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VIXTrader
(106901765)

Created by: RobertPeterson RobertPeterson
Started: 11/2016
Stocks
Last trade: 4 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 $149.00 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.

45.0%
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.

(18.5%)
Max Drawdown
134
Num Trades
49.3%
Win Trades
2.1 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +26.6%+2.5%+29.8%
2017+12.7%+3.0%+7.2%(1%)+0.9%+5.2%+8.3%(0.6%)+8.0%+7.7%+1.4%+9.4%+81.4%
2018(2.9%)+4.1%(7.8%)+14.1%+2.1%(5.1%)(0.1%)(2.3%)(0.8%)(1.7%)(1.9%)+1.2%(2.7%)
2019+4.8%+1.3%(0.8%)+5.2%+2.1%+1.0%+4.4%                              +19.3%

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 72 hours.

Trading Record

This strategy has placed 687 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/3/19 12:14 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 956 23.47 7/5 9:35 24.08 0.86%
Trade id #124328070
Max drawdown($584)
Time7/5/19 9:35
Quant open478
Worst price24.09
Drawdown as % of equity-0.86%
($603)
Includes Typical Broker Commissions trade costs of $19.12
6/27/19 12:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,838 26.40 7/1 9:46 24.57 0.15%
Trade id #124257364
Max drawdown($94)
Time6/27/19 12:33
Quant open1,838
Worst price26.45
Drawdown as % of equity-0.15%
$3,356
Includes Typical Broker Commissions trade costs of $5.00
6/19/19 15:01 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,800 26.19 6/20 11:34 26.20 0.11%
Trade id #124149258
Max drawdown($68)
Time6/19/19 15:01
Quant open1,216
Worst price26.27
Drawdown as % of equity-0.11%
($29)
Includes Typical Broker Commissions trade costs of $7.50
6/13/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 827 27.40 6/13 15:30 27.86 0.59%
Trade id #124064593
Max drawdown($416)
Time6/13/19 15:20
Quant open-827
Worst price27.91
Drawdown as % of equity-0.59%
($385)
Includes Typical Broker Commissions trade costs of $5.00
6/10/19 9:40 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,568 27.47 6/11 11:39 27.97 1.08%
Trade id #124002114
Max drawdown($778)
Time6/11/19 11:39
Quant open0
Worst price27.97
Drawdown as % of equity-1.08%
($786)
Includes Typical Broker Commissions trade costs of $7.50
6/5/19 11:07 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,076 28.96 6/7 11:33 27.96 0.12%
Trade id #123949519
Max drawdown($86)
Time6/5/19 11:10
Quant open-721
Worst price29.16
Drawdown as % of equity-0.12%
$1,068
Includes Typical Broker Commissions trade costs of $8.55
6/4/19 10:38 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 721 29.56 6/5 10:49 29.25 0.24%
Trade id #123932550
Max drawdown($170)
Time6/4/19 10:47
Quant open-721
Worst price29.80
Drawdown as % of equity-0.24%
$222
Includes Typical Broker Commissions trade costs of $5.00
5/21/19 14:28 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 865 27.55 5/23 9:40 28.70 1.38%
Trade id #123757718
Max drawdown($997)
Time5/23/19 9:40
Quant open432
Worst price28.83
Drawdown as % of equity-1.38%
($1,008)
Includes Typical Broker Commissions trade costs of $11.15
5/21/19 10:43 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 765 27.69 5/21 10:56 27.69 0.02%
Trade id #123753399
Max drawdown($16)
Time5/21/19 10:50
Quant open-400
Worst price27.73
Drawdown as % of equity-0.02%
($9)
Includes Typical Broker Commissions trade costs of $10.15
5/16/19 9:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,572 28.55 5/16 15:44 28.36 0.09%
Trade id #123693316
Max drawdown($61)
Time5/16/19 9:33
Quant open786
Worst price28.98
Drawdown as % of equity-0.09%
$296
Includes Typical Broker Commissions trade costs of $7.50
5/15/19 10:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 753 30.19 5/15 12:15 29.91 0.2%
Trade id #123680262
Max drawdown($142)
Time5/15/19 11:06
Quant open-753
Worst price30.38
Drawdown as % of equity-0.20%
$204
Includes Typical Broker Commissions trade costs of $5.00
5/14/19 11:42 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 747 30.61 5/14 14:07 30.56 0.18%
Trade id #123665287
Max drawdown($126)
Time5/14/19 12:33
Quant open-747
Worst price30.78
Drawdown as % of equity-0.18%
$34
Includes Typical Broker Commissions trade costs of $5.00
5/9/19 14:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,402 30.69 5/10 15:58 28.51 1.95%
Trade id #123596704
Max drawdown($1,330)
Time5/10/19 10:42
Quant open-1,402
Worst price31.64
Drawdown as % of equity-1.95%
$3,051
Includes Typical Broker Commissions trade costs of $7.50
5/1/19 14:07 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 715 25.30 5/7 10:01 26.81 1.57%
Trade id #123495485
Max drawdown($1,080)
Time5/7/19 10:01
Quant open535
Worst price29.04
Drawdown as % of equity-1.57%
($1,090)
Includes Typical Broker Commissions trade costs of $9.65
4/29/19 12:04 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 495 25.37 4/30 11:03 26.25 0.63%
Trade id #123465320
