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Strategic Volatility Portfolio




Hypothetical Monthly Returns (includes typical commissions and system fees)

 JanFebMarAprMayJunJulAugSepOctNovDec
2012                            (1.3%)+7.1%+6.6%+1.8%+2.9%(1.1%)+2.3%(2.2%)
2013+3.5%(0.9%)+2.3%(0.7%)  -                                            
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this

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Technical Analysis:  Moving Average daysX

Instruments Stocks
Strategies Buy undervalue, Market timing
System started 5/17/2012 (12 months ago)
System developer Volatility Specialist
(Last login to C2: 4/30/13 12:28)
C2 Score: 626

Vendor has created 1 other system. Show
The name of this system has been changed 1 time. Show



Recently Closed Trades

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Hypothetical Trading Results
Opened ETB/S#Symbol PriceClosedPriceRiskP/L
6/7/12 15:43 BUY 340 VXZ IPATH S&P 500 VIX MID-TERM F 51.42 6/22
10:58
48.03 Low ($1,159)

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Statistics

Analytics  
All Statistics Based on Hypothetical Results
Trades4
# Profitable2 (50.0%)
# months tracked13
Profitable months7 (53.8%)
Avg trade duration282.7 days
Annual return (compounded)22.6%
Average win$15,152
Average loss$3,553
Profit factor4.3:1
Max peak-to-valley drawdown (historical)4.12%
drawdown periodApril 13, 2013 to April 18, 2013
Correlation w/ S&P0.490
Sharpe ratio1.908
Keep after worst-case slippage 99.2%
Probabilities of future account loss  
Chance of 10% account loss1.5%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 50% account loss0.0%
Chance of 100% account loss0.0%
Average Profit to Drawdown (APD)2.65
Average P/L per unit traded($3.39)


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System Description

Well use different volatility ETP/ETN to build a hybrid portfolio, where we have long term holding and short/mid term trading. Well take advantage of the volatilitys unique behavior: overly priced, mean reversion, and auto-correlation to benefit from the market imbalance.

- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.

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Overview

Trading with long term and short term volatility strategy
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- This text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified the Overview text above. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.

Model Account Status

Started$100,000
Buy Power$91,953
Cash$82,162
Equity$9,790
Cumulative $$23,198
Total System Equity$123,198
Margined$0
Open P/L$24,350


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