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Ultra Volatility




Hypothetical Monthly Returns (includes typical commissions and system fees)

 JanFebMarAprMayJunJulAugSepOctNovDec
2012                            (4.7%)+14.8%(0.4%)(0.4%)+0.5%(4.5%)+30.9%(11.3%)
2013+25.4%+2.4%+4.8%+8.5%+0.6%                                          
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 Mostly Stocks; (some options)
Strategies Volatility trading
System started 5/29/2012 (12 months ago)
System developer 5168 Options & Volatility
(Last login to C2: 5/22/13 23:00)
C2 Score: 969

Vendor has created 1 other system. Show
The name of this system has been changed 4 times. Show



Recently Closed Trades

CSVHide NamesDetails


Hypothetical Trading Results
Opened ETB/S#Symbol PriceClosedPriceRiskP/L
4/18/13 10:12 SELL 10 UVXY1322R9 UVXY Jun13 9 put (exp 06/22/2013) 2.55 4/18
10:13
2.60 Low ($69)
4/5/13 9:40 SELL 10 UVXY1322F9 UVXY Jun13 9 call (exp 06/22/2013) 1.75 4/17
10:47
1.65 Low $81
4/5/13 9:40 BUY 10 UVXY1322R9 UVXY Jun13 9 put (exp 06/22/2013) 2.70 4/17
10:46
2.65 Low ($69)
4/4/13 12:59 SELL 15 UVXY1322F8 UVXY Jun13 8 call (exp 06/22/2013) 1.95 4/17
10:46
1.95 Low ($29)
4/4/13 12:59 BUY 15 UVXY1322R8 UVXY Jun13 8 put (exp 06/22/2013) 2.08 4/17
10:46
1.95 Low ($229)
2/26/13 12:01 SELL 200 UVXY PROSHARES ULTRA VIX SHORT-TERM 13.49 4/17
10:46
8.02 Low $1,090
9/28/12 10:05 BUY 3,600 XIV VELOCITYSHARES DAILY INVERSE 17.63 4/17/13 10:45 20.53 High $10,381
3/14/13 14:50 BUY 1 UVXY1320D8 UVXY Apr13 8 call (exp 04/20/2013) 1.20 4/3
10:25
0.45 Low ($77)
10/23/12 11:30 SELL 800 VXX IPATH S&P 500 VIX SHORT-TERM 30.97 3/14/13 12:15 23.00 Normal $6,357
1/22/13 14:08 BUY 200 UVXY PROSHARES ULTRA VIX SHORT-TERM 11.15 1/30
14:12
10.93 Low ($48)
9/27/12 10:21 SELL 700 UVXY PROSHARES ULTRA VIX SHORT-TERM 30.99 1/14/13 12:42 16.38 Normal $10,209
5/30/12 9:30 BUY 2,558 XIV VELOCITYSHARES DAILY INVERSE 9.48 6/22
10:48
9.96 Normal $1,177
5/30/12 12:08 SELL 325 VXX IPATH S&P 500 VIX SHORT-TERM 80.84 6/22
10:48
69.32 Normal $3,738

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Statistics

Analytics  
All Statistics Based on Hypothetical Results
Trades17
# Profitable10 (58.8%)
# months tracked13
Profitable months8 (61.5%)
Avg trade duration43.7 days
Annual return (compounded)84.5%
Average win$4,263
Average loss$145
Profit factor41.8:1
Max peak-to-valley drawdown (historical)25.27%
drawdown periodDec 18, 2012 to Dec 29, 2012
Correlation w/ S&P0.332
Sharpe ratio1.896
Keep after worst-case slippage 99.8%
Probabilities of future account loss  
Chance of 10% account loss30.5%
Chance of 20% account loss11.5%
Chance of 30% account loss1.5%
Chance of 50% account loss0.0%
Chance of 100% account loss0.0%
Average Profit to Drawdown (APD)2.79
Average P/L per unit traded($3.51)


Reviews


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System Description

Ultra Volatility includes leveraged volatility ETFs/ETNs and/or corresponding options to benefit from the term structure features in volatility futures. Entry to and exit from market are based on proprietary developed timing signal system for optimal risk/reward conditions. Position sizes are adjusted according to market conditions and volatility situations.

- 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

Ultra Volatility includes leveraged volatility ETFs/ETNs and/or corresponding options to benefit from the term structure features in volatility futures.
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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$50,000
Buy Power$65,823
Cash$78,045
Equity$1,480
Cumulative $$41,620
Total System Equity$91,620
Margined$13,702
Open P/L$8,825


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