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VXX Bias
(100707640)

Created by: Jay_Wolberg Jay_Wolberg
Started: 02/2016
Stocks
Last trade: 10 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 $70.00 per month.

57.9%
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.

(45.8%)
Max Drawdown
94
Num Trades
43.6%
Win Trades
1.6 : 1
Profit Factor
63.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +3.2%+25.6%+0.6%+20.0%(6.8%)+34.2%+10.9%(14.8%)(3.2%)+2.6%+7.5%+97.7%
2017+30.6%+4.2%+4.6%+12.6%(12.7%)(17.7%)+6.9%(16.6%)+16.6%+6.5%+6.7%+13.9%+55.0%
2018+8.0%+36.8%+1.5%(0.7%)(3.1%)+5.4%(7.9%)(13%)+3.0%+28.8%(14.6%)+21.6%+67.8%
2019(14.8%)(5.1%)(1.2%)                                                      (20.1%)

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 80 hours.

Trading Record

This strategy has placed 110 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/6/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 5,975 31.74 3/11 15:57 30.72 2.81%
Trade id #122809543
Max drawdown($6,177)
Time3/11/19 15:56
Quant open5,975
Worst price30.71
Drawdown as % of equity-2.81%
($6,123)
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,731 51.07 3/6 15:57 50.72 1.73%
Trade id #122608835
Max drawdown($3,656)
Time2/27/19 10:29
Quant open3,731
Worst price50.09
Drawdown as % of equity-1.73%
($1,311)
Includes Typical Broker Commissions trade costs of $5.00
2/14/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 6,058 33.70 2/20 15:57 31.45 6.71%
Trade id #122532907
Max drawdown($14,222)
Time2/20/19 15:25
Quant open6,058
Worst price31.35
Drawdown as % of equity-6.71%
($13,636)
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 13:09 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 2,300 47.80 2/14 15:57 49.38 0.12%
Trade id #122296639
Max drawdown($276)
Time1/31/19 13:30
Quant open2,300
Worst price47.68
Drawdown as % of equity-0.12%
$3,629
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 12:35 VXXB IPATH SER B S&P 500 VIX SHOR LONG 2,650 36.22 1/31 13:06 36.10 0.15%
Trade id #122295286
Max drawdown($344)
Time1/31/19 12:40
Quant open2,650
Worst price36.09
Drawdown as % of equity-0.15%
($323)
Includes Typical Broker Commissions trade costs of $5.00
1/28/19 15:57 VXXB IPATH SER B S&P 500 VIX SHOR LONG 5,174 38.96 1/29 9:30 38.31 2.16%
Trade id #122226719
Max drawdown($4,863)
Time1/29/19 8:53
Quant open5,174
Worst price38.02
Drawdown as % of equity-2.16%
($3,368)
Includes Typical Broker Commissions trade costs of $5.00
1/24/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,465 46.22 1/28 15:57 46.00 1.76%
Trade id #122166687
Max drawdown($3,929)
Time1/28/19 12:04
Quant open4,465
Worst price45.34
Drawdown as % of equity-1.76%
($987)
Includes Typical Broker Commissions trade costs of $5.00
1/23/19 13:06 VXXB IPATH SER B S&P 500 VIX SHOR LONG 5,318 41.71 1/24 15:57 38.69 7.01%
Trade id #122137083
Max drawdown($16,060)
Time1/24/19 15:56
Quant open5,318
Worst price38.69
Drawdown as % of equity-7.01%
($16,065)
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,318 40.81 1/23 13:06 41.69 3.05%
Trade id #122118529
Max drawdown($7,232)
Time1/23/19 8:05
Quant open5,318
Worst price39.45
Drawdown as % of equity-3.05%
$4,675
Includes Typical Broker Commissions trade costs of $5.00
1/8/19 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 4,844 44.50 1/22 15:57 44.98 0.16%
Trade id #121855972
Max drawdown($387)
Time1/10/19 9:56
Quant open4,844
Worst price44.42
Drawdown as % of equity-0.16%
$2,320
Includes Typical Broker Commissions trade costs of $5.00
12/6/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,368 37.76 1/8/19 15:57 42.19 n/a $23,775
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,134 36.86 12/6 15:57 37.76 2.16%
Trade id #121344592
Max drawdown($4,466)
Time12/4/18 19:19
Quant open5,134
Worst price35.99
Drawdown as % of equity-2.16%
$4,616
Includes Typical Broker Commissions trade costs of $5.00
11/21/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,854 47.65 12/4 15:57 48.09 1.24%
Trade id #121110756
Max drawdown($2,543)
Time11/23/18 9:32
Quant open3,854
Worst price46.99
Drawdown as % of equity-1.24%
$1,691
Includes Typical Broker Commissions trade costs of $5.00
