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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Vix Arb
(111996959)

Created by: London_Trading London_Trading
Started: 06/2017
Futures
Last trade: 2,424 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 $150.00 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.

1525.4%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(13.9%)
Max Drawdown
282
Num Trades
84.0%
Win Trades
2.3 : 1
Profit Factor
2.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                   +52.3%+18.3%(13.1%)  -    -    -    -  +56.6%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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.

Trading Record

This strategy has placed 236 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/8/17 10:20 @RTYU7 Russell 2000 CME SHORT 6 1416.44 8/8 10:35 1418.20 n/a ($576)
Includes Typical Broker Commissions trade costs of $48.00
8/8/17 2:33 @ESU7 E-MINI S&P 500 SHORT 6 2473.75 8/8 10:19 2477.25 n/a ($1,098)
Includes Typical Broker Commissions trade costs of $48.00
8/7/17 10:45 @YMU7 MINI DOW SHORT 6 22031 8/7 16:06 22063 n/a ($1,020)
Includes Typical Broker Commissions trade costs of $48.00
8/7/17 2:57 @YMU7 MINI DOW LONG 6 22042 8/7 10:45 22032 n/a ($360)
Includes Typical Broker Commissions trade costs of $48.00
8/4/17 10:55 @YMU7 MINI DOW SHORT 4 21993 8/4 11:23 21984 0.47%
Trade id #112991555
Max drawdown($105)
Time8/4/17 11:18
Quant open-4
Worst price21998
Drawdown as % of equity-0.47%
$143
Includes Typical Broker Commissions trade costs of $32.00
8/4/17 10:18 @YMU7 MINI DOW LONG 3 21991 8/4 10:26 21996 0.54%
Trade id #112989836
Max drawdown($118)
Time8/4/17 10:23
Quant open3
Worst price21983
Drawdown as % of equity-0.54%
$53
Includes Typical Broker Commissions trade costs of $24.00
8/4/17 9:58 @YMU7 MINI DOW LONG 3 21983 8/4 10:12 21990 0.98%
Trade id #112988239
Max drawdown($215)
Time8/4/17 10:10
Quant open3
Worst price21969
Drawdown as % of equity-0.98%
$76
Includes Typical Broker Commissions trade costs of $24.00
8/4/17 9:32 @YMU7 MINI DOW LONG 7 22017 8/4 9:41 22024 1.64%
Trade id #112986794
Max drawdown($360)
Time8/4/17 9:36
Quant open6
Worst price22006
Drawdown as % of equity-1.64%
$194
Includes Typical Broker Commissions trade costs of $56.00
8/4/17 8:03 @YMU7 MINI DOW LONG 6 22033 8/4 8:34 22042 1.19%
Trade id #112984693
Max drawdown($255)
Time8/4/17 8:30
Quant open3
Worst price22017
Drawdown as % of equity-1.19%
$231
Includes Typical Broker Commissions trade costs of $48.00
8/4/17 3:34 @YMU7 MINI DOW SHORT 3 21996 8/4 4:27 21988 1.15%
Trade id #112982142
Max drawdown($245)
Time8/4/17 4:04
Quant open-3
Worst price22012
Drawdown as % of equity-1.15%
$96
Includes Typical Broker Commissions trade costs of $24.00
8/3/17 15:55 @ESU7 E-MINI S&P 500 SHORT 5 2469.20 8/3 16:06 2472.70 4.07%
Trade id #112976890
Max drawdown($875)
Time8/3/17 16:06
Quant open2
Worst price2472.50
Drawdown as % of equity-4.07%
($915)
Includes Typical Broker Commissions trade costs of $40.00
8/3/17 14:27 @ESU7 E-MINI S&P 500 LONG 8 2468.59 8/3 15:46 2468.75 4.58%
Trade id #112974283
Max drawdown($975)
Time8/3/17 15:34
Quant open7
Worst price2466.00
Drawdown as % of equity-4.58%
($1)
Includes Typical Broker Commissions trade costs of $64.00
8/3/17 9:14 @ESU7 E-MINI S&P 500 LONG 8 2470.72 8/3 10:26 2471.00 4.6%
Trade id #112962448
Max drawdown($987)
Time8/3/17 10:14
Quant open8
Worst price2468.25
Drawdown as % of equity-4.60%
$49
Includes Typical Broker Commissions trade costs of $64.00
8/2/17 15:58 @ESU7 E-MINI S&P 500 LONG 2 2474.00 8/2 16:03 2474.25 0.34%
Trade id #112953699
Max drawdown($75)
Time8/2/17 16:01
Quant open2
Worst price2473.25
Drawdown as % of equity-0.34%
$9
Includes Typical Broker Commissions trade costs of $16.00
8/2/17 14:34 @ESU7 E-MINI S&P 500 LONG 8 2472.28 8/2 15:48 2472.75 2.36%
Trade id #112950884
Max drawdown($512)
Time8/2/17 15:37
Quant open8
Worst price2471.00
Drawdown as % of equity-2.36%
$124
Includes Typical Broker Commissions trade costs of $64.00
8/2/17 10:30 @ESU7 E-MINI S&P 500 SHORT 8 2467.25 8/2 10:33 2466.75 0.91%
Trade id #112943051
Max drawdown($200)
Time8/2/17 10:32
Quant open-8
Worst price2467.75
Drawdown as % of equity-0.91%
$136
Includes Typical Broker Commissions trade costs of $64.00
8/2/17 10:27 @ESU7 E-MINI S&P 500 SHORT 8 2468.00 8/2 10:28 2467.00 n/a $336
Includes Typical Broker Commissions trade costs of $64.00
8/2/17 9:38 @ESU7 E-MINI S&P 500 LONG 8 2474.16 8/2 10:09 2473.75 5.89%
Trade id #112940282
Max drawdown($1,262)
Time8/2/17 9:48
Quant open8
Worst price2471.00
Drawdown as % of equity-5.89%
($227)
Includes Typical Broker Commissions trade costs of $64.00
8/2/17 9:23 @ESU7 E-MINI S&P 500 LONG 2 2474.12 8/2 9:35 2475.00 0.41%
Trade id #112939476
Max drawdown($87)
Time8/2/17 9:32
Quant open2
Worst price2473.25
Drawdown as % of equity-0.41%
$72
Includes Typical Broker Commissions trade costs of $16.00
8/1/17 15:48 @ESU7 E-MINI S&P 500 LONG 3 2472.08 8/1 15:59 2473.25 0.41%
Trade id #112928931
Max drawdown($87)
Time8/1/17 15:51
Quant open3
Worst price2471.50
Drawdown as % of equity-0.41%
$151
Includes Typical Broker Commissions trade costs of $24.00
8/1/17 9:37 @ESU7 E-MINI S&P 500 SHORT 1 2472.00 8/1 9:50 2471.00 0.06%
Trade id #112916326
Max drawdown($12)
Time8/1/17 9:42
Quant open-1
Worst price2472.25
Drawdown as % of equity-0.06%
$42
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 9:17 @ESU7 E-MINI S&P 500 SHORT 1 2475.25 8/1 9:33 2472.50 0.06%
Trade id #112915293
Max drawdown($12)
Time8/1/17 9:19
Quant open-1
Worst price2475.50
Drawdown as % of equity-0.06%
$130
Includes Typical Broker Commissions trade costs of $8.00
7/31/17 15:51 @ESU7 E-MINI S&P 500 LONG 6 2468.75 7/31 16:01 2468.75 2.53%
Trade id #112902981
Max drawdown($525)
Time7/31/17 16:00
Quant open6
Worst price2467.00
Drawdown as % of equity-2.53%
($48)
Includes Typical Broker Commissions trade costs of $48.00
7/28/17 15:58 @ESU7 E-MINI S&P 500 LONG 1 2469.25 7/28 16:05 2469.75 0.18%
Trade id #112873400
Max drawdown($37)
Time7/28/17 16:00
Quant open1
Worst price2468.50
Drawdown as % of equity-0.18%
$17
Includes Typical Broker Commissions trade costs of $8.00
7/28/17 13:34 @ESU7 E-MINI S&P 500 SHORT 7 2467.93 7/28 15:13 2468.00 1.81%
Trade id #112869275
Max drawdown($375)
Time7/28/17 14:58
Quant open-7
Worst price2469.00
Drawdown as % of equity-1.81%
($81)
Includes Typical Broker Commissions trade costs of $56.00
7/28/17 9:36 @ESU7 E-MINI S&P 500 SHORT 2 2468.00 7/28 9:48 2467.00 0.48%
Trade id #112861068
Max drawdown($100)
Time7/28/17 9:45
Quant open-2
Worst price2469.00
Drawdown as % of equity-0.48%
$84
Includes Typical Broker Commissions trade costs of $16.00
7/28/17 9:31 @ESU7 E-MINI S&P 500 LONG 2 2466.38 7/28 9:35 2466.25 0.78%
Trade id #112860754
Max drawdown($162)
Time7/28/17 9:35
Quant open2
Worst price2464.75
Drawdown as % of equity-0.78%
($29)
Includes Typical Broker Commissions trade costs of $16.00
7/27/17 13:00 @ESU7 E-MINI S&P 500 SHORT 8 2469.50 7/27 13:31 2463.00 5.65%
Trade id #112833156
Max drawdown($1,100)
Time7/27/17 13:06
Quant open-8
Worst price2472.25
Drawdown as % of equity-5.65%
$2,536
Includes Typical Broker Commissions trade costs of $64.00
7/27/17 12:54 @ESU7 E-MINI S&P 500 LONG 8 2474.00 7/27 13:00 2471.00 10.28%
Trade id #112832793
Max drawdown($2,000)
Time7/27/17 12:59
Quant open8
Worst price2469.00
Drawdown as % of equity-10.28%
($1,264)
Includes Typical Broker Commissions trade costs of $64.00
7/27/17 12:46 @ESU7 E-MINI S&P 500 SHORT 8 2475.00 7/27 12:53 2474.75 2.6%
Trade id #112832484
Max drawdown($500)
Time7/27/17 12:49
Quant open-8
Worst price2476.25
Drawdown as % of equity-2.60%
$36
Includes Typical Broker Commissions trade costs of $64.00