Max drawdown($436)
Time4/30/19 11:03
Quant open0
Worst price26.25
Drawdown as % of equity-0.63%
($446)
Includes Typical Broker Commissions trade costs of $9.90
4/18/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,677 25.97 4/25 15:57 26.38 1.46%
Trade id #123356485
Max drawdown($1,033)
Time4/25/19 9:46
Quant open-1,216
Worst price26.65
Drawdown as % of equity-1.46%
($705)
Includes Typical Broker Commissions trade costs of $17.16
4/16/19 9:37 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,824 25.66 4/16 15:58 25.74 0.62%
Trade id #123326743
Max drawdown($441)
Time4/16/19 15:37
Quant open-1,824
Worst price25.90
Drawdown as % of equity-0.62%
($157)
Includes Typical Broker Commissions trade costs of $7.50
4/10/19 14:46 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,147 28.04 4/12 15:23 26.43 0.04%
Trade id #123272218
Max drawdown($29)
Time4/10/19 14:48
Quant open-871
Worst price28.32
Drawdown as % of equity-0.04%
$3,442
Includes Typical Broker Commissions trade costs of $11.55
4/2/19 12:03 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 737 28.64 4/3 9:30 28.15 0.2%
Trade id #123170499
Max drawdown($131)
Time4/2/19 16:14
Quant open-737
Worst price28.82
Drawdown as % of equity-0.20%
$357
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,440 29.46 4/1 15:59 28.72 0.22%
Trade id #123125152
Max drawdown($143)
Time3/29/19 13:21
Quant open-720
Worst price29.81
Drawdown as % of equity-0.22%
$1,060
Includes Typical Broker Commissions trade costs of $7.50
3/28/19 9:33 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 605 30.51 3/28 11:31 30.81 0.28%
Trade id #123111802
Max drawdown($184)
Time3/28/19 11:31
Quant open302
Worst price30.98
Drawdown as % of equity-0.28%
($193)
Includes Typical Broker Commissions trade costs of $8.55
3/27/19 9:31 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 620 30.28 3/27 11:17 31.56 1.19%
Trade id #123094975
Max drawdown($796)
Time3/27/19 11:17
Quant open310
Worst price31.60
Drawdown as % of equity-1.19%
($805)
Includes Typical Broker Commissions trade costs of $8.70
3/20/19 11:11 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 746 28.92 3/20 12:32 29.38 0.51%
Trade id #122991670
Max drawdown($343)
Time3/20/19 12:32
Quant open0
Worst price29.38
Drawdown as % of equity-0.51%
($348)
Includes Typical Broker Commissions trade costs of $5.00
3/15/19 15:42 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,579 28.48 3/18 11:25 28.87 0.9%
Trade id #122933576
Max drawdown($609)
Time3/18/19 11:25
Quant open0
Worst price28.87
Drawdown as % of equity-0.90%
($619)
Includes Typical Broker Commissions trade costs of $9.95
3/14/19 9:31 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,010 29.26 3/15 13:56 28.45 0.01%
Trade id #122909169
Max drawdown($9)
Time3/14/19 9:33
Quant open-1,020
Worst price29.70
Drawdown as % of equity-0.01%
$1,607
Includes Typical Broker Commissions trade costs of $12.30
3/13/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,516 29.68 3/13 11:52 29.61 0%
Trade id #122891608
Max drawdown($2)
Time3/13/19 9:32
Quant open-1,516
Worst price29.68
Drawdown as % of equity-0.00%
$102
Includes Typical Broker Commissions trade costs of $5.00
2/28/19 12:41 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,064 30.89 3/4 11:55 31.60 1.12%
Trade id #122735837
Max drawdown($760)
Time3/4/19 11:55
Quant open0
Worst price31.60
Drawdown as % of equity-1.12%
($767)
Includes Typical Broker Commissions trade costs of $6.80
2/22/19 10:33 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 977 30.90 2/25 11:40 30.04 0.32%
Trade id #122642360
Max drawdown($213)
Time2/22/19 15:01
Quant open-977
Worst price31.12
Drawdown as % of equity-0.32%
$838
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 9:49 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 932 32.35 2/20 12:33 32.15 0%
Trade id #122600603
Max drawdown($2)
Time2/20/19 9:51
Quant open-932
Worst price32.35
Drawdown as % of equity-0.00%
$178
Includes Typical Broker Commissions trade costs of $5.00
2/13/19 13:45 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,282 32.93 2/19 15:45 32.38 3.2%
Trade id #122507790
Max drawdown($2,069)
Time2/14/19 9:48
Quant open-1,282
Worst price34.54
Drawdown as % of equity-3.20%
$691
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    11/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    984.49
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    134
  • # Profitable
    66
  • % Profitable
    49.30%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    18.49%
  • drawdown period
    May 21, 2018 - Nov 20, 2018
  • Annual Return (Compounded)
    45.0%
  • Avg win
    $1,445
  • Avg loss
    $676.22
  • Model Account Values (Raw)
  • Cash
    $125,590
  • Margin Used
    $98,833
  • Buying Power
    $27,637
  • Ratios
  • W:L ratio
    2.07:1
  • Sharpe Ratio
    1.79
  • Sortino Ratio
    3
  • Calmar Ratio
    3.413
