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VIXPro Volatility Fund
(133141816)

Created by: VIXPro VIXPro
Started: 01/2021
Stocks
Last trade: 7 days ago
Trading style: Equity Momentum

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 $125.00 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.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
17.2%
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.

(26.3%)
Max Drawdown
126
Num Trades
50.8%
Win Trades
1.2 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021(12.3%)+11.0%+14.2%+3.5%+4.0%+3.4%(3.2%)(1.5%)(8%)+6.0%+27.1%+1.5%+48.4%
2022(20.1%)                                                                  (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 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/20/22 9:39 SRZN SURROZEN INC. COMMON STOCK LONG 100 5.11 1/20 9:43 4.44 0.29%
Trade id #139026803
Max drawdown($104)
Time1/20/22 9:42
Quant open100
Worst price4.07
Drawdown as % of equity-0.29%
($69)
Includes Typical Broker Commissions trade costs of $2.00
1/20/22 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 752 19.85 1/20 9:32 19.79 n/a $40
Includes Typical Broker Commissions trade costs of $5.00
1/19/22 10:43 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 820 19.92 1/20 9:30 19.86 1.18%
Trade id #139010389
Max drawdown($409)
Time1/19/22 12:47
Quant open752
Worst price19.38
Drawdown as % of equity-1.18%
($51)
Includes Typical Broker Commissions trade costs of $5.68
1/10/22 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,036 18.60 1/19 10:43 19.60 3.25%
Trade id #138894319
Max drawdown($1,178)
Time1/18/22 0:00
Quant open820
Worst price20.04
Drawdown as % of equity-3.25%
($1,048)
Includes Typical Broker Commissions trade costs of $12.08
12/16/21 14:23 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 870 20.60 1/10/22 10:50 19.99 5.37%
Trade id #138608891
Max drawdown($1,898)
Time12/20/21 0:00
Quant open544
Worst price24.87
Drawdown as % of equity-5.37%
$512
Includes Typical Broker Commissions trade costs of $11.52
12/3/21 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 544 28.13 12/14 15:59 22.19 n/a $3,226
Includes Typical Broker Commissions trade costs of $5.00
12/6/21 12:00 ISIG INSIGNIA SYSTEMS LONG 10 9.50 12/7 9:30 10.22 n/a $7
Includes Typical Broker Commissions trade costs of $0.20
12/6/21 11:38 BFRI BIOFRONTERA INC. COMMON STOCK LONG 1,000 4.14 12/7 9:30 4.35 0.11%
Trade id #138475252
Max drawdown($35)
Time12/7/21 0:00
Quant open250
Worst price4.00
Drawdown as % of equity-0.11%
$198
Includes Typical Broker Commissions trade costs of $12.50
12/2/21 15:58 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 544 25.95 12/3 12:55 28.45 4.07%
Trade id #138436794
Max drawdown($1,365)
Time12/3/21 12:55
Quant open544
Worst price28.46
Drawdown as % of equity-4.07%
($1,365)
Includes Typical Broker Commissions trade costs of $5.00
12/2/21 9:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 544 26.60 12/2 15:58 25.95 2.32%
Trade id #138427643
Max drawdown($777)
Time12/2/21 15:42
Quant open544
Worst price25.17
Drawdown as % of equity-2.32%
($359)
Includes Typical Broker Commissions trade costs of $5.00
12/1/21 9:31 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 544 23.75 12/2 9:34 26.60 5.73%
Trade id #138410034
Max drawdown($1,969)
Time12/1/21 15:59
Quant open544
Worst price27.37
Drawdown as % of equity-5.73%
($1,555)
Includes Typical Broker Commissions trade costs of $5.00
11/30/21 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 544 25.10 12/1 9:30 23.63 2.26%
Trade id #138402203
Max drawdown($826)
Time12/1/21 0:00
Quant open544
Worst price23.58
Drawdown as % of equity-2.26%
($805)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,500 22.70 11/30 11:00 22.57 7.78%
Trade id #137699237
Max drawdown($2,220)
Time11/26/21 0:00
Quant open544
Worst price26.44
Drawdown as % of equity-7.78%
$287
Includes Typical Broker Commissions trade costs of $44.12
11/26/21 10:13 NRXP NRX PHARMACEUTICALS INC LONG 2,525 4.90 11/29 9:30 8.83 n/a $9,899
Includes Typical Broker Commissions trade costs of $12.75
