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

SMTiming Conserve VR
(108002835)

Created by: SMTiming SMTiming
Started: 12/2016
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 $49.00 per month.

81.2%
Annual Return (Compounded)
16.8%
Max Drawdown
53
Num Trades
77.4%
Win Trades
2.3 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             (0.4%)(0.4%)
2017+27.6%+8.1%+4.3%+1.1%+1.1%+18.2%+1.3%(3.4%)(8.5%)+5.7%(5.3%)+17.5%+83.1%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 87 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/7/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 680 119.77 12/8 11:44 122.97 0.1%
Trade id #115247901
Max drawdown($83)
Time12/7/17 16:00
Quant open680
Worst price119.65
Drawdown as % of equity-0.10%
$2,169
Includes Typical Broker Commissions trade costs of $5.00
12/5/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 680 116.20 12/7 11:50 119.88 1.6%
Trade id #115208605
Max drawdown($1,325)
Time12/6/17 4:07
Quant open680
Worst price114.25
Drawdown as % of equity-1.60%
$2,499
Includes Typical Broker Commissions trade costs of $5.00
12/4/17 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 680 115.94 12/5 10:51 117.52 1.09%
Trade id #115181330
Max drawdown($889)
Time12/4/17 16:46
Quant open680
Worst price114.63
Drawdown as % of equity-1.09%
$1,071
Includes Typical Broker Commissions trade costs of $5.00
12/1/17 15:44 XIV VELOCITYSHARES DAILY INVERSE V LONG 675 114.92 12/4 11:53 119.47 0.72%
Trade id #115152306
Max drawdown($559)
Time12/1/17 15:48
Quant open675
Worst price114.09
Drawdown as % of equity-0.72%
$3,065
Includes Typical Broker Commissions trade costs of $5.00
11/17/17 15:54 XIV VELOCITYSHARES DAILY INVERSE V LONG 681 109.94 11/20 12:24 112.80 1.11%
Trade id #114923520
Max drawdown($851)
Time11/17/17 16:15
Quant open681
Worst price108.69
Drawdown as % of equity-1.11%
$1,944
Includes Typical Broker Commissions trade costs of $5.00
11/9/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 730 111.43 11/15 9:39 102.13 8.8%
Trade id #114778668
Max drawdown($6,787)
Time11/15/17 9:39
Quant open0
Worst price102.13
Drawdown as % of equity-8.80%
($6,792)
Includes Typical Broker Commissions trade costs of $5.00
11/3/17 15:56 XIV VELOCITYSHARES DAILY INVERSE V LONG 725 112.76 11/6 15:28 113.57 0.71%
Trade id #114680782
Max drawdown($584)
Time11/6/17 8:21
Quant open725
Worst price111.95
Drawdown as % of equity-0.71%
$587
Includes Typical Broker Commissions trade costs of $5.00
10/30/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 725 109.24 10/31 15:56 111.52 1.9%
Trade id #114592345
Max drawdown($1,553)
Time10/30/17 12:21
Quant open725
Worst price107.10
Drawdown as % of equity-1.90%
$1,644
Includes Typical Broker Commissions trade costs of $5.00
10/19/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 720 110.85 10/24 9:30 111.17 2.79%
Trade id #114379421
Max drawdown($2,251)
Time10/23/17 16:15
Quant open720
Worst price107.72
Drawdown as % of equity-2.79%
$229
Includes Typical Broker Commissions trade costs of $5.00
10/13/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 750 107.95 10/19 9:30 106.05 4.63%
Trade id #114251357
Max drawdown($3,885)
Time10/19/17 4:02
Quant open750
Worst price102.77
Drawdown as % of equity-4.63%
($1,432)
Includes Typical Broker Commissions trade costs of $5.00
10/6/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 750 102.59 10/13 15:44 107.99 2.77%
Trade id #114075598
Max drawdown($2,159)
Time10/9/17 15:15
Quant open750
Worst price99.71
Drawdown as % of equity-2.77%
$4,046
Includes Typical Broker Commissions trade costs of $5.00
9/22/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 820 93.18 9/26 15:54 93.77 3.38%
Trade id #113821600
Max drawdown($2,576)
Time9/25/17 12:22
Quant open820
Worst price90.04
Drawdown as % of equity-3.38%
$477
Includes Typical Broker Commissions trade costs of $5.00
9/20/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 825 93.15 9/22 9:46 91.23 2%
Trade id #113773564
Max drawdown($1,590)
Time9/22/17 9:46
Quant open0
Worst price91.23
Drawdown as % of equity-2.00%
($1,595)
Includes Typical Broker Commissions trade costs of $5.00
9/19/17 12:03 XIV VELOCITYSHARES DAILY INVERSE V LONG 845 93.58 9/20 14:22 91.09 2.61%
Trade id #113746807
Max drawdown($2,106)
Time9/20/17 14:22
Quant open0
Worst price91.09
Drawdown as % of equity-2.61%
($2,111)
Includes Typical Broker Commissions trade costs of $5.00
9/18/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 845 93.47 9/18 15:57 93.73 n/a $216
Includes Typical Broker Commissions trade costs of $5.00
9/11/17 15:50 XIV VELOCITYSHARES DAILY INVERSE V LONG 940 84.55 9/12 14:00 85.00 0.32%
Trade id #113630995
Max drawdown($260)
Time9/11/17 15:59
Quant open940
Worst price84.27
Drawdown as % of equity-0.32%
$422
Includes Typical Broker Commissions trade costs of $5.00
9/7/17 15:56 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,000 81.82 9/8 12:10 79.67 2.64%
Trade id #113589592
Max drawdown($2,142)
Time9/8/17 12:10
Quant open0
Worst price79.67
Drawdown as % of equity-2.64%
($2,147)
Includes Typical Broker Commissions trade costs of $5.00
9/5/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,025 79.85 9/6 10:45 80.02 0.32%
Trade id #113547298
Max drawdown($267)
Time9/5/17 16:01
Quant open1,025
Worst price79.59
Drawdown as % of equity-0.32%
$164
Includes Typical Broker Commissions trade costs of $5.00
8/31/17 15:50 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,010 83.75 9/5 9:30 81.10 4.08%
Trade id #113478542
Max drawdown($3,487)
Time9/5/17 4:01
Quant open1,010
Worst price80.30
Drawdown as % of equity-4.08%
($2,681)
Includes Typical Broker Commissions trade costs of $5.00
8/17/17 15:47 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,150 71.83 8/18 9:32 72.90 1.27%
Trade id #113208751
Max drawdown($1,074)
Time8/17/17 16:04
Quant open1,150
Worst price70.90
Drawdown as % of equity-1.27%
$1,218
Includes Typical Broker Commissions trade costs of $5.00
7/31/17 15:54 XIV VELOCITYSHARES DAILY INVERSE V LONG 924 94.57 8/9 9:31 89.96 5.37%
Trade id #112903039
Max drawdown($4,665)
Time8/9/17 5:52
Quant open924
Worst price89.52
Drawdown as % of equity-5.37%
($4,264)
Includes Typical Broker Commissions trade costs of $5.00
7/12/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,000 85.60 7/14 11:09 87.43 0.21%
Trade id #112561713
Max drawdown($184)
Time7/12/17 16:09
Quant open1,000
Worst price85.42
Drawdown as % of equity-0.21%
$1,821
Includes Typical Broker Commissions trade costs of $5.00
6/29/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,025 82.50 7/5 9:30 82.99 2.14%
Trade id #112291701
Max drawdown($1,889)
Time6/30/17 10:17
Quant open1,025
Worst price80.66
Drawdown as % of equity-2.14%
$497
Includes Typical Broker Commissions trade costs of $5.00
6/27/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 925 84.10 6/28 14:30 86.26 1.28%
Trade id #112243869
Max drawdown($1,080)
Time6/28/17 4:26
Quant open925
Worst price82.93
Drawdown as % of equity-1.28%
$1,995
Includes Typical Broker Commissions trade costs of $5.00
6/19/17 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 925 84.92 6/26 10:37 86.28 3.53%
Trade id #112124384
Max drawdown($2,861)
Time6/21/17 5:39
Quant open925
Worst price81.83
Drawdown as % of equity-3.53%
$1,254
Includes Typical Broker Commissions trade costs of $5.00
6/13/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 925 82.04 6/19 13:55 84.90 4.05%
Trade id #112040225
Max drawdown($3,274)
Time6/15/17 6:46
Quant open925
Worst price78.50
Drawdown as % of equity-4.05%
$2,643
Includes Typical Broker Commissions trade costs of $5.00
6/9/17 15:23 XIV VELOCITYSHARES DAILY INVERSE V LONG 925 80.00 6/13 13:42 82.00 3.11%
Trade id #111999734
Max drawdown($2,451)
Time6/12/17 9:54
Quant open925
Worst price77.35
Drawdown as % of equity-3.11%
$1,846
Includes Typical Broker Commissions trade costs of $5.00
6/8/17 15:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 925 81.41 6/9 13:08 82.24 1.79%
Trade id #111978333
Max drawdown($1,396)
Time6/8/17 17:16
Quant open925
Worst price79.90
Drawdown as % of equity-1.79%
$764
Includes Typical Broker Commissions trade costs of $5.00