11/19/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 4,877 37.32 11/21 15:57 38.38 0.9%
Trade id #121058277
Max drawdown($1,804)
Time11/19/18 16:07
Quant open4,877
Worst price36.95
Drawdown as % of equity-0.90%
$5,165
Includes Typical Broker Commissions trade costs of $5.00
11/16/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,760 49.78 11/19 15:57 48.35 2.79%
Trade id #121020808
Max drawdown($5,715)
Time11/19/18 14:17
Quant open3,760
Worst price48.26
Drawdown as % of equity-2.79%
($5,382)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,285 36.16 11/16 15:57 35.38 2.9%
Trade id #120891906
Max drawdown($6,024)
Time11/16/18 15:46
Quant open5,285
Worst price35.02
Drawdown as % of equity-2.90%
($4,127)
Includes Typical Broker Commissions trade costs of $5.00
11/7/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 3,882 52.07 11/12 15:57 49.25 5.26%
Trade id #120807528
Max drawdown($11,180)
Time11/12/18 15:55
Quant open3,882
Worst price49.19
Drawdown as % of equity-5.26%
($10,952)
Includes Typical Broker Commissions trade costs of $5.00
10/4/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 6,208 27.82 11/7 15:57 32.58 n/a $29,545
Includes Typical Broker Commissions trade costs of $5.00
10/1/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 6,516 26.40 10/2 9:30 26.43 0.34%
Trade id #120123930
Max drawdown($651)
Time10/1/18 17:44
Quant open6,516
Worst price26.30
Drawdown as % of equity-0.34%
$190
Includes Typical Broker Commissions trade costs of $5.00
9/28/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 6,604 26.74 10/1 9:31 25.98 2.8%
Trade id #120099471
Max drawdown($5,481)
Time10/1/18 9:31
Quant open6,604
Worst price25.91
Drawdown as % of equity-2.80%
($5,024)
Includes Typical Broker Commissions trade costs of $5.00
9/24/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 6,536 26.65 9/28 9:30 27.04 1.38%
Trade id #120011625
Max drawdown($2,679)
Time9/25/18 9:33
Quant open6,536
Worst price26.24
Drawdown as % of equity-1.38%
$2,544
Includes Typical Broker Commissions trade costs of $5.00
9/21/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 6,521 26.64 9/24 9:30 26.83 0.14%
Trade id #119984935
Max drawdown($260)
Time9/21/18 16:04
Quant open6,521
Worst price26.60
Drawdown as % of equity-0.14%
$1,234
Includes Typical Broker Commissions trade costs of $5.00
9/12/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 2,942 57.00 9/21 15:57 59.05 67.09%
Trade id #119831673
Max drawdown($125,976)
Time9/17/18 19:15
Quant open2,942
Worst price14.18
Drawdown as % of equity-67.09%
$6,026
Includes Typical Broker Commissions trade costs of $5.00
9/11/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 11,980 14.17 9/12 9:31 14.17 0.19%
Trade id #119811220
Max drawdown($359)
Time9/12/18 9:10
Quant open11,980
Worst price14.14
Drawdown as % of equity-0.19%
($5)
Includes Typical Broker Commissions trade costs of $5.00
9/5/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,734 29.48 9/11 15:57 29.06 1.31%
Trade id #119737119
Max drawdown($2,465)
Time9/11/18 15:46
Quant open5,734
Worst price29.05
Drawdown as % of equity-1.31%
($2,413)
Includes Typical Broker Commissions trade costs of $5.00
8/27/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 12,152 14.37 9/5 15:57 14.07 3.14%
Trade id #119603084
Max drawdown($5,954)
Time9/5/18 10:24
Quant open12,152
Worst price13.88
Drawdown as % of equity-3.14%
($3,651)
Includes Typical Broker Commissions trade costs of $5.00
8/16/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 12,087 13.89 8/24 9:30 14.30 0.77%
Trade id #119477027
Max drawdown($1,450)
Time8/17/18 8:27
Quant open12,087
Worst price13.77
Drawdown as % of equity-0.77%
$4,951
Includes Typical Broker Commissions trade costs of $5.00
8/15/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 5,369 31.93 8/16 15:57 30.44 6.19%
Trade id #119459289
Max drawdown($11,436)
Time8/16/18 13:25
Quant open5,369
Worst price29.80
Drawdown as % of equity-6.19%
($8,005)
Includes Typical Broker Commissions trade costs of $5.00
8/14/18 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 12,953 13.98 8/15 15:57 13.55 6.23%
Trade id #119439554
Max drawdown($11,916)
Time8/15/18 10:57
Quant open12,953
Worst price13.06
Drawdown as % of equity-6.23%
($5,575)
Includes Typical Broker Commissions trade costs of $5.00
8/13/18 15:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 6,012 31.64 8/14 15:57 30.13 4.66%
Trade id #119418814
Max drawdown($9,378)
Time8/14/18 15:36
Quant open6,012
Worst price30.08
Drawdown as % of equity-4.66%
($9,083)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/19/2016
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    1125.49
  • Age
    38 months ago
  • What it trades
    Stocks
  • # Trades
    94
  • # Profitable
    41
  • % Profitable
    43.60%
  • Avg trade duration
    11.0 days
  • Max peak-to-valley drawdown
    45.76%
  • drawdown period
    May 16, 2017 - Aug 15, 2017
  • Annual Return (Compounded)
    57.9%
  • Avg win
    $10,718
  • Avg loss
    $5,280
  • Model Account Values (Raw)
  • Cash
    $6,934
  • Margin Used
    $0
  • Buying Power
    $11,927
  • Ratios
  • W:L ratio
    1.57:1
  • Sharpe Ratio
    1.306
  • Sortino Ratio
    2.054
  • Calmar Ratio
    1.403
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.02500
  • Return Statistics
  • Ann Return (w trading costs)
    57.9%
  • Ann Return (Compnd, No Fees)
    59.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    63.00%
  • Chance of 20% account loss
    25.50%
  • Chance of 30% account loss
    18.00%
  • Chance of 40% account loss
    4.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    831
  • Popularity (Last 6 weeks)
    976
  • C2 Score
    58.0
  • 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
    $5,281
  • Avg Win
    $10,718
  • # Winners
    41
  • # Losers
    53
  • % Winners
    43.6%
  • Frequency
  • Avg Position Time (mins)
    15830.30
  • Avg Position Time (hrs)
    263.84
  • Avg Trade Length
    11.0 days
  • Last Trade Ago
    9
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61090
  • SD
    0.55023
  • Sharpe ratio (Glass type estimate)
    1.11026
  • Sharpe ratio (Hedges UMVUE)
    1.08556
  • df
    34.00000
  • t
    1.89613
  • p
    0.03323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09073
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26184
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28946
  • Upside Potential Ratio
    4.12404
  • Upside part of mean
    1.10041
  • Downside part of mean
    -0.48952
  • Upside SD
    0.50399
  • Downside SD
    0.26683
  • N nonnegative terms
    23.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.10844
  • Mean of criterion
    0.61090
  • SD of predictor
    0.11698
  • SD of criterion
    0.55023
  • Covariance
    -0.00522
  • r
    -0.08111
  • b (slope, estimate of beta)
    -0.38152
  • a (intercept, estimate of alpha)
    0.65227
  • Mean Square Error
    0.30987
  • DF error
    33.00000
  • t(b)
    -0.46748
  • p(b)
    0.67838
  • t(a)
    1.93122
  • p(a)
    0.03104
  • Lowerbound of 95% confidence interval for beta
    -2.04193
  • Upperbound of 95% confidence interval for beta
    1.27890
  • Lowerbound of 95% confidence interval for alpha
    -0.03489
  • Upperbound of 95% confidence interval for alpha
    1.33942
  • Treynor index (mean / b)
    -1.60122
  • Jensen alpha (a)
    0.65227
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46244
  • SD
    0.52156
  • Sharpe ratio (Glass type estimate)
    0.88665
  • Sharpe ratio (Hedges UMVUE)
    0.86692
  • df
    34.00000
  • t
    1.51424
  • p
    0.06960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28632
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04709
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03291
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59281
  • Upside Potential Ratio
    3.41195
  • Upside part of mean
    0.99060
  • Downside part of mean
    -0.52815
  • Upside SD
    0.44473
  • Downside SD
    0.29033
  • N nonnegative terms
    23.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.10110
  • Mean of criterion
    0.46244
  • SD of predictor
    0.11711
  • SD of criterion
    0.52156
  • Covariance
    -0.00426
  • r
    -0.06981
  • b (slope, estimate of beta)
