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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/07/2023
Most recent certification approved 12/7/23 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 63
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 59
Percent signals followed since 12/07/2023 93.7%
This information was last updated 4/16/24 14:09 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/07/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

LIQUID Volatility Plus
(140995589)

Created by: LiquidAssets LiquidAssets
Started: 07/2022
Stocks, Options
Last trade: Yesterday
Trading style: Equity Hedged Equity Short-term Reversal

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 $149.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
15.7%
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.

(9.6%)
Max Drawdown
64
Num Trades
43.8%
Win Trades
3.2 : 1
Profit Factor
68.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +1.5%(0.3%)(5.2%)+3.2%+5.3%+2.3%+6.6%
2023+7.1%+1.4%+1.6%+0.8%+3.1%+2.2%+3.1%(1.5%)(0.1%)(0.8%)+1.4%+1.7%+21.4%
2024+3.7%+3.2%(0.2%)(6.3%)                                                +0.1%

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.

Trading Record

This strategy has placed 60 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/12/24 15:58 VXX2419D18 VXX Apr19'24 18 call LONG 6 0.26 4/12 15:59 0.23 0.06%
Trade id #147891358
Max drawdown($18)
Time4/12/24 15:59
Quant open6
Worst price0.23
Drawdown as % of equity-0.06%
 ($26)
Includes Typical Broker Commissions trade costs of $8.40
4/3/24 9:51 VXX2412D17 VXX Apr12'24 17 call LONG 12 0.10 4/12 13:30 0.03 0.35%
Trade id #147793290
Max drawdown($108)
Time4/11/24 0:00
Quant open12
Worst price0.01
Drawdown as % of equity-0.35%
 ($101)
Includes Typical Broker Commissions trade costs of $16.80
3/28/24 15:39: Rescaled downward to 75% of previous Model Account size
3/18/24 11:04 VXX2422C18 VXX Mar22'24 18 call LONG 3 0.04 3/23 9:35 0.00 0.02%
Trade id #147663675
Max drawdown($6)
Time3/20/24 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.02%
 ($14)
Includes Typical Broker Commissions trade costs of $2.10
3/18/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 45 100.54 3/21 9:30 100.61 0%
Trade id #147661366
Max drawdown($0)
Time3/18/24 9:33
Quant open34
Worst price100.53
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.90
3/18/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 321.750000000 13.96 3/21 9:30 13.00 0%
Trade id #147661321
Max drawdown($1)
Time3/18/24 13:40
Quant open242
Worst price13.97
Drawdown as % of equity-0.00%
 $304
Includes Typical Broker Commissions trade costs of $6.44
3/6/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 104.250000000 100.36 3/7 9:30 100.40 0%
Trade id #147551233
Max drawdown($0)
Time3/6/24 9:33
Quant open78
Worst price100.35
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $2.08
3/6/24 9:47 VXX2408C16 VXX Mar8'24 16 call LONG 7.500000000 0.04 3/6 10:36 0.04 n/a ($11)
Includes Typical Broker Commissions trade costs of $10.50
3/6/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,296 13.83 3/6 10:03 13.94 0.44%
Trade id #147551228
Max drawdown($135)
Time3/6/24 10:00
Quant open570
Worst price13.98
Drawdown as % of equity-0.44%
 ($152)
Includes Typical Broker Commissions trade costs of $9.75
2/14/24 9:37 VXX2423B20 VXX Feb23'24 20 call LONG 9.750000000 0.13 2/24 9:35 0.00 0.28%
Trade id #147333371
Max drawdown($87)
Time2/20/24 0:00
Quant open8
Worst price0.01
Drawdown as % of equity-0.28%
 ($134)
Includes Typical Broker Commissions trade costs of $6.82
2/14/24 16:09 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 146.250000000 100.52 2/22 16:01 100.62 n/a $11
Includes Typical Broker Commissions trade costs of $2.92
2/14/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,006.500000000 14.71 2/22 15:56 14.37 1.28%
Trade id #147332926
Max drawdown($399)
Time2/20/24 0:00
Quant open754
Worst price15.24
Drawdown as % of equity-1.28%
 $337
Includes Typical Broker Commissions trade costs of $7.50
2/1/24 9:56 VXX2409B19 VXX Feb9'24 19 call LONG 9.750000000 0.09 2/9 9:41 0.01 0.19%
Trade id #147192556
Max drawdown($58)
Time2/7/24 0:00
Quant open8
Worst price0.01
Drawdown as % of equity-0.19%
 ($92)
Includes Typical Broker Commissions trade costs of $13.64
2/1/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,005 14.91 2/8 9:32 13.95 0.94%
Trade id #147191667
Max drawdown($284)
Time2/1/24 11:13
Quant open754
Worst price15.29
Drawdown as % of equity-0.94%
 $964
Includes Typical Broker Commissions trade costs of $5.00
2/1/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 150 100.32 2/7 16:12 100.39 0%
Trade id #147191691
Max drawdown($0)
Time2/1/24 9:33
Quant open112
Worst price100.31
Drawdown as % of equity-0.00%
 $8
Includes Typical Broker Commissions trade costs of $3.00
1/18/24 10:24 VXX2426A20 VXX Jan26'24 20 call LONG 15 0.06 1/27 9:35 0.02 0.12%
Trade id #147050135
Max drawdown($36)
Time1/19/24 0:00
Quant open8
Worst price0.02
Drawdown as % of equity-0.12%
 ($76)
Includes Typical Broker Commissions trade costs of $17.83
1/18/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 149.250000000 100.56 1/22 9:30 100.58 0%
Trade id #147048608
Max drawdown($0)
Time1/18/24 9:33
Quant open112
Worst price100.55
Drawdown as % of equity-0.00%
 $1
Includes Typical Broker Commissions trade costs of $2.98
1/18/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 970.500000000 15.53 1/22 9:30 14.90 0.9%
Trade id #147048590
Max drawdown($267)
Time1/18/24 13:26
Quant open728
Worst price15.90
Drawdown as % of equity-0.90%
 $601
Includes Typical Broker Commissions trade costs of $12.20
1/3/24 9:40 VXX2412A20 VXX Jan12'24 20 call LONG 9 0.10 1/13 9:35 0.00 0.21%
Trade id #146884958
Max drawdown($60)
Time1/8/24 0:00
Quant open7
Worst price0.01
Drawdown as % of equity-0.21%
 ($96)
Includes Typical Broker Commissions trade costs of $6.30
1/10/24 10:03 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 225 100.42 1/11 4:00 100.42 0%
Trade id #146962738
Max drawdown($1)
Time1/10/24 10:08
Quant open169
Worst price100.41
Drawdown as % of equity-0.00%
 ($4)
Includes Typical Broker Commissions trade costs of $4.50
1/3/24 9:32 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 945 15.79 1/10 15:59 14.93 1.36%
Trade id #146884701
Max drawdown($396)
Time1/3/24 10:46
Quant open709
Worst price16.35
Drawdown as % of equity-1.36%
 $802
Includes Typical Broker Commissions trade costs of $8.78
1/5/24 10:49 TAP MOLSON COORS BEVERAGE CO LONG 24 61.83 1/5 10:49 61.82 n/a $0
Includes Typical Broker Commissions trade costs of $0.48
12/7/23 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 870 17.16 12/11 15:58 16.40 0.42%
Trade id #146634067
Max drawdown($120)
Time12/7/23 9:42
Quant open652
Worst price17.34
Drawdown as % of equity-0.42%
 $656
Includes Typical Broker Commissions trade costs of $5.87
12/8/23 10:37 VXX2315L20 VXX Dec15'23 20 call LONG 7.500000000 0.06 12/11 15:50 0.02 0.07%
Trade id #146645157
Max drawdown($20)
Time12/11/23 9:50
Quant open6
Worst price0.02
Drawdown as % of equity-0.07%
 ($38)
Includes Typical Broker Commissions trade costs of $10.50
11/3/23 9:30: Rescaled downward to 60% of previous Model Account size
10/27/23 11:13 VXX2303K30 VXX Nov3'23 30 call LONG 3.600000000 0.37 11/2 9:44 0.01 0.2%
Trade id #146258399
Max drawdown($56)
Time11/1/23 0:00
Quant open2
Worst price0.02
Drawdown as % of equity-0.20%
 ($135)
Includes Typical Broker Commissions trade costs of $5.04
10/18/23 9:43 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 367.650000000 24.55 11/2 9:30 21.95 1.68%
Trade id #146160363
Max drawdown($464)
Time10/23/23 0:00
Quant open165
Worst price27.36
Drawdown as % of equity-1.68%
 $949
Includes Typical Broker Commissions trade costs of $7.36
10/18/23 15:58 VXX2327J32 VXX Oct27'23 32 call LONG 3.600000000 0.44 10/28 9:35 0.00 0.25%
Trade id #146166547
Max drawdown($69)
Time10/27/23 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.25%
 ($160)
Includes Typical Broker Commissions trade costs of $2.57
10/6/23 10:52 VXX2313J28 VXX Oct13'23 28 call LONG 2.700000000 0.35 10/10 9:36 0.14 0.08%
Trade id #146056330
Max drawdown($23)
Time10/6/23 14:41
Quant open2
Worst price0.16
Drawdown as % of equity-0.08%
 ($59)
Includes Typical Broker Commissions trade costs of $3.89
9/7/23 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 414 22.46 10/10 9:30 22.27 1.37%
Trade id #145757697
Max drawdown($391)
Time10/3/23 0:00
Quant open112
Worst price25.96
Drawdown as % of equity-1.37%
 $72
Includes Typical Broker Commissions trade costs of $8.28
9/29/23 10:18 VXX2306J26 VXX Oct6'23 26 call LONG 2.700000000 0.16 10/7 9:35 0.00 0.06%
Trade id #145971943
Max drawdown($18)
Time10/6/23 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.06%
 ($45)
Includes Typical Broker Commissions trade costs of $1.89
9/22/23 12:06 VXX2329I26.5 VXX Sep29'23 26.5 call LONG 2.700000000 0.17 9/30 9:35 0.00 0.07%
Trade id #145907636
Max drawdown($19)
Time9/29/23 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.07%
 ($48)
Includes Typical Broker Commissions trade costs of $1.89
Next

Statistics

  • Strategy began
    7/7/2022
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    648.81
  • Age
    22 months ago
  • What it trades
    Stocks, Options
  • # Trades
    64
  • # Profitable
    28
  • % Profitable
    43.80%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    9.6%
  • drawdown period
    April 04, 2024 - April 15, 2024
  • Annual Return (Compounded)
    15.7%
  • Avg win
    $482.11
  • Avg loss
    $118.33
  • Model Account Values (Raw)
  • Cash
    $41,331
  • Margin Used
    $30,726
  • Buying Power
    $8,944
  • Ratios
  • W:L ratio
    3.17:1
  • Sharpe Ratio
    1.13
  • Sortino Ratio
    1.61
  • Calmar Ratio
    3.18
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.03%
  • Correlation to SP500
    0.48700
  • Return Percent SP500 (cumu) during strategy life
    29.71%
  • Return Statistics
  • Ann Return (w trading costs)
    15.7%
  • Slump
  • Current Slump as Pcnt Equity
    8.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.157%
  • Instruments
  • Percent Trades Options
    0.44%
  • Percent Trades Stocks
    0.56%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.50%
  • 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)
    802
  • Popularity (Last 6 weeks)
    946
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    374
  • Popularity (7 days, Percentile 1000 scale)
    867
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $118
  • Avg Win
    $482
  • Sum Trade PL (losers)
    $4,260.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $13,499.000
  • # Winners
    28
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    36
  • % Winners
    43.8%
  • Frequency
  • Avg Position Time (mins)
    13536.60
  • Avg Position Time (hrs)
    225.61
  • Avg Trade Length
    9.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.43
  • Daily leverage (max)
    1.48
  • Regression
  • Alpha
    0.02
  • Beta
    0.29
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.791
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.266
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.402
  • Hold-and-Hope Ratio
    1.132
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21671
  • SD
    0.09209
  • Sharpe ratio (Glass type estimate)
    2.35326
  • Sharpe ratio (Hedges UMVUE)
    2.25892
  • df
    19.00000
  • t
    3.03805
  • p
    0.15693
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01865
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93842
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.42283
  • Upside Potential Ratio
    7.65222
  • Upside part of mean
    0.25819
  • Downside part of mean
    -0.04148
  • Upside SD
    0.10407
  • Downside SD
    0.03374
  • N nonnegative terms
    15.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.15763
  • Mean of criterion
    0.21671
  • SD of predictor
    0.15158
  • SD of criterion
    0.09209
  • Covariance
    0.00662
  • r
    0.47455
  • b (slope, estimate of beta)
    0.28831
  • a (intercept, estimate of alpha)
    0.17126
  • Mean Square Error
    0.00694
  • DF error
    18.00000
  • t(b)
    2.28732
  • p(b)
    0.26272
  • t(a)
    2.53726
  • p(a)
    0.24337
  • Lowerbound of 95% confidence interval for beta
    0.02350
  • Upperbound of 95% confidence interval for beta
    0.55312
  • Lowerbound of 95% confidence interval for alpha
    0.02945
  • Upperbound of 95% confidence interval for alpha
    0.31307
  • Treynor index (mean / b)
    0.75165
  • Jensen alpha (a)
    0.17126
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21040
  • SD
    0.09037
  • Sharpe ratio (Glass type estimate)
    2.32832
  • Sharpe ratio (Hedges UMVUE)
    2.23498
  • df
    19.00000
  • t
    3.00585
  • p
    0.15907
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55872
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91124
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.15269
  • Upside Potential Ratio
    7.37976
  • Upside part of mean
    0.25237
  • Downside part of mean
    -0.04196
  • Upside SD
    0.10138
  • Downside SD
    0.03420
  • N nonnegative terms
    15.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.14544
  • Mean of criterion
    0.21040
  • SD of predictor
    0.15158
  • SD of criterion
    0.09037
  • Covariance
    0.00659
  • r
    0.48104
  • b (slope, estimate of beta)
    0.28678
  • a (intercept, estimate of alpha)
    0.16869
  • Mean Square Error
    0.00663
  • DF error
    18.00000
  • t(b)
    2.32792
  • p(b)
    0.25948
  • t(a)
    2.57370
  • p(a)
    0.24067
  • Lowerbound of 95% confidence interval for beta
    0.02797
  • Upperbound of 95% confidence interval for beta
    0.54560
  • Lowerbound of 95% confidence interval for alpha
    0.03099
  • Upperbound of 95% confidence interval for alpha
    0.30640
  • Treynor index (mean / b)
    0.73367
  • Jensen alpha (a)
    0.16869
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02506
  • Expected Shortfall on VaR
    0.03558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00458
  • Expected Shortfall on VaR
    0.01146
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.96700
  • Quartile 1
    1.00305
  • Median
    1.01755
  • Quartile 3
    1.03798
  • Maximum
    1.06590
  • Mean of quarter 1
    0.98850
  • Mean of quarter 2
    1.01012
  • Mean of quarter 3
    1.02854
  • Mean of quarter 4
    1.05439
  • Inter Quartile Range
    0.03493
  • 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)
    -3.03806
  • VaR(95%) (moments method)
    0.00240
  • Expected Shortfall (moments method)
    0.00245
  • Extreme Value Index (regression method)
    -0.15937
  • VaR(95%) (regression method)
    0.02230
  • Expected Shortfall (regression method)
    0.03495
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00044
  • Quartile 1
    0.00303
  • Median
    0.01306
  • Quartile 3
    0.02492
  • Maximum
    0.03300
  • Mean of quarter 1
    0.00044
  • Mean of quarter 2
    0.00390
  • Mean of quarter 3
    0.02222
  • Mean of quarter 4
    0.03300
  • Inter Quartile Range
    0.02188
  • 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)
    0.29258
  • Compounded annual return (geometric extrapolation)
    0.26910
  • Calmar ratio (compounded annual return / max draw down)
    8.15462
  • Compounded annual return / average of 25% largest draw downs
    8.15462
  • Compounded annual return / Expected Shortfall lognormal
    7.56319
  • 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
    0.17799
  • SD
    0.09289
  • Sharpe ratio (Glass type estimate)
    1.91611
  • Sharpe ratio (Hedges UMVUE)
    1.91285
  • df
    441.00000
  • t
    2.48875
  • p
    0.00659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40079
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42932
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42712
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78457
  • Upside Potential Ratio
    8.51546
  • Upside part of mean
    0.54432
  • Downside part of mean
    -0.36632
  • Upside SD
    0.06815
  • Downside SD
    0.06392
  • N nonnegative terms
    183.00000
  • N negative terms
    259.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    442.00000
  • Mean of predictor
    0.14018
  • Mean of criterion
    0.17799
  • SD of predictor
    0.16692
  • SD of criterion
    0.09289
  • Covariance
    0.00750
  • r
    0.48343
  • b (slope, estimate of beta)
    0.26903
  • a (intercept, estimate of alpha)
    0.14000
  • Mean Square Error
    0.00663
  • DF error
    440.00000
  • t(b)
    11.58410
  • p(b)
    0.00000
  • t(a)
    2.23511
  • p(a)
    0.01296
  • Lowerbound of 95% confidence interval for beta
    0.22339
  • Upperbound of 95% confidence interval for beta
    0.31467
  • Lowerbound of 95% confidence interval for alpha
    0.01693
  • Upperbound of 95% confidence interval for alpha
    0.26363
  • Treynor index (mean / b)
    0.66161
  • Jensen alpha (a)
    0.14028
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17360
  • SD
    0.09306
  • Sharpe ratio (Glass type estimate)
    1.86555
  • Sharpe ratio (Hedges UMVUE)
    1.86238
  • df
    441.00000
  • t
    2.42308
  • p
    0.00790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37637
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.69147
  • Upside Potential Ratio
    8.40235
  • Upside part of mean
    0.54195
  • Downside part of mean
    -0.36835
  • Upside SD
    0.06778
  • Downside SD
    0.06450
  • N nonnegative terms
    183.00000
  • N negative terms
    259.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    442.00000
  • Mean of predictor
    0.12627
  • Mean of criterion
    0.17360
  • SD of predictor
    0.16662
  • SD of criterion
    0.09306
  • Covariance
    0.00749
  • r
    0.48284
  • b (slope, estimate of beta)
    0.26965
  • a (intercept, estimate of alpha)
    0.13955
  • Mean Square Error
    0.00666
  • DF error
    440.00000
  • t(b)
    11.56570
  • p(b)
    0.00000
  • t(a)
    2.21934
  • p(a)
    0.01349
  • Lowerbound of 95% confidence interval for beta
    0.22383
  • Upperbound of 95% confidence interval for beta
    0.31548
  • Lowerbound of 95% confidence interval for alpha
    0.01597
  • Upperbound of 95% confidence interval for alpha
    0.26313
  • Treynor index (mean / b)
    0.64379
  • Jensen alpha (a)
    0.13955
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00876
  • Expected Shortfall on VaR
    0.01113
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00349
  • Expected Shortfall on VaR
    0.00750
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    442.00000
  • Minimum
    0.96187
  • Quartile 1
    0.99976
  • Median
    1.00000
  • Quartile 3
    1.00298
  • Maximum
    1.01798
  • Mean of quarter 1
    0.99468
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00089
  • Mean of quarter 4
    1.00757
  • Inter Quartile Range
    0.00322
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.09276
  • Mean of outliers low
    0.98893
  • Number of outliers high
    50.00000
  • Percentage of outliers high
    0.11312
  • Mean of outliers high
    1.01097
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09655
  • VaR(95%) (moments method)
    0.00275
  • Expected Shortfall (moments method)
    0.00398
  • Extreme Value Index (regression method)
    0.00866
  • VaR(95%) (regression method)
    0.00489
  • Expected Shortfall (regression method)
    0.00792
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00075
  • Median
    0.00399
  • Quartile 3
    0.01565
  • Maximum
    0.07019
  • Mean of quarter 1
    0.00038
  • Mean of quarter 2
    0.00203
  • Mean of quarter 3
    0.00926
  • Mean of quarter 4
    0.04048
  • Inter Quartile Range
    0.01490
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12121
  • Mean of outliers high
    0.06204
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47834
  • VaR(95%) (moments method)
    0.04418
  • Expected Shortfall (moments method)
    0.09354
  • Extreme Value Index (regression method)
    -0.05794
  • VaR(95%) (regression method)
    0.03653
  • Expected Shortfall (regression method)
    0.04781
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23999
  • Compounded annual return (geometric extrapolation)
    0.22324
  • Calmar ratio (compounded annual return / max draw down)
    3.18038
  • Compounded annual return / average of 25% largest draw downs
    5.51518
  • Compounded annual return / Expected Shortfall lognormal
    20.05570
  • 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
    0.03420
  • SD
    0.10733
  • Sharpe ratio (Glass type estimate)
    0.31863
  • Sharpe ratio (Hedges UMVUE)
    0.31679
  • df
    130.00000
  • t
    0.22531
  • p
    0.49012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45405
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09011
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45528
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08887
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42183
  • Upside Potential Ratio
    6.02191
  • Upside part of mean
    0.48819
  • Downside part of mean
    -0.45400
  • Upside SD
    0.06974
  • Downside SD
    0.08107
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23589
  • Mean of criterion
    0.03420
  • SD of predictor
    0.12361
  • SD of criterion
    0.10733
  • Covariance
    0.00615
  • r
    0.46374
  • b (slope, estimate of beta)
    0.40264
  • a (intercept, estimate of alpha)
    -0.06078
  • Mean Square Error
    0.00911
  • DF error
    129.00000
  • t(b)
    5.94496
  • p(b)
    0.21573
  • t(a)
    -0.44711
  • p(a)
    0.52504
  • Lowerbound of 95% confidence interval for beta
    0.26864
  • Upperbound of 95% confidence interval for beta
    0.53664
  • Lowerbound of 95% confidence interval for alpha
    -0.32974
  • Upperbound of 95% confidence interval for alpha
    0.20818
  • Treynor index (mean / