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Featured Strategy Easiest Followed by live capital $484,000 Hypothetical

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Volatility Fusion
(106941436)

Created by: JeanGevau JeanGevau
Started: 11/2016
Stocks
Last trade: 2,122 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.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

0.9%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(57.7%)
Max Drawdown
33
Num Trades
63.6%
Win Trades
1.1 : 1
Profit Factor
13.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +20.3%(4.3%)+15.1%
2017+19.6%+15.0%+4.4%(13.1%)+4.0%+0.3%(6.4%)+7.4%+5.5%(4.3%)(1.9%)(8.2%)+19.0%
2018+5.6%(0.4%)+1.2%+2.8%+0.4%(28.9%)  -    -    -    -    -    -  (21.9%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 140 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/18/18 10:25 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 220 40.65 6/25 9:44 46.58 1.84%
Trade id #118481860
Max drawdown($413)
Time6/18/18 16:02
Quant open220
Worst price38.77
Drawdown as % of equity-1.84%
 $1,302
Includes Typical Broker Commissions trade costs of $4.40
5/23/18 9:38 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 120 47.74 6/18 10:25 42.91 12.45%
Trade id #118067206
Max drawdown($9,858)
Time6/18/18 10:25
Quant open-840
Worst price41.75
Drawdown as % of equity-12.45%
 ($9,864)
Includes Typical Broker Commissions trade costs of $6.20
4/16/18 12:52 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 400 34.79 4/24 14:10 36.85 2.14%
Trade id #117529154
Max drawdown($671)
Time4/17/18 15:38
Quant open300
Worst price32.88
Drawdown as % of equity-2.14%
 $819
Includes Typical Broker Commissions trade costs of $8.00
3/15/18 12:02 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 100 33.35 3/20 9:30 36.25 0.43%
Trade id #117066444
Max drawdown($136)
Time3/16/18 11:34
Quant open100
Worst price31.99
Drawdown as % of equity-0.43%
 $288
Includes Typical Broker Commissions trade costs of $2.00
3/9/18 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 300 33.14 3/13 12:29 33.36 1.42%
Trade id #116956478
Max drawdown($443)
Time3/9/18 15:57
Quant open300
Worst price31.66
Drawdown as % of equity-1.42%
 $61
Includes Typical Broker Commissions trade costs of $6.00
2/14/18 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 100 47.60 2/21 15:44 43.15 2.17%
Trade id #116500699
Max drawdown($681)
Time2/15/18 9:31
Quant open100
Worst price40.79
Drawdown as % of equity-2.17%
 ($447)
Includes Typical Broker Commissions trade costs of $2.00
2/6/18 15:15 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 350 45.59 2/7 9:30 45.39 3.66%
Trade id #116353767
Max drawdown($1,137)
Time2/6/18 16:02
Quant open350
Worst price42.34
Drawdown as % of equity-3.66%
 ($78)
Includes Typical Broker Commissions trade costs of $7.00
2/6/18 15:07 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 150 46.09 2/6 15:15 47.07 0.49%
Trade id #116353379
Max drawdown($156)
Time2/6/18 15:15
Quant open-150
Worst price47.13
Drawdown as % of equity-0.49%
 ($150)
Includes Typical Broker Commissions trade costs of $3.00
2/6/18 15:00 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 150 47.62 2/6 15:03 47.55 0%
Trade id #116353108
Max drawdown($1)
Time2/6/18 15:02
Quant open-150
Worst price47.63
Drawdown as % of equity-0.00%
 $8
Includes Typical Broker Commissions trade costs of $3.00
2/5/18 14:16 XIV VELOCITYSHARES DAILY INVERSE V SHORT 382 103.97 2/6 13:30 35.10 0.16%
Trade id #116306634
Max drawdown($53)
Time2/5/18 14:18
Quant open-186
Worst price105.99
Drawdown as % of equity-0.16%
 $26,298
Includes Typical Broker Commissions trade costs of $7.64
2/5/18 14:16 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 569 76.55 2/6 11:41 28.17 83.97%
Trade id #116306636
Max drawdown($27,528)
Time2/6/18 11:41
Quant open161
Worst price11.16
Drawdown as % of equity-83.97%
 ($27,539)
Includes Typical Broker Commissions trade costs of $11.38
10/5/17 11:40 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,050 34.03 2/2/18 15:05 33.30 22.26%
Trade id #114041171
Max drawdown($6,328)
Time1/11/18 14:03
Quant open750
Worst price25.59
Drawdown as % of equity-22.26%
 ($782)
Includes Typical Broker Commissions trade costs of $21.00
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 SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN 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
1/12/17 23:36: Rescaled upward by +-300% of previous Model Account size
1/12/17 10:03: Rescaled downward to 50% of previous Model Account size
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
Next

Statistics

  • Strategy began
    11/6/2016
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    2716.37
  • Age
    91 months ago
  • What it trades
    Stocks
  • # Trades
    33
  • # Profitable
    21
  • % Profitable
    63.60%
  • Avg trade duration
    12.3 days
  • Max peak-to-valley drawdown
    57.66%
  • drawdown period
    Feb 06, 2018 - June 18, 2018
  • Annual Return (Compounded)
    0.9%
  • Avg win
    $2,368
  • Avg loss
    $3,801
  • Model Account Values (Raw)
  • Cash
    $24,116
  • Margin Used
    $0
  • Buying Power
    $24,116
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.03
  • Sortino Ratio
    0.04
  • Calmar Ratio
    0.212
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -138.75%
  • Correlation to SP500
    0.04990
  • Return Percent SP500 (cumu) during strategy life
    142.75%
  • Return Statistics
  • Ann Return (w trading costs)
    0.9%
  • Slump
  • Current Slump as Pcnt Equity
    117.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.83%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.009%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    83.00%
  • Chance of 20% account loss
    69.00%
  • Chance of 30% account loss
    56.50%
  • Chance of 40% account loss
    35.00%
  • Chance of 60% account loss (Monte Carlo)
    7.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    21.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,801
  • Avg Win
    $2,368
  • Sum Trade PL (losers)
    $45,617.000
  • Age
  • Num Months filled monthly returns table
    90
  • Win / Loss
  • Sum Trade PL (winners)
    $49,732.000
  • # Winners
    21
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    12
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    17654.60
  • Avg Position Time (hrs)
    294.24
  • Avg Trade Length
    12.3 days
  • Last Trade Ago
    2121
  • Regression
  • Alpha
    0.00
  • Beta
    0.05
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.08
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    87.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    85.74
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.65
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.16
  • Avg(MAE) / Avg(PL) - All trades
    17.663
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.362
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.199
  • Hold-and-Hope Ratio
    0.057
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08669
  • SD
    0.28257
  • Sharpe ratio (Glass type estimate)
    0.30680
  • Sharpe ratio (Hedges UMVUE)
    0.29879
  • df
    29.00000
  • t
    0.48510
  • p
    0.31562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54076
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46886
  • Upside Potential Ratio
    1.67281
  • Upside part of mean
    0.30931
  • Downside part of mean
    -0.22261
  • Upside SD
    0.20886
  • Downside SD
    0.18490
  • N nonnegative terms
    11.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.30528
  • Mean of criterion
    0.08669
  • SD of predictor
    0.20144
  • SD of criterion
    0.28257
  • Covariance
    -0.00284
  • r
    -0.04997
  • b (slope, estimate of beta)
    -0.07010
  • a (intercept, estimate of alpha)
    0.10809
  • Mean Square Error
    0.08249
  • DF error
    28.00000
  • t(b)
    -0.26475
  • p(b)
    0.60343
  • t(a)
    0.54367
  • p(a)
    0.29549
  • Lowerbound of 95% confidence interval for beta
    -0.61244
  • Upperbound of 95% confidence interval for beta
    0.47225
  • Lowerbound of 95% confidence interval for alpha
    -0.29918
  • Upperbound of 95% confidence interval for alpha
    0.51536
  • Treynor index (mean / b)
    -1.23681
  • Jensen alpha (a)
    0.10809
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04697
  • SD
    0.28827
  • Sharpe ratio (Glass type estimate)
    0.16293
  • Sharpe ratio (Hedges UMVUE)
    0.15867
  • df
    29.00000
  • t
    0.25761
  • p
    0.39926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07872
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39893
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.22462
  • Upside Potential Ratio
    1.38290
  • Upside part of mean
    0.28916
  • Downside part of mean
    -0.24219
  • Upside SD
    0.19181
  • Downside SD
    0.20909
  • N nonnegative terms
    11.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.28173
  • Mean of criterion
    0.04697
  • SD of predictor
    0.19992
  • SD of criterion
    0.28827
  • Covariance
    -0.00255
  • r
    -0.04432
  • b (slope, estimate of beta)
    -0.06391
  • a (intercept, estimate of alpha)
    0.06497
  • Mean Square Error
    0.08590
  • DF error
    28.00000
  • t(b)
    -0.23477
  • p(b)
    0.59195
  • t(a)
    0.32389
  • p(a)
    0.37421
  • Lowerbound of 95% confidence interval for beta
    -0.62154
  • Upperbound of 95% confidence interval for beta
    0.49372
  • Lowerbound of 95% confidence interval for alpha
    -0.34594
  • Upperbound of 95% confidence interval for alpha
    0.47588
  • Treynor index (mean / b)
    -0.73489
  • Jensen alpha (a)
    0.06497
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12450
  • Expected Shortfall on VaR
    0.15402
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04866
  • Expected Shortfall on VaR
    0.10412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.74376
  • Quartile 1
    0.99812
  • Median
    1.00000
  • Quartile 3
    1.01840
  • Maximum
    1.24009
  • Mean of quarter 1
    0.93596
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00469
  • Mean of quarter 4
    1.09576
  • Inter Quartile Range
    0.02027
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.90156
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.11993
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36814
  • VaR(95%) (moments method)
    0.01684
  • Expected Shortfall (moments method)
    0.03615
  • Extreme Value Index (regression method)
    0.91129
  • VaR(95%) (regression method)
    0.08340
  • Expected Shortfall (regression method)
    1.15444
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.28891
  • Quartile 1
    0.28891
  • Median
    0.28891
  • Quartile 3
    0.28891
  • Maximum
    0.28891
  • 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)
    0.08234
  • Compounded annual return (geometric extrapolation)
    0.07775
  • Calmar ratio (compounded annual return / max draw down)
    0.26910
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.50478
  • 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
    0.09037
  • SD
    0.28480
  • Sharpe ratio (Glass type estimate)
    0.31732
  • Sharpe ratio (Hedges UMVUE)
    0.31696
  • df
    667.00000
  • t
    0.50668
  • p
    0.30627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91036
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54455
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38909
  • Upside Potential Ratio
    3.72877
  • Upside part of mean
    0.86607
  • Downside part of mean
    -0.77570
  • Upside SD
    0.16454
  • Downside SD
    0.23227
  • N nonnegative terms
    169.00000
  • N negative terms
    499.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    668.00000
  • Mean of predictor
    0.36497
  • Mean of criterion
    0.09037
  • SD of predictor
    0.27872
  • SD of criterion
    0.28480
  • Covariance
    0.00337
  • r
    0.04241
  • b (slope, estimate of beta)
    0.04334
  • a (intercept, estimate of alpha)
    0.07500
  • Mean Square Error
    0.08109
  • DF error
    666.00000
  • t(b)
    1.09549
  • p(b)
    0.13685
  • t(a)
    0.41670
  • p(a)
    0.33851
  • Lowerbound of 95% confidence interval for beta
    -0.03434
  • Upperbound of 95% confidence interval for beta
    0.12101
  • Lowerbound of 95% confidence interval for alpha
    -0.27676
  • Upperbound of 95% confidence interval for alpha
    0.42587
  • Treynor index (mean / b)
    2.08540
  • Jensen alpha (a)
    0.07456
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04551
  • SD
    0.30828
  • Sharpe ratio (Glass type estimate)
    0.14762
  • Sharpe ratio (Hedges UMVUE)
    0.14746
  • df
    667.00000
  • t
    0.23572
  • p
    0.40686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37507
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37495
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17322
  • Upside Potential Ratio
    3.24604
  • Upside part of mean
    0.85285
  • Downside part of mean
    -0.80734
  • Upside SD
    0.16086
  • Downside SD
    0.26273
  • N nonnegative terms
    169.00000
  • N negative terms
    499.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    668.00000
  • Mean of predictor
    0.32596
  • Mean of criterion
    0.04551
  • SD of predictor
    0.27866
  • SD of criterion
    0.30828
  • Covariance
    0.00354
  • r
    0.04117
  • b (slope, estimate of beta)
    0.04554
  • a (intercept, estimate of alpha)
    0.03066
  • Mean Square Error
    0.09502
  • DF error
    666.00000
  • t(b)
    1.06330
  • p(b)
    0.14402
  • t(a)
    0.15843
  • p(a)
    0.43708
  • Lowerbound of 95% confidence interval for beta
    -0.03856
  • Upperbound of 95% confidence interval for beta
    0.12965
  • Lowerbound of 95% confidence interval for alpha
    -0.34939
  • Upperbound of 95% confidence interval for alpha
    0.41072
  • Treynor index (mean / b)
    0.99926
  • Jensen alpha (a)
    0.03066
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03067
  • Expected Shortfall on VaR
    0.03833
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00854
  • Expected Shortfall on VaR
    0.01932
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    668.00000
  • Minimum
    0.70272
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00015
  • Maximum
    1.08452
  • Mean of quarter 1
    0.98847
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01333
  • Inter Quartile Range
    0.00015
  • Number outliers low
    134.00000
  • Percentage of outliers low
    0.20060
  • Mean of outliers low
    0.98565
  • Number of outliers high
    163.00000
  • Percentage of outliers high
    0.24401
  • Mean of outliers high
    1.01365
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70658
  • VaR(95%) (moments method)
    0.00536
  • Expected Shortfall (moments method)
    0.02311
  • Extreme Value Index (regression method)
    0.48114
  • VaR(95%) (regression method)
    0.00950
  • Expected Shortfall (regression method)
    0.02669
  • 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
    0.35915
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.00596
  • Mean of quarter 3
    0.01394
  • Mean of quarter 4
    0.19126
  • 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
    0.19126
  • 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)
    0.08074
  • Compounded annual return (geometric extrapolation)
    0.07618
  • Calmar ratio (compounded annual return / max draw down)
    0.21211
  • Compounded annual return / average of 25% largest draw downs
    0.39830
  • Compounded annual return / Expected Shortfall lognormal
    1.98727
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67837
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41430
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59247
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41417
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6839750000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    515461000000000022082675149897728.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -474960000
  • Max Equity Drawdown (num days)
    132
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

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.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-11-06
Suggested Minimum Capital
$15,000
# Trades
33
# Profitable
21
% Profitable
63.6%
Correlation S&P500
0.050
Sharpe Ratio
0.03
Sortino Ratio
0.04
Beta
0.05
Alpha
-0.00

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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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.