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations12.00000

Minimum0.00019

Quartile 10.00524

Median0.00824

Quartile 30.04173

Maximum0.35915

Mean of quarter 10.00196

Mean of quarter 20.00596

Mean of quarter 30.01394

Mean of quarter 40.19126

Inter Quartile Range0.03648

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.25000

Mean of outliers high0.19126
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.58759

VaR(95%) (moments method)0.22131

Expected Shortfall (moments method)0.54424

Extreme Value Index (regression method)6.06720

VaR(95%) (regression method)0.67075

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.13090

Compounded annual return (geometric extrapolation)0.12641

Calmar ratio (compounded annual return / max draw down)0.35197

Compounded annual return / average of 25% largest draw downs0.66093

Compounded annual return / Expected Shortfall lognormal2.60943

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

Mean0.38738

SD0.47770

Sharpe ratio (Glass type estimate)0.81092

Sharpe ratio (Hedges UMVUE)0.80623

df130.00000

t0.57341

p0.52511

Lowerbound of 95% confidence interval for Sharpe Ratio3.58303

Upperbound of 95% confidence interval for Sharpe Ratio1.96409

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.57977

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.96731
 Statistics related to Sortino ratio

Sortino ratio0.87658

Upside Potential Ratio1.98383

Upside part of mean0.87669

Downside part of mean1.26407

Upside SD0.17816

Downside SD0.44192

N nonnegative terms40.00000

N negative terms91.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.08285

Mean of criterion0.38738

SD of predictor0.16425

SD of criterion0.47770

Covariance0.00218

r0.02775

b (slope, estimate of beta)0.08071

a (intercept, estimate of alpha)0.39407

Mean Square Error0.22979

DF error129.00000

t(b)0.31530

p(b)0.48234

t(a)0.58100

p(a)0.53251

Lowerbound of 95% confidence interval for beta0.42575

Upperbound of 95% confidence interval for beta0.58717

Lowerbound of 95% confidence interval for alpha1.73602

Upperbound of 95% confidence interval for alpha0.94789

Treynor index (mean / b)4.79963

Jensen alpha (a)0.39407
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.52326

SD0.54751

Sharpe ratio (Glass type estimate)0.95572

Sharpe ratio (Hedges UMVUE)0.95019

df130.00000

t0.67579

p0.52958

Lowerbound of 95% confidence interval for Sharpe Ratio3.72815

Upperbound of 95% confidence interval for Sharpe Ratio1.82034

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.72440

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.82402
 Statistics related to Sortino ratio

Sortino ratio1.00982

Upside Potential Ratio1.66221

Upside part of mean0.86131

Downside part of mean1.38457

Upside SD0.17326

Downside SD0.51817

N nonnegative terms40.00000

N negative terms91.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.06936

Mean of criterion0.52326

SD of predictor0.16507

SD of criterion0.54751

Covariance0.00268

r0.02964

b (slope, estimate of beta)0.09830

a (intercept, estimate of alpha)0.53008

Mean Square Error0.30182

DF error129.00000

t(b)0.33676

p(b)0.48113

t(a)0.68203

p(a)0.53814

Lowerbound of 95% confidence interval for beta0.47924

Upperbound of 95% confidence interval for beta0.67585

Lowerbound of 95% confidence interval for alpha2.06781

Upperbound of 95% confidence interval for alpha1.00765

Treynor index (mean / b)5.32300

Jensen alpha (a)0.53008
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05601

Expected Shortfall on VaR0.06918
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01324

Expected Shortfall on VaR0.03048
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.70272

Quartile 10.99906

Median1.00000

Quartile 31.00078

Maximum1.08452

Mean of quarter 10.98122

Mean of quarter 20.99992

Mean of quarter 31.00009

Mean of quarter 41.01333

Inter Quartile Range0.00171

Number outliers low26.00000

Percentage of outliers low0.19847

Mean of outliers low0.97659

Number of outliers high22.00000

Percentage of outliers high0.16794

Mean of outliers high1.01921
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.90488

VaR(95%) (moments method)0.00786

Expected Shortfall (moments method)0.09442

Extreme Value Index (regression method)0.74235

VaR(95%) (regression method)0.01145

Expected Shortfall (regression method)0.05510
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.02986

Quartile 10.06145

Median0.07558

Quartile 30.13777

Maximum0.31350

Mean of quarter 10.02986

Mean of quarter 20.07198

Mean of quarter 30.07919

Mean of quarter 40.31350

Inter Quartile Range0.07632

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high0.31350
 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)0.43878

Compounded annual return (geometric extrapolation)0.39065

Calmar ratio (compounded annual return / max draw down)1.24609

Compounded annual return / average of 25% largest draw downs1.24609

Compounded annual return / Expected Shortfall lognormal5.64673
Strategy Description
The goal of this strategy is to take advantage of XIV whenever it goes on a multiweek 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 “riskon” (VXX) and “riskoff” (XIV) according to 6 different metrics and volatility indicators.
The trading system is implemented as an automated strategy. Backtested results can be made available to subscribers.
Backtest 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.
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.
Not available
This feature isn't available under your current Trade Leader Plan.
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.
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.