11/19/21 11:04 FNHC FEDERATED NATIONAL LONG 4,250 2.35 11/22 10:03 2.43 1.19%
Trade id #138267987
Max drawdown($340)
Time11/19/21 11:07
Quant open4,250
Worst price2.27
Drawdown as % of equity-1.19%
$345
Includes Typical Broker Commissions trade costs of $7.80
11/9/21 16:05 VXX2112W23.5 VXX Nov12'21 23.5 put LONG 3 2.53 11/10 9:30 2.08 0.71%
Trade id #138136357
Max drawdown($207)
Time11/10/21 0:00
Quant open3
Worst price1.84
Drawdown as % of equity-0.71%
($139)
Includes Typical Broker Commissions trade costs of $4.20
10/22/21 9:57 BFRA BIOFRONTERA AG AMERICAN DEPOSITARY SHARES LONG 1,500 6.13 10/28 11:35 6.28 0.01%
Trade id #137918253
Max drawdown($4)
Time10/25/21 0:00
Quant open5
Worst price5.26
Drawdown as % of equity-0.01%
$216
Includes Typical Broker Commissions trade costs of $5.10
10/22/21 9:53 CNTX CONTEXT THERAPEUTICS INC. COMMON STOCK LONG 1,250 7.07 10/25 10:28 7.42 1.7%
Trade id #137918129
Max drawdown($487)
Time10/22/21 9:58
Quant open1,250
Worst price6.68
Drawdown as % of equity-1.70%
$434
Includes Typical Broker Commissions trade costs of $5.10
10/22/21 9:50 SALM SALEM MEDIA GROUP INC. CLASS LONG 5 5.23 10/22 9:55 5.30 n/a $0
Includes Typical Broker Commissions trade costs of $0.10
10/13/21 9:36 JSPR JASPER THERAPEUTICS INC LONG 1,000 9.84 10/13 9:43 10.60 n/a $755
Includes Typical Broker Commissions trade costs of $5.00
10/11/21 16:24 @MESZ1 MICRO E-MINI S&P 500 SHORT 4 4348.25 10/12 9:30 4360.75 1.3%
Trade id #137760138
Max drawdown($340)
Time10/12/21 8:29
Quant open4
Worst price4365.25
Drawdown as % of equity-1.30%
($254)
Includes Typical Broker Commissions trade costs of $3.76
10/4/21 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 544 26.85 10/6 15:59 26.31 1.64%
Trade id #137642938
Max drawdown($440)
Time10/5/21 0:00
Quant open544
Worst price26.04
Drawdown as % of equity-1.64%
($299)
Includes Typical Broker Commissions trade costs of $5.00
10/5/21 16:27 @MESZ1 MICRO E-MINI S&P 500 LONG 4 4334.75 10/6 9:30 4297.00 4.63%
Trade id #137679709
Max drawdown($1,220)
Time10/6/21 5:40
Quant open4
Worst price4273.75
Drawdown as % of equity-4.63%
($759)
Includes Typical Broker Commissions trade costs of $3.76
10/1/21 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 544 26.62 10/4 9:30 26.85 0.57%
Trade id #137626466
Max drawdown($152)
Time10/4/21 9:30
Quant open544
Worst price26.90
Drawdown as % of equity-0.57%
($130)
Includes Typical Broker Commissions trade costs of $5.00
9/30/21 15:58 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 544 27.79 10/1 15:59 26.61 3.36%
Trade id #137607343
Max drawdown($892)
Time10/1/21 15:21
Quant open544
Worst price26.15
Drawdown as % of equity-3.36%
($647)
Includes Typical Broker Commissions trade costs of $5.00
9/30/21 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 544 27.03 9/30 15:58 27.79 2.51%
Trade id #137596435
Max drawdown($704)
Time9/30/21 12:31
Quant open544
Worst price28.32
Drawdown as % of equity-2.51%
($418)
Includes Typical Broker Commissions trade costs of $5.00
9/28/21 15:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 544 27.56 9/30 9:30 27.07 1.25%
Trade id #137569828
Max drawdown($353)
Time9/29/21 0:00
Quant open544
Worst price26.91
Drawdown as % of equity-1.25%
($272)
Includes Typical Broker Commissions trade costs of $5.00
9/29/21 16:24 @MESZ1 MICRO E-MINI S&P 500 LONG 4 4354.50 9/30 9:30 4365.25 0.09%
Trade id #137588513
Max drawdown($25)
Time9/29/21 16:28
Quant open4
Worst price4353.25
Drawdown as % of equity-0.09%
$211
Includes Typical Broker Commissions trade costs of $3.76
9/28/21 16:14 VXX2101V29.5 VXX Oct1'21 29.5 put LONG 10 2.84 9/29 9:31 2.70 2.27%
Trade id #137570159
Max drawdown($640)
Time9/29/21 0:00
Quant open10
Worst price2.20
Drawdown as % of equity-2.27%
($154)
Includes Typical Broker Commissions trade costs of $14.00
9/28/21 9:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 255 26.02 9/28 15:59 27.57 1.72%
Trade id #137558255
Max drawdown($499)
Time9/28/21 13:05
Quant open255
Worst price27.98
Drawdown as % of equity-1.72%
($400)
Includes Typical Broker Commissions trade costs of $5.10

Statistics

  • Strategy began
    1/3/2021
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    388.61
  • Age
    13 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    126
  • # Profitable
    64
  • % Profitable
    50.80%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    26.31%
  • drawdown period
    Nov 29, 2021 - Jan 26, 2022
  • Annual Return (Compounded)
    17.2%
  • Avg win
    $681.48
  • Avg loss
    $584.48
  • Model Account Values (Raw)
  • Cash
    $50,367
  • Margin Used
    $32,433
  • Buying Power
    $18,716
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.48
  • Sortino Ratio
    0.71
  • Calmar Ratio
    1.292
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2.80%
  • Correlation to SP500
    0.33550
  • Return Percent SP500 (cumu) during strategy life
    15.81%
  • Return Statistics
  • Ann Return (w trading costs)
    17.2%
  • Slump
  • Current Slump as Pcnt Equity
    28.50%
  • Instruments
  • Percent Trades Futures
    0.29%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.172%
  • Instruments
  • Percent Trades Options
    0.05%
  • Percent Trades Stocks
    0.66%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    1.00%
  • 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)
    418
  • Popularity (Last 6 weeks)
    733
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    140
  • Popularity (7 days, Percentile 1000 scale)
    410
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $595
  • Avg Win
    $723
  • Sum Trade PL (losers)
    $35,676.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $43,366.000
  • # Winners
    60
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    60
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    4959.87
  • Avg Position Time (hrs)
    82.66
  • Avg Trade Length
    3.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.04
  • Daily leverage (max)
    11.84
  • Regression
  • Alpha
    0.02
  • Beta
    0.83
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.90
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -2.739
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.608
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.245
  • Hold-and-Hope Ratio
    -0.365
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50288
  • SD
    0.37947
  • Sharpe ratio (Glass type estimate)
    1.32523
  • Sharpe ratio (Hedges UMVUE)
    1.23241
  • df
    11.00000
  • t
    1.32523
  • p
    0.10598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79408
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25890
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36192
  • Upside Potential Ratio
    5.07863
  • Upside part of mean
    0.75967
  • Downside part of mean
    -0.25679
  • Upside SD
    0.36152
  • Downside SD
    0.14958
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21850
  • Mean of criterion
    0.50288
  • SD of predictor
    0.10379
  • SD of criterion
    0.37947
  • Covariance
    0.02364
  • r
    0.60020
  • b (slope, estimate of beta)
    2.19438
  • a (intercept, estimate of alpha)
    0.02341
  • Mean Square Error
    0.10133
  • DF error
    10.00000
  • t(b)
    2.37295
  • p(b)
    0.01954
  • t(a)
    0.06209
  • p(a)
    0.47586
  • Lowerbound of 95% confidence interval for beta
    0.13392
  • Upperbound of 95% confidence interval for beta
    4.25485
  • Lowerbound of 95% confidence interval for alpha
    -0.81669
  • Upperbound of 95% confidence interval for alpha
    0.86351
  • Treynor index (mean / b)
    0.22917
  • Jensen alpha (a)
    0.02341
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43250
  • SD
    0.35685
  • Sharpe ratio (Glass type estimate)
    1.21198
  • Sharpe ratio (Hedges UMVUE)
    1.12710
  • df
    11.00000
  • t
    1.21198
  • p
    0.12546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20932
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88866
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14285
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73819
  • Upside Potential Ratio
    4.43620
  • Upside part of mean
    0.70070
  • Downside part of mean
    -0.26820
  • Upside SD
    0.32767
  • Downside SD
    0.15795
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21127
  • Mean of criterion
    0.43250
  • SD of predictor
    0.10210
  • SD of criterion
    0.35685
  • Covariance
    0.02198
  • r
    0.60326
  • b (slope, estimate of beta)
    2.10847
  • a (intercept, estimate of alpha)
    -0.01296
  • Mean Square Error
    0.08910
  • DF error
    10.00000
  • t(b)
    2.39195
  • p(b)
    0.01892
  • t(a)
    -0.03684
  • p(a)
    0.51433
  • Lowerbound of 95% confidence interval for beta
    0.14439
  • Upperbound of 95% confidence interval for beta
    4.07254
  • Lowerbound of 95% confidence interval for alpha
    -0.79688
  • Upperbound of 95% confidence interval for alpha
    0.77096
  • Treynor index (mean / b)
    0.20512
  • Jensen alpha (a)
    -0.01296
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12489
  • Expected Shortfall on VaR
    0.16115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04392
  • Expected Shortfall on VaR
    0.08766
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.87448
  • Quartile 1
    0.97822
  • Median
    1.02555
  • Quartile 3
    1.11712
  • Maximum
    1.27639
  • Mean of quarter 1
    0.92401
  • Mean of quarter 2
    1.00155
  • Mean of quarter 3
    1.06372
  • Mean of quarter 4
    1.18766
  • Inter Quartile Range
    0.13891
  • 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)
    0.23055
  • VaR(95%) (moments method)
    0.08413
  • Expected Shortfall (moments method)
    0.12835
  • Extreme Value Index (regression method)
    2.63500
  • VaR(95%) (regression method)
    0.13119
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.09984
  • Quartile 1
    0.11000
  • Median
    0.12016
  • Quartile 3
    0.13033
  • Maximum
    0.14049
  • Mean of quarter 1
    0.09984
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14049
  • Inter Quartile Range
    0.02032
  • 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)
    0.58471
  • Compounded annual return (geometric extrapolation)
    0.58471
  • Calmar ratio (compounded annual return / max draw down)
    4.16201
  • Compounded annual return / average of 25% largest draw downs
    4.16201
  • Compounded annual return / Expected Shortfall lognormal
    3.62830
  • 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
    0.25349
  • SD
    0.33232
  • Sharpe ratio (Glass type estimate)
    0.76280
  • Sharpe ratio (Hedges UMVUE)
    0.76074
  • df
    277.00000
  • t
    0.78575
  • p
    0.21634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66591
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66452
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21590
  • Upside Potential Ratio
    8.31084
  • Upside part of mean
    1.73266
  • Downside part of mean
    -1.47917
  • Upside SD
    0.25849
  • Downside SD
    0.20848
  • N nonnegative terms
    157.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    278.00000
  • Mean of predictor
    0.13336
  • Mean of criterion
    0.25349
  • SD of predictor
    0.13338
  • SD of criterion
    0.33232
  • Covariance
    0.01447
  • r
    0.32646
  • b (slope, estimate of beta)
    0.81337
  • a (intercept, estimate of alpha)
    0.14500
  • Mean Square Error
    0.09902
  • DF error
    276.00000
  • t(b)
    5.73801
  • p(b)
    0.00000
  • t(a)
    0.47381
  • p(a)
    0.31800
  • Lowerbound of 95% confidence interval for beta
    0.53432
  • Upperbound of 95% confidence interval for beta
    1.09242
  • Lowerbound of 95% confidence interval for alpha
    -0.45751
  • Upperbound of 95% confidence interval for alpha
    0.74755
  • Treynor index (mean / b)
    0.31166
  • Jensen alpha (a)
    0.14502
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19994
  • SD
    0.32536
  • Sharpe ratio (Glass type estimate)
    0.61450
  • Sharpe ratio (Hedges UMVUE)
    0.61283
  • df
    277.00000
  • t
    0.63299
  • p
    0.26363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28943
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51624
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93958
  • Upside Potential Ratio
    7.99495
  • Upside part of mean
    1.70128
  • Downside part of mean
    -1.50134
  • Upside SD
    0.24567
  • Downside SD
    0.21279
  • N nonnegative terms
    157.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    278.00000
  • Mean of predictor
    0.12444
  • Mean of criterion
    0.19994
  • SD of predictor
    0.13351
  • SD of criterion
    0.32536
  • Covariance
    0.01438
  • r
    0.33094
  • b (slope, estimate of beta)
    0.80651
  • a (intercept, estimate of alpha)
    0.09957
  • Mean Square Error
    0.09461
  • DF error
    276.00000
  • t(b)
    5.82630
  • p(b)
    0.00000
  • t(a)
    0.33291
  • p(a)
    0.36973
  • Lowerbound of 95% confidence interval for beta
    0.53400
  • Upperbound of 95% confidence interval for beta
    1.07901
  • Lowerbound of 95% confidence interval for alpha
    -0.48923
  • Upperbound of 95% confidence interval for alpha
    0.68838
  • Treynor index (mean / b)
    0.24790
  • Jensen alpha (a)
    0.09957
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03178
  • Expected Shortfall on VaR
    0.03986
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01175
  • Expected Shortfall on VaR
    0.02462
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    278.00000
  • Minimum
    0.93952
  • Quartile 1
    0.99452
  • Median
    1.00197
  • Quartile 3
    1.00838
  • Maximum
    1.18796
  • Mean of quarter 1
    0.97947
  • Mean of quarter 2
    0.99856
  • Mean of quarter 3
    1.00526
  • Mean of quarter 4
    1.02103
  • Inter Quartile Range
    0.01386
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.07554
  • Mean of outliers low
    0.95905
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03597
  • Mean of outliers high
    1.05944
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37823
  • VaR(95%) (moments method)
    0.01858
  • Expected Shortfall (moments method)
    0.03609
  • Extreme Value Index (regression method)
    -0.14522
  • VaR(95%) (regression method)
    0.02163
  • Expected Shortfall (regression method)
    0.02938
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00458
  • Median
    0.02106
  • Quartile 3
    0.09607
  • Maximum
    0.19805
  • Mean of quarter 1
    0.00292
  • Mean of quarter 2
    0.01051
  • Mean of quarter 3
    0.05479
  • Mean of quarter 4
    0.14223
  • Inter Quartile Range
    0.09149
  • 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)
    -0.37570
  • VaR(95%) (moments method)
    0.16181
  • Expected Shortfall (moments method)
    0.18379
  • Extreme Value Index (regression method)
    -0.34702
  • VaR(95%) (regression method)
    0.17298
  • Expected Shortfall (regression method)
    0.19665
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25775
  • Compounded annual return (geometric extrapolation)
    0.25589
  • Calmar ratio (compounded annual return / max draw down)
    1.29207
  • Compounded annual return / average of 25% largest draw downs
    1.79912
  • Compounded annual return / Expected Shortfall lognormal
    6.42035
  • 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
    0.10404
  • SD
    0.40357
  • Sharpe ratio (Glass type estimate)
    0.25781
  • Sharpe ratio (Hedges UMVUE)
    0.25632
  • df
    130.00000
  • t
    0.18230
  • p
    0.49201
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02931
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.51567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02830
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45193
  • Upside Potential Ratio
    8.01745
  • Upside part of mean
    1.84575
  • Downside part of mean
    -1.74171
  • Upside SD
    0.32964
  • Downside SD
    0.23022
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04223
  • Mean of criterion
    0.10404
  • SD of predictor
    0.13348
  • SD of criterion
    0.40357
  • Covariance
    0.01339
  • r
    0.24855
  • b (slope, estimate of beta)
    0.75150
  • a (intercept, estimate of alpha)
    0.13578
  • Mean Square Error
    0.15399
  • DF error
    129.00000
  • t(b)
    2.91445
  • p(b)
    0.34341
  • t(a)
    0.24462
  • p(a)
    0.48629
  • Lowerbound of 95% confidence interval for beta
    0.24133
  • Upperbound of 95% confidence interval for beta
    1.26166
  • Lowerbound of 95% confidence interval for alpha
    -0.96243
  • Upperbound of 95% confidence interval for alpha
    1.23398
  • Treynor index (mean / b)
    0.13845
  • Jensen alpha (a)
    0.13578
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02685
  • SD
    0.39017
  • Sharpe ratio (Glass type estimate)
    0.06882
  • Sharpe ratio (Hedges UMVUE)
    0.06842
  • df
    130.00000
  • t
    0.04866
  • p
    0.49787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70339
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84024
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11419
  • Upside Potential Ratio
    7.63574
  • Upside part of mean
    1.79563
  • Downside part of mean
    -1.76878
  • Upside SD
    0.30948
  • Downside SD
    0.23516
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05109
  • Mean of criterion
    0.02685
  • SD of predictor
    0.13368
  • SD of criterion
    0.39017
  • Covariance
    0.01303
  • r
    0.24976
  • b (slope, estimate of beta)
    0.72896
  • a (intercept, estimate of alpha)
    0.06409
  • Mean Square Error
    0.14385
  • DF error
    129.00000
  • t(b)
    2.92951
  • p(b)
    0.34267
  • t(a)
    0.11946
  • p(a)
    0.49330
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    0.23664
  • Upperbound of 95% confidence interval for beta
    1.22129
  • Lowerbound of 95% confidence interval for alpha
    -0.99742
  • Upperbound of 95% confidence interval for alpha
    1.12561
  • Treynor index (mean / b)
    0.03684
  • Jensen alpha (a)
    0.06409
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03877
  • Expected Shortfall on VaR
    0.04837
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01472
  • Expected Shortfall on VaR
    0.02966
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93952
  • Quartile 1
    0.99211
  • Median
    1.00109
  • Quartile 3
    1.00781
  • Maximum
    1.18796
  • Mean of quarter 1
    0.97685
  • Mean of quarter 2
    0.99706
  • Mean of quarter 3
    1.00435
  • Mean of quarter 4
    1.02388
  • Inter Quartile Range
    0.01570
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.95382
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.07393
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42734
  • VaR(95%) (moments method)
    0.02401
  • Expected Shortfall (moments method)
    0.04811
  • Extreme Value Index (regression method)
    0.06646
  • VaR(95%) (regression method)
    0.02484
  • Expected Shortfall (regression method)
    0.03658
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00033
  • Quartile 1
    0.01826
  • Median
    0.10136
  • Quartile 3
    0.17673
  • Maximum
    0.19805
  • Mean of quarter 1
    0.00930
  • Mean of quarter 2
    0.10136
  • Mean of quarter 3
    0.17673
  • Mean of quarter 4
    0.19805
  • Inter Quartile Range
    0.15847
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -287297000
  • Max Equity Drawdown (num days)
    58
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05552
  • Compounded annual return (geometric extrapolation)
    0.05629
  • Calmar ratio (compounded annual return / max draw down)
    0.28421
  • Compounded annual return / average of 25% largest draw downs
    0.28421
  • Compounded annual return / Expected Shortfall lognormal
    1.16366

Strategy Description

Our flagship algorithmic trading strategy focusses on trading volatility ETFs through Stocks and Options and combining it with specifically targetted trades in the various equity index Futures trading on Globex, both as hedges and as standalone trades, as well as opportunistic volatility trades in individual stocks. The strategy is designed to quickly adapt to any type of external market situation. All trading decisions are based on a set of technical and historical volatility indicators and our own proprietary trading signals.

We switch between long and short positions or go back to cash entirely. Markets are meticulously monitored and under normal circumstances the majority of trades are executed around Market Open and Market Close. Holding times will vary between a couple of minutes up to a couple of days. During regular market sessions Stop Loss orders are put in place.

Keep in mind that this strategy trades a mix of Stocks, Options and Futures.

Subscribe to this strategy now for only $125/month.


-VIXPro-

Twitter: @TheVIXPro

Summary Statistics

Strategy began
2021-01-03
Suggested Minimum Capital
$30,000
# Trades
126
# Profitable
64
% Profitable
50.8%
Correlation S&P500
0.336
Sharpe Ratio
0.48
Sortino Ratio
0.71
Beta
0.83
Alpha
0.02
Leverage
1.04 Average
11.84 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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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.