Statistics

  • Strategy began
    6/9/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2483.96
  • Age
    83 months ago
  • What it trades
    Futures
  • # Trades
    282
  • # Profitable
    237
  • % Profitable
    84.00%
  • Avg trade duration
    15.4 minutes
  • Max peak-to-valley drawdown
    13.92%
  • drawdown period
    Aug 03, 2017 - Aug 08, 2017
  • Cumul. Return
    61.4%
  • Avg win
    $72.16
  • Avg loss
    $167.07
  • Model Account Values (Raw)
  • Cash
    $19,578
  • Margin Used
    $0
  • Buying Power
    $19,578
  • Ratios
  • W:L ratio
    2.27:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    0.94
  • Calmar Ratio
    7.703
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    59.37%
  • Correlation to SP500
    -0.00550
  • Return Percent SP500 (cumu) during strategy life
    115.94%
  • Return Statistics
  • Ann Return (w trading costs)
    1525.4%
  • Slump
  • Current Slump as Pcnt Equity
    20.30%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.614%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    993
  • Popularity (Last 6 weeks)
    999
  • Popularity (7 days, Percentile 1000 scale)
    998
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $72
  • Avg Loss
    $167
  • Sum Trade PL (losers)
    $7,518.000
  • # Winners
    237
  • Num Months Winners
    2
  • Age
  • Num Months filled monthly returns table
    82
  • Win / Loss
  • Sum Trade PL (winners)
    $17,101.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    45
  • % Winners
    84.0%
  • Frequency
  • Avg Position Time (mins)
    15.40
  • Avg Position Time (hrs)
    0.26
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    2424
  • Regression
  • Alpha
    0.01
  • Beta
    -0.00
  • Treynor Index
    -6.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.83
  • Avg(MAE) / Avg(PL) - All trades
    5.614
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    49.21
  • MAE:Equity, 95th Percentile Value for this strat
    0.07
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.169
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.666
  • Hold-and-Hope Ratio
    0.164
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.60300
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    5
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

VIX Arb is a short term futures system , it trades the Vix futures and the Emini SP500 futures contract , Its a discretionary system that trades based on volume analysis and market profile .

Summary Statistics

Strategy began
2017-06-09
Suggested Minimum Capital
$10,000
# Trades
282
# Profitable
237
% Profitable
84.0%
Correlation S&P500
-0.005
Sharpe Ratio
0.55
Sortino Ratio
0.94
Beta
-0.00
Alpha
0.01

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.