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.34210
  • Return Statistics
  • Ann Return (w trading costs)
    45.0%
  • Ann Return (Compnd, No Fees)
    50.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    939
  • Popularity (Last 6 weeks)
    980
  • C2 Score
    99.8
  • 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
    $676
  • Avg Win
    $1,451
  • # Winners
    66
  • # Losers
    68
  • % Winners
    49.2%
  • Frequency
  • Avg Position Time (mins)
    6658.77
  • Avg Position Time (hrs)
    110.98
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.76
  • Daily leverage (max)
    1.79
  • Unknown
  • Alpha
    0.09
  • Beta
    0.47
  • Treynor Index
    0.22
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41819
  • SD
    0.23848
  • Sharpe ratio (Glass type estimate)
    1.75354
  • Sharpe ratio (Hedges UMVUE)
    1.71072
  • df
    31.00000
  • t
    2.86353
  • p
    0.00373
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01757
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98424
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.35499
  • Upside Potential Ratio
    7.80393
  • Upside part of mean
    0.51354
  • Downside part of mean
    -0.09535
  • Upside SD
    0.25562
  • Downside SD
    0.06581
  • N nonnegative terms
    20.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.11663
  • Mean of criterion
    0.41819
  • SD of predictor
    0.11345
  • SD of criterion
    0.23848
  • Covariance
    0.01549
  • r
    0.57264
  • b (slope, estimate of beta)
    1.20379
  • a (intercept, estimate of alpha)
    0.27779
  • Mean Square Error
    0.03950
  • DF error
    30.00000
  • t(b)
    3.82588
  • p(b)
    0.00031
  • t(a)
    2.18534
  • p(a)
    0.01840
  • Lowerbound of 95% confidence interval for beta
    0.56120
  • Upperbound of 95% confidence interval for beta
    1.84637
  • Lowerbound of 95% confidence interval for alpha
    0.01819
  • Upperbound of 95% confidence interval for alpha
    0.53740
  • Treynor index (mean / b)
    0.34740
  • Jensen alpha (a)
    0.27779
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38560
  • SD
    0.22275
  • Sharpe ratio (Glass type estimate)
    1.73109
  • Sharpe ratio (Hedges UMVUE)
    1.68881
  • df
    31.00000
  • t
    2.82685
  • p
    0.00408
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44412
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96052
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.70283
  • Upside Potential Ratio
    7.14285
  • Upside part of mean
    0.48297
  • Downside part of mean
    -0.09737
  • Upside SD
    0.23640
  • Downside SD
    0.06762
  • N nonnegative terms
    20.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.10966
  • Mean of criterion
    0.38560
  • SD of predictor
    0.11285
  • SD of criterion
    0.22275
  • Covariance
    0.01463
  • r
    0.58218
  • b (slope, estimate of beta)
    1.14915
  • a (intercept, estimate of alpha)
    0.25958
  • Mean Square Error
    0.03389
  • DF error
    30.00000
  • t(b)
    3.92193
  • p(b)
    0.00024
  • t(a)
    2.21434
  • p(a)
    0.01727
  • Lowerbound of 95% confidence interval for beta
    0.55075
  • Upperbound of 95% confidence interval for beta
    1.74755
  • Lowerbound of 95% confidence interval for alpha
    0.02017
  • Upperbound of 95% confidence interval for alpha
    0.49900
  • Treynor index (mean / b)
    0.33555
  • Jensen alpha (a)
    0.25958
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07099
  • Expected Shortfall on VaR
    0.09536
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01481
  • Expected Shortfall on VaR
    0.03239
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.92946
  • Quartile 1
    0.99423
  • Median
    1.01059
  • Quartile 3
    1.06104
  • Maximum
    1.25023
  • Mean of quarter 1
    0.97173
  • Mean of quarter 2
    1.00390
  • Mean of quarter 3
    1.03995
  • Mean of quarter 4
    1.13313
  • Inter Quartile Range
    0.06681
  • 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
    0.03125
  • Mean of outliers high
    1.25023
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35919
  • VaR(95%) (moments method)
    0.02170
  • Expected Shortfall (moments method)
    0.04333
  • Extreme Value Index (regression method)
    1.17208
  • VaR(95%) (regression method)
    0.01684
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00576
  • Quartile 1
    0.00866
  • Median
    0.02893
  • Quartile 3
    0.06316
  • Maximum
    0.08060
  • Mean of quarter 1
    0.00585
  • Mean of quarter 2
    0.01682
  • Mean of quarter 3
    0.04104
  • Mean of quarter 4
    0.07557
  • Inter Quartile Range
    0.05451
  • 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)
    0.75459
  • Compounded annual return (geometric extrapolation)
    0.51211
  • Calmar ratio (compounded annual return / max draw down)
    6.35395
  • Compounded annual return / average of 25% largest draw downs
    6.77695
  • Compounded annual return / Expected Shortfall lognormal
    5.37009
  • 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
    0.39958
  • SD
    0.16690
  • Sharpe ratio (Glass type estimate)
    2.39413
  • Sharpe ratio (Hedges UMVUE)
    2.39156
  • df
    698.00000
  • t
    3.91053
  • p
    0.00005
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.18682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59804
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.10983
  • Upside Potential Ratio
    10.72690
  • Upside part of mean
    1.04293
  • Downside part of mean
    -0.64335
  • Upside SD
    0.13774
  • Downside SD
    0.09723
  • N nonnegative terms
    297.00000
  • N negative terms
    402.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    699.00000
  • Mean of predictor
    0.11765
  • Mean of criterion
    0.39958
  • SD of predictor
    0.12658
  • SD of criterion
    0.16690
  • Covariance
    0.00686
  • r
    0.32462
  • b (slope, estimate of beta)
    0.42803
  • a (intercept, estimate of alpha)
    0.34900
  • Mean Square Error
    0.02496
  • DF error
    697.00000
  • t(b)
    9.06099
  • p(b)
    -0.00000
  • t(a)
    3.60487
  • p(a)
    0.00017
  • Lowerbound of 95% confidence interval for beta
    0.33528
  • Upperbound of 95% confidence interval for beta
    0.52077
  • Lowerbound of 95% confidence interval for alpha
    0.15902
  • Upperbound of 95% confidence interval for alpha
    0.53943
  • Treynor index (mean / b)
    0.93354
  • Jensen alpha (a)
    0.34923
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38540
  • SD
    0.16637
  • Sharpe ratio (Glass type estimate)
    2.31648
  • Sharpe ratio (Hedges UMVUE)
    2.31399
  • df
    698.00000
  • t
    3.78370
  • p
    0.00008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.10958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52006
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91128
  • Upside Potential Ratio
    10.48850
  • Upside part of mean
    1.03349
  • Downside part of mean
    -0.64809
  • Upside SD
    0.13601
  • Downside SD
    0.09854
  • N nonnegative terms
    297.00000
  • N negative terms
    402.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    699.00000
  • Mean of predictor
    0.10959
  • Mean of criterion
    0.38540
  • SD of predictor
    0.12680
  • SD of criterion
    0.16637
  • Covariance
    0.00686
  • r
    0.32539
  • b (slope, estimate of beta)
    0.42694
  • a (intercept, estimate of alpha)
    0.33861
  • Mean Square Error
    0.02479
  • DF error
    697.00000
  • t(b)
    9.08484
  • p(b)
    -0.00000
  • t(a)
    3.50813
  • p(a)
    0.00024
  • Lowerbound of 95% confidence interval for beta
    0.33467
  • Upperbound of 95% confidence interval for beta
    0.51921
  • Lowerbound of 95% confidence interval for alpha
    0.14910
  • Upperbound of 95% confidence interval for alpha
    0.52812
  • Treynor index (mean / b)
    0.90270
  • Jensen alpha (a)
    0.33861
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01532
  • Expected Shortfall on VaR
    0.01953
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00610
  • Expected Shortfall on VaR
    0.01262
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    699.00000
  • Minimum
    0.94332
  • Quartile 1
    0.99747
  • Median
    1.00000
  • Quartile 3
    1.00512
  • Maximum
    1.05068
  • Mean of quarter 1
    0.99109
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.01440
  • Inter Quartile Range
    0.00765
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.03863
  • Mean of outliers low
    0.97663
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.07439
  • Mean of outliers high
    1.02579
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35491
  • VaR(95%) (moments method)
    0.00812
  • Expected Shortfall (moments method)
    0.01516
  • Extreme Value Index (regression method)
    0.28361
  • VaR(95%) (regression method)
    0.00802
  • Expected Shortfall (regression method)
    0.01391
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00064
  • Quartile 1
    0.00394
  • Median
    0.01119
  • Quartile 3
    0.04333
  • Maximum
    0.14995
  • Mean of quarter 1
    0.00251
  • Mean of quarter 2
    0.00754
  • Mean of quarter 3
    0.02348
  • Mean of quarter 4
    0.06376
  • Inter Quartile Range
    0.03940
  • 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
    0.02222
  • Mean of outliers high
    0.14995
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40305
  • VaR(95%) (moments method)
    0.07347
  • Expected Shortfall (moments method)
    0.11653
  • Extreme Value Index (regression method)
    0.84786
  • VaR(95%) (regression method)
    0.06119
  • Expected Shortfall (regression method)
    0.19321
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75423
  • Compounded annual return (geometric extrapolation)
    0.51181
  • Calmar ratio (compounded annual return / max draw down)
    3.41315
  • Compounded annual return / average of 25% largest draw downs
    8.02718
  • Compounded annual return / Expected Shortfall lognormal
    26.20600
  • 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
    0.27466
  • SD
    0.12053
  • Sharpe ratio (Glass type estimate)
    2.27880
  • Sharpe ratio (Hedges UMVUE)
    2.26562
  • df
    130.00000
  • t
    1.61135
  • p
    0.43003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06004
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51983
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.05108
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04989
  • Upside Potential Ratio
    10.86690
  • Upside part of mean
    0.73700
  • Downside part of mean
    -0.46233
  • Upside SD
    0.10052
  • Downside SD
    0.06782
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28735
  • Mean of criterion
    0.27466
  • SD of predictor
    0.10934
  • SD of criterion
    0.12053
  • Covariance
    0.00273
  • r
    0.20678
  • b (slope, estimate of beta)
    0.22795
  • a (intercept, estimate of alpha)
    0.20916
  • Mean Square Error
    0.01401
  • DF error
    129.00000
  • t(b)
    2.40048
  • p(b)
    0.36930
  • t(a)
    1.23310
  • p(a)
    0.43142
  • Lowerbound of 95% confidence interval for beta
    0.04007
  • Upperbound of 95% confidence interval for beta
    0.41582
  • Lowerbound of 95% confidence interval for alpha
    -0.12644
  • Upperbound of 95% confidence interval for alpha
    0.54478
  • Treynor index (mean / b)
    1.20496
  • Jensen alpha (a)
    0.20916
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26733
  • SD
    0.12006
  • Sharpe ratio (Glass type estimate)
    2.22661
  • Sharpe ratio (Hedges UMVUE)
    2.21374
  • df
    130.00000
  • t
    1.57445
  • p
    0.43161
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.99858
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91176
  • Upside Potential Ratio
    10.71030
  • Upside part of mean
    0.73193
  • Downside part of mean
    -0.46461
  • Upside SD
    0.09953
  • Downside SD
    0.06834
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28123
  • Mean of criterion
    0.26733
  • SD of predictor
    0.10940
  • SD of criterion
    0.12006
  • Covariance
    0.00272
  • r
    0.20703
  • b (slope, estimate of beta)
    0.22721
  • a (intercept, estimate of alpha)
    0.20343
  • Mean Square Error
    0.01390
  • DF error
    129.00000
  • t(b)
    2.40349
  • p(b)
    0.36915
  • t(a)
    1.20472
  • p(a)
    0.43297
  • Lowerbound of 95% confidence interval for beta
    0.04017
  • Upperbound of 95% confidence interval for beta
    0.41424
  • Lowerbound of 95% confidence interval for alpha
    -0.13066
  • Upperbound of 95% confidence interval for alpha
    0.53752
  • Treynor index (mean / b)
    1.17657
  • Jensen alpha (a)
    0.20343
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01112
  • Expected Shortfall on VaR
    0.01417
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00456
  • Expected Shortfall on VaR
    0.00927
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97378
  • Quartile 1
    0.99856
  • Median
    1.00000
  • Quartile 3
    1.00348
  • Maximum
    1.03208
  • Mean of quarter 1
    0.99353
  • Mean of quarter 2
    0.99972
  • Mean of quarter 3
    1.00104
  • Mean of quarter 4
    1.01032
  • Inter Quartile Range
    0.00492
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98637
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.01715
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10711
  • VaR(95%) (moments method)
    0.00481
  • Expected Shortfall (moments method)
    0.00731
  • Extreme Value Index (regression method)
    0.14424
  • VaR(95%) (regression method)
    0.00589
  • Expected Shortfall (regression method)
    0.00941
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00113
  • Quartile 1
    0.00616
  • Median
    0.01739
  • Quartile 3
    0.02667
  • Maximum
    0.04512
  • Mean of quarter 1
    0.00243
  • Mean of quarter 2
    0.01519
  • Mean of quarter 3
    0.02093
  • Mean of quarter 4
    0.03448
  • Inter Quartile Range
    0.02051
  • 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)
    -0.46293
  • VaR(95%) (moments method)
    0.04003
  • Expected Shortfall (moments method)
    0.04442
  • Extreme Value Index (regression method)
    1.12204
  • VaR(95%) (regression method)
    0.04874
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31814
  • Compounded annual return (geometric extrapolation)
    0.34344
  • Calmar ratio (compounded annual return / max draw down)
    7.61251
  • Compounded annual return / average of 25% largest draw downs
    9.95932
  • Compounded annual return / Expected Shortfall lognormal
    24.22980

Strategy Description

The goal is 10%-20% per month while maintaining low DD. This algorithmic trading system is aimed at achieving an absolute return and its success does not depend on market behavior.

Various researches proved that one can know in advance when emotions such as hope and fear will emerge and how human beings demonstrate consistent reactions to such emotions. In fact, hope, fear, greed, herd-dynamics, euphoria and panic drive the wheels of capital markets everywhere. When human activities, which come as a reaction to a certain emotion, repeat themselves enough times and last for a sufficient amount of time, this could create a fertile ground of information that enables one to track down those behaviors, which repeat themselves over and over again among investors.
When a certain behavior is found to be predictable with sufficiently high rates of success, then we can claim that we had found the base for a trading strategy.
My system is based on waves of euphoria and panic appearing among buyers and sellers in the capital markets quite frequently. The "herd dynamics" that follows only enhances the magnitude of such waves.
Upon the recognition of such wave of euphoria or panic in the market, the strategy starts seeking the most appropriate timing to tag along. When this moment arrives, a chain of decision making commences, at the end of which an order to sell or buy the symbol VXX or XIV is being issued. When the strategy identifies the coming end of such wave then once again a decision making chain commences, in the end of which an order to sell or buy a security is issued for the purpose exiting the trading position. In the cases where the system identifies an unpredictable wave behavior, an order to close the position is being closed.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, I do make an effort to control the risk as I do to my private money.


Summary Statistics

Strategy began
2016-11-03
Suggested Minimum Capital
$35,000
# Trades
134
# Profitable
66
% Profitable
49.3%
Correlation S&P500
0.342
Sharpe Ratio
1.79
Sortino Ratio
3.00
Beta
0.47
Alpha
0.09
Leverage
0.76 Average
1.79 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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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