    -0.31090
  • a (intercept, estimate of alpha)
    0.49388
  • Mean Square Error
    0.27891
  • DF error
    33.00000
  • t(b)
    -0.40198
  • p(b)
    0.65486
  • t(a)
    1.54837
  • p(a)
    0.06554
  • Lowerbound of 95% confidence interval for beta
    -1.88444
  • Upperbound of 95% confidence interval for beta
    1.26263
  • Lowerbound of 95% confidence interval for alpha
    -0.15506
  • Upperbound of 95% confidence interval for alpha
    1.14282
  • Treynor index (mean / b)
    -1.48742
  • Jensen alpha (a)
    0.49388
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18870
  • Expected Shortfall on VaR
    0.23701
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07427
  • Expected Shortfall on VaR
    0.14766
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.80600
  • Quartile 1
    0.94241
  • Median
    1.03605
  • Quartile 3
    1.17241
  • Maximum
    1.41700
  • Mean of quarter 1
    0.85953
  • Mean of quarter 2
    1.00173
  • Mean of quarter 3
    1.08888
  • Mean of quarter 4
    1.26676
  • Inter Quartile Range
    0.23000
  • 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)
    -3.36860
  • VaR(95%) (moments method)
    0.12831
  • Expected Shortfall (moments method)
    0.12863
  • Extreme Value Index (regression method)
    -0.97616
  • VaR(95%) (regression method)
    0.13117
  • Expected Shortfall (regression method)
    0.14040
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.05990
  • Quartile 1
    0.18640
  • Median
    0.19769
  • Quartile 3
    0.21165
  • Maximum
    0.40679
  • Mean of quarter 1
    0.12208
  • Mean of quarter 2
    0.19285
  • Mean of quarter 3
    0.20253
  • Mean of quarter 4
    0.31073
  • Inter Quartile Range
    0.02524
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.05990
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.40679
  • 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)
    1.09012
  • Compounded annual return (geometric extrapolation)
    0.63289
  • Calmar ratio (compounded annual return / max draw down)
    1.55584
  • Compounded annual return / average of 25% largest draw downs
    2.03676
  • Compounded annual return / Expected Shortfall lognormal
    2.67034
  • 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
    0.52900
  • SD
    0.40474
  • Sharpe ratio (Glass type estimate)
    1.30701
  • Sharpe ratio (Hedges UMVUE)
    1.30576
  • df
    779.00000
  • t
    2.25516
  • p
    0.01220
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16883
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44353
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05375
  • Upside Potential Ratio
    9.34728
  • Upside part of mean
    2.40765
  • Downside part of mean
    -1.87865
  • Upside SD
    0.31357
  • Downside SD
    0.25758
  • N nonnegative terms
    416.00000
  • N negative terms
    364.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    780.00000
  • Mean of predictor
    0.10986
  • Mean of criterion
    0.52900
  • SD of predictor
    0.12426
  • SD of criterion
    0.40474
  • Covariance
    -0.00237
  • r
    -0.04711
  • b (slope, estimate of beta)
    -0.15345
  • a (intercept, estimate of alpha)
    0.54600
  • Mean Square Error
    0.16366
  • DF error
    778.00000
  • t(b)
    -1.31548
  • p(b)
    0.90563
  • t(a)
    2.32465
  • p(a)
    0.01017
  • Lowerbound of 95% confidence interval for beta
    -0.38243
  • Upperbound of 95% confidence interval for beta
    0.07553
  • Lowerbound of 95% confidence interval for alpha
    0.08492
  • Upperbound of 95% confidence interval for alpha
    1.00680
  • Treynor index (mean / b)
    -3.44743
  • Jensen alpha (a)
    0.54586
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44797
  • SD
    0.40031
  • Sharpe ratio (Glass type estimate)
    1.11908
  • Sharpe ratio (Hedges UMVUE)
    1.11800
  • df
    779.00000
  • t
    1.93089
  • p
    0.02693
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01853
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01928
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25529
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69203
  • Upside Potential Ratio