6/5/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 925 80.89 6/8 13:47 81.51 3.95%
Trade id #111920815
Max drawdown($2,950)
Time6/7/17 12:52
Quant open925
Worst price77.70
Drawdown as % of equity-3.95%
$569
Includes Typical Broker Commissions trade costs of $5.00
6/5/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 925 80.68 6/5 12:39 82.00 0.09%
Trade id #111912757
Max drawdown($69)
Time6/5/17 9:34
Quant open925
Worst price80.61
Drawdown as % of equity-0.09%
$1,212
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/15/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    365.78
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    53
  • # Profitable
    41
  • % Profitable
    77.40%
  • Avg trade duration
    3.6 days
  • Max peak-to-valley drawdown
    16.76%
  • drawdown period
    Aug 08, 2017 - Sept 25, 2017
  • Annual Return (Compounded)
    81.2%
  • Avg win
    $1,802
  • Avg loss
    $2,637
  • Model Account Values (Raw)
  • Cash
    $92,254
  • Margin Used
    $0
  • Buying Power
    $92,254
  • Ratios
  • W:L ratio
    2.34:1
  • Sharpe Ratio
    2.976
  • Sortino Ratio
    5.111
  • Calmar Ratio
    5.781
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.35200
  • Return Statistics
  • Ann Return (w trading costs)
    81.2%
  • Ann Return (Compnd, No Fees)
    84.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    452
  • Popularity (Last 6 weeks)
    903
  • C2 Score
    76.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $2,638
  • Avg Win
    $1,803
  • # Winners
    41
  • # Losers
    12
  • % Winners
    77.4%
  • Frequency
  • Avg Position Time (mins)
    5211.97
  • Avg Position Time (hrs)
    86.87
  • Avg Trade Length
    3.6 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
    0.49152
  • SD
    0.32032
  • Sharpe ratio (Glass type estimate)
    1.53446
  • Sharpe ratio (Hedges UMVUE)
    1.41592
  • df
    10.00000
  • t
    1.46913
  • p
    0.08627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55502
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.45615
  • Upside Potential Ratio
    6.33876
  • Upside part of mean
    0.69918
  • Downside part of mean
    -0.20766
  • Upside SD
    0.31819
  • Downside SD
    0.11030
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.12022
  • Mean of criterion
    0.49152
  • SD of predictor
    0.05576
  • SD of criterion
    0.32032
  • Covariance
    0.00772
  • r
    0.43225
  • b (slope, estimate of beta)
    2.48321
  • a (intercept, estimate of alpha)
    0.19300
  • Mean Square Error
    0.09271
  • DF error
    9.00000
  • t(b)
    1.43804
  • p(b)
    0.09214
  • t(a)
    0.50821
  • p(a)
    0.31177
  • Lowerbound of 95% confidence interval for beta
    -1.42310
  • Upperbound of 95% confidence interval for beta
    6.38952
  • Lowerbound of 95% confidence interval for alpha
    -0.66610
  • Upperbound of 95% confidence interval for alpha
    1.05211
  • Treynor index (mean / b)
    0.19794
  • Jensen alpha (a)
    0.19300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43846
  • SD
    0.30340
  • Sharpe ratio (Glass type estimate)
    1.44514
  • Sharpe ratio (Hedges UMVUE)
    1.33350
  • df
    10.00000
  • t
    1.38362
  • p
    0.09829
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55298
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46240
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.84868
  • Upside Potential Ratio
    5.72287
  • Upside part of mean
    0.65197
  • Downside part of mean
    -0.21352
  • Upside SD
    0.29449
  • Downside SD
    0.11392
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.11796
  • Mean of criterion
    0.43846
  • SD of predictor
    0.05517
  • SD of criterion
    0.30340
  • Covariance
    0.00724
  • r
    0.43224
  • b (slope, estimate of beta)
    2.37701
  • a (intercept, estimate of alpha)
    0.15807
  • Mean Square Error
    0.08317
  • DF error
    9.00000
  • t(b)
    1.43800
  • p(b)
    0.09214
  • t(a)
    0.44052
  • p(a)
    0.33498
  • Lowerbound of 95% confidence interval for beta
    -1.36234
  • Upperbound of 95% confidence interval for beta
    6.11636
  • Lowerbound of 95% confidence interval for alpha
    -0.65364
  • Upperbound of 95% confidence interval for alpha
    0.96978
  • Treynor index (mean / b)
    0.18446
  • Jensen alpha (a)
    0.15807
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10195
  • Expected Shortfall on VaR
    0.13377
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03295
  • Expected Shortfall on VaR
    0.06374
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.92023
  • Quartile 1
    0.97387
  • Median
    1.02456
  • Quartile 3
    1.11478
  • Maximum
    1.18913
  • Mean of quarter 1
    0.94541
  • Mean of quarter 2
    1.00421
  • Mean of quarter 3
    1.06666
  • Mean of quarter 4
    1.16467
  • Inter Quartile Range
    0.14092
  • 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)
    -1.75091
  • VaR(95%) (moments method)
    0.06358
  • Expected Shortfall (moments method)
    0.06570
  • Extreme Value Index (regression method)
    0.13746
  • VaR(95%) (regression method)
    0.08267
  • Expected Shortfall (regression method)
    0.12094
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01726
  • Quartile 1
    0.04663
  • Median
    0.07601
  • Quartile 3
    0.10539
  • Maximum
    0.13477
  • Mean of quarter 1
    0.01726
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13477
  • Inter Quartile Range
    0.05876
  • 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)
    0.58191
  • Compounded annual return (geometric extrapolation)
    0.59419
  • Calmar ratio (compounded annual return / max draw down)
    4.40904
  • Compounded annual return / average of 25% largest draw downs
    4.40904
  • Compounded annual return / Expected Shortfall lognormal
    4.44194
  • 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
    0.59969
  • SD
    0.20090
  • Sharpe ratio (Glass type estimate)
    2.98506
  • Sharpe ratio (Hedges UMVUE)
    2.97644
  • df
    260.00000
  • t
    2.97936
  • p
    0.00158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.00191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96266
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95675
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.11059
  • Upside Potential Ratio
    11.69230
  • Upside part of mean
    1.37200
  • Downside part of mean
    -0.77231
  • Upside SD
    0.16676
  • Downside SD
    0.11734
  • N nonnegative terms
    118.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    261.00000
  • Mean of predictor
    0.14304
  • Mean of criterion
    0.59969
  • SD of predictor
    0.06737
  • SD of criterion
    0.20090
  • Covariance
    0.00455
  • r
    0.33650
  • b (slope, estimate of beta)
    1.00352
  • a (intercept, estimate of alpha)
    0.45600
  • Mean Square Error
    0.03593
  • DF error
    259.00000
  • t(b)
    5.75092
  • p(b)
    0.00000
  • t(a)
    2.38144
  • p(a)
    0.00898
  • Lowerbound of 95% confidence interval for beta
    0.65990
  • Upperbound of 95% confidence interval for beta
    1.34713
  • Lowerbound of 95% confidence interval for alpha
    0.07897
  • Upperbound of 95% confidence interval for alpha
    0.83332
  • Treynor index (mean / b)
    0.59759
  • Jensen alpha (a)
    0.45615
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57898
  • SD
    0.20005
  • Sharpe ratio (Glass type estimate)
    2.89414
  • Sharpe ratio (Hedges UMVUE)
    2.88578
  • df
    260.00000
  • t
    2.88861
  • p
    0.00210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.91204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.87080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90646
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.86510
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.87573
  • Upside Potential Ratio
    11.43780
  • Upside part of mean
    1.35821
  • Downside part of mean
    -0.77923
  • Upside SD
    0.16446
  • Downside SD
    0.11875
  • N nonnegative terms
    118.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    261.00000
  • Mean of predictor
    0.14073
  • Mean of criterion
    0.57898