    8.91701
  • Upside part of mean
    2.36083
  • Downside part of mean
    -1.91286
  • Upside SD
    0.30118
  • Downside SD
    0.26476
  • N nonnegative terms
    416.00000
  • N negative terms
    364.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    780.00000
  • Mean of predictor
    0.10211
  • Mean of criterion
    0.44797
  • SD of predictor
    0.12439
  • SD of criterion
    0.40031
  • Covariance
    -0.00238
  • r
    -0.04776
  • b (slope, estimate of beta)
    -0.15370
  • a (intercept, estimate of alpha)
    0.46367
  • Mean Square Error
    0.16009
  • DF error
    778.00000
  • t(b)
    -1.33364
  • p(b)
    0.90864
  • t(a)
    1.99696
  • p(a)
    0.02309
  • Lowerbound of 95% confidence interval for beta
    -0.37993
  • Upperbound of 95% confidence interval for beta
    0.07253
  • Lowerbound of 95% confidence interval for alpha
    0.00788
  • Upperbound of 95% confidence interval for alpha
    0.91946
  • Treynor index (mean / b)
    -2.91463
  • Jensen alpha (a)
    0.46367
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03822
  • Expected Shortfall on VaR
    0.04807
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01568
  • Expected Shortfall on VaR
    0.03216
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    780.00000
  • Minimum
    0.88876
  • Quartile 1
    0.99125
  • Median
    1.00147
  • Quartile 3
    1.01258
  • Maximum
    1.23269
  • Mean of quarter 1
    0.97388
  • Mean of quarter 2
    0.99774
  • Mean of quarter 3
    1.00661
  • Mean of quarter 4
    1.03027
  • Inter Quartile Range
    0.02133
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.04103
  • Mean of outliers low
    0.94254
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.03462
  • Mean of outliers high
    1.07314
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14014
  • VaR(95%) (moments method)
    0.02322
  • Expected Shortfall (moments method)
    0.03494
  • Extreme Value Index (regression method)
    0.09133
  • VaR(95%) (regression method)
    0.02509
  • Expected Shortfall (regression method)
    0.03712
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00795
  • Median
    0.02666
  • Quartile 3
    0.06436
  • Maximum
    0.43453
  • Mean of quarter 1
    0.00331
  • Mean of quarter 2
    0.01822
  • Mean of quarter 3
    0.04540
  • Mean of quarter 4
    0.22243
  • Inter Quartile Range
    0.05641
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.26082
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.41164
  • VaR(95%) (moments method)
    0.16857
  • Expected Shortfall (moments method)
    0.16902
  • Extreme Value Index (regression method)
    -0.50036
  • VaR(95%) (regression method)
    0.25426
  • Expected Shortfall (regression method)
    0.30532
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.04924
  • Compounded annual return (geometric extrapolation)
    0.60943
  • Calmar ratio (compounded annual return / max draw down)
    1.40252
  • Compounded annual return / average of 25% largest draw downs
    2.73985
  • Compounded annual return / Expected Shortfall lognormal
    12.67870
  • 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
    0.25038
  • SD
    0.39113
  • Sharpe ratio (Glass type estimate)
    0.64015
  • Sharpe ratio (Hedges UMVUE)
    0.63645
  • df
    130.00000
  • t
    0.45266
  • p
    0.48017
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13395
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40934
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01999
  • Upside Potential Ratio
    9.41037
  • Upside part of mean
    2.31002
  • Downside part of mean
    -2.05964
  • Upside SD
    0.30298
  • Downside SD
    0.24548
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06589
  • Mean of criterion
    0.25038
  • SD of predictor
    0.19257
  • SD of criterion
    0.39113
  • Covariance
    -0.02888
  • r
    -0.38347
  • b (slope, estimate of beta)
    -0.77885
  • a (intercept, estimate of alpha)
    0.19906
  • Mean Square Error
    0.13150
  • DF error
    129.00000
  • t(b)
    -4.71590
  • p(b)
    0.73800
  • t(a)
    0.38808
  • p(a)
    0.47826
  • Lowerbound of 95% confidence interval for beta
    -1.10561
  • Upperbound of 95% confidence interval for beta
    -0.45209
  • Lowerbound of 95% confidence interval for alpha
    -0.81581
  • Upperbound of 95% confidence interval for alpha
    1.21394
  • Treynor index (mean / b)
    -0.32148
  • Jensen alpha (a)
    0.19906
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17543
  • SD
    0.38714
  • Sharpe ratio (Glass type estimate)
    0.45316
  • Sharpe ratio (Hedges UMVUE)
    0.45054
  • df
    130.00000
  • t
    0.32043
  • p
    0.48595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22467
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22288
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70109
  • Upside Potential Ratio
    9.05476
  • Upside part of mean
    2.26576
  • Downside part of mean
    -2.09033
  • Upside SD
    0.29366
  • Downside SD
    0.25023
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08429
  • Mean of criterion
    0.17543
  • SD of predictor
    0.19255
  • SD of criterion
    0.38714
  • Covariance
    -0.02838
  • r
    -0.38076
  • b (slope, estimate of beta)
    -0.76557
  • a (intercept, estimate of alpha)
    0.11091
  • Mean Square Error
    0.12914
  • DF error
    129.00000
  • t(b)
    -4.67695
  • p(b)
    0.73641
  • t(a)
    0.21815
  • p(a)
    0.48778
  • Lowerbound of 95% confidence interval for beta
    -1.08943
  • Upperbound of 95% confidence interval for beta
    -0.44170
  • Lowerbound of 95% confidence interval for alpha
    -0.89498
  • Upperbound of 95% confidence interval for alpha
    1.11679
  • Treynor index (mean / b)
    -0.22915
  • Jensen alpha (a)
    0.11091
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03793
  • Expected Shortfall on VaR
    0.04746
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01778
  • Expected Shortfall on VaR
    0.03386
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94010
  • Quartile 1
    0.98852
  • Median
    1.00034
  • Quartile 3
    1.01202
  • Maximum
    1.11634
  • Mean of quarter 1
    0.97338
  • Mean of quarter 2
    0.99564
  • Mean of quarter 3
    1.00523
  • Mean of quarter 4
    1.03013
  • Inter Quartile Range
    0.02350
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94659
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.06973
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05934
  • VaR(95%) (moments method)
    0.02601
  • Expected Shortfall (moments method)
    0.03590
  • Extreme Value Index (regression method)
    0.08873
  • VaR(95%) (regression method)
    0.02744
  • Expected Shortfall (regression method)
    0.03879
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00125
  • Quartile 1
    0.01000
  • Median
    0.02264
  • Quartile 3
    0.15881
  • Maximum
    0.24628
  • Mean of quarter 1
    0.00466
  • Mean of quarter 2
    0.01728
  • Mean of quarter 3
    0.07835
  • Mean of quarter 4
    0.24278
  • Inter Quartile Range
    0.14882
  • 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)
    0.21404
  • Compounded annual return (geometric extrapolation)
    0.22549
  • Calmar ratio (compounded annual return / max draw down)
    0.91558
  • Compounded annual return / average of 25% largest draw downs
    0.92879
  • Compounded annual return / Expected Shortfall lognormal
    4.75090

Strategy Description

This strategy utilizes automated buy and sell signals based on our VXX Bias indicator.
The following are the detailed mechanics of this automated trading system:
- Trades will typically be placed at approximately 3:57pm ET if our indicators detect a change in direction.
- Since our VXX Bias values become official at 4:33pm ET, any discrepancies with the official signal will be resolved at the open on the next trading session.
- This strategy makes ~18 trades per year.

Summary Statistics

Strategy began
2016-02-19
Suggested Minimum Capital
$30,000
# Trades
94
# Profitable
41
% Profitable
43.6%
Correlation S&P500
-0.025
Sharpe Ratio
1.306

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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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.