  • SD of predictor
    0.06739
  • SD of criterion
    0.20005
  • Covariance
    0.00453
  • r
    0.33634
  • b (slope, estimate of beta)
    0.99852
  • a (intercept, estimate of alpha)
    0.43846
  • Mean Square Error
    0.03563
  • DF error
    259.00000
  • t(b)
    5.74773
  • p(b)
    0.00000
  • t(a)
    2.29927
  • p(a)
    0.01114
  • Lowerbound of 95% confidence interval for beta
    0.65643
  • Upperbound of 95% confidence interval for beta
    1.34062
  • Lowerbound of 95% confidence interval for alpha
    0.06295
  • Upperbound of 95% confidence interval for alpha
    0.81398
  • Treynor index (mean / b)
    0.57984
  • Jensen alpha (a)
    0.43846
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01796
  • Expected Shortfall on VaR
    0.02300
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00710
  • Expected Shortfall on VaR
    0.01480
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    261.00000
  • Minimum
    0.95747
  • Quartile 1
    0.99903
  • Median
    1.00000
  • Quartile 3
    1.00756
  • Maximum
    1.05608
  • Mean of quarter 1
    0.98866
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00306
  • Mean of quarter 4
    1.01816
  • Inter Quartile Range
    0.00854
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.07663
  • Mean of outliers low
    0.97782
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.08046
  • Mean of outliers high
    1.02881
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.54876
  • VaR(95%) (moments method)
    0.00443
  • Expected Shortfall (moments method)
    0.00530
  • Extreme Value Index (regression method)
    -0.17219
  • VaR(95%) (regression method)
    0.01245
  • Expected Shortfall (regression method)
    0.01770
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00667
  • Median
    0.01387
  • Quartile 3
    0.03343
  • Maximum
    0.14439
  • Mean of quarter 1
    0.00274
  • Mean of quarter 2
    0.00976
  • Mean of quarter 3
    0.01830
  • Mean of quarter 4
    0.06269
  • Inter Quartile Range
    0.02676
  • 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
    0.04545
  • Mean of outliers high
    0.14439
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39845
  • VaR(95%) (moments method)
    0.07392
  • Expected Shortfall (moments method)
    0.13254
  • Extreme Value Index (regression method)
    1.17957
  • VaR(95%) (regression method)
    0.08491
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.83365
  • Compounded annual return (geometric extrapolation)
    0.83472
  • Calmar ratio (compounded annual return / max draw down)
    5.78093
  • Compounded annual return / average of 25% largest draw downs
    13.31530
  • Compounded annual return / Expected Shortfall lognormal
    36.28460
  • 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
    0.27545
  • SD
    0.18028
  • Sharpe ratio (Glass type estimate)
    1.52795
  • Sharpe ratio (Hedges UMVUE)
    1.51912
  • df
    130.00000
  • t
    1.08042
  • p
    0.45283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.29707
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25231
  • Upside Potential Ratio
    8.33109
  • Upside part of mean
    1.01888
  • Downside part of mean
    -0.74342
  • Upside SD
    0.13261
  • Downside SD
    0.12230
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.27545
  • SD of predictor
    0.06774
  • SD of criterion
    0.18028
  • Covariance
    0.00319
  • r
    0.26153
  • b (slope, estimate of beta)
    0.69604
  • a (intercept, estimate of alpha)
    0.16051
  • Mean Square Error
    0.03051
  • DF error
    129.00000
  • t(b)
    3.07748
  • p(b)
    0.33542
  • t(a)
    0.64247
  • p(a)
    0.46407
  • Lowerbound of 95% confidence interval for beta
    0.24855
  • Upperbound of 95% confidence interval for beta
    1.14353
  • Lowerbound of 95% confidence interval for alpha
    -0.33380
  • Upperbound of 95% confidence interval for alpha
    0.65482
  • Treynor index (mean / b)
    0.39574
  • Jensen alpha (a)
    0.16051
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25915
  • SD
    0.18043
  • Sharpe ratio (Glass type estimate)
    1.43629
  • Sharpe ratio (Hedges UMVUE)
    1.42799
  • df
    130.00000
  • t
    1.01561
  • p
    0.45564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34367
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21093
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20523
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09041
  • Upside Potential Ratio
    8.14795
  • Upside part of mean
    1.01011
  • Downside part of mean
    -0.75096
  • Upside SD
    0.13112
  • Downside SD
    0.12397
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.25915
  • SD of predictor
    0.06776
  • SD of criterion
    0.18043
  • Covariance
    0.00320
  • r
    0.26145
  • b (slope, estimate of beta)
    0.69615
  • a (intercept, estimate of alpha)
    0.14582
  • Mean Square Error
    0.03056
  • DF error
    129.00000
  • t(b)
    3.07648
  • p(b)
    0.33547
  • t(a)
    0.58335
  • p(a)
    0.46736
  • Lowerbound of 95% confidence interval for beta
    0.24845
  • Upperbound of 95% confidence interval for beta
    1.14385
  • Lowerbound of 95% confidence interval for alpha
    -0.34875
  • Upperbound of 95% confidence interval for alpha
    0.64040
  • Treynor index (mean / b)
    0.37226
  • Jensen alpha (a)
    0.14582
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01720
  • Expected Shortfall on VaR
    0.02176
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00718
  • Expected Shortfall on VaR
    0.01517
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95747
  • Quartile 1
    0.99957
  • Median
    1.00000
  • Quartile 3
    1.00430
  • Maximum
    1.03480
  • Mean of quarter 1
    0.98901
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00151
  • Mean of quarter 4
    1.01415
  • Inter Quartile Range
    0.00472
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.98149
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.01970
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.50153
  • VaR(95%) (moments method)
    0.00435
  • Expected Shortfall (moments method)
    0.00541
  • Extreme Value Index (regression method)
    0.03944
  • VaR(95%) (regression method)
    0.01132
  • Expected Shortfall (regression method)
    0.01880
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00909
  • Median
    0.01360
  • Quartile 3
    0.04756
  • Maximum
    0.14439
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.01192
  • Mean of quarter 3
    0.01528
  • Mean of quarter 4
    0.14439
  • Inter Quartile Range
    0.03847
  • 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
    0.25000
  • Mean of outliers high
    0.14439
  • 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)
    0.30868
  • Compounded annual return (geometric extrapolation)
    0.33250
  • Calmar ratio (compounded annual return / max draw down)
    2.30276
  • Compounded annual return / average of 25% largest draw downs
    2.30276
  • Compounded annual return / Expected Shortfall lognormal
    15.28370

Strategy Description

The SMS Conserve VR Signal follows the the Volitility Index VIX by taking a conservative approach to the Voliatiliy variance in exchanges for more modest gains and drawdown. It's goal is to create safe returns without exposure to extreme variance. This is a signal for someone looking to invest as little as 3 months into the stock market.

How Often Are There Trades?

The SMS Conserve VR Signal typically trades 18-20 times per year, about once every 2 weeks. Trades are usually performed just before close on the day of the trade.

More Detailed information, backtesting results and charts can be found at:

https://www.smtiming.com/beta/signal/signal-sms-conserve-vr-description.php

**Backtesting data is hypothetical and it has not been verified by C2.

Summary Statistics

Strategy began
2016-12-15
Minimum Capital Required
$5,000
# Trades
53
# Profitable
41
% Profitable
77.4%
Correlation S&P500
0.352
Sharpe Ratio
2.976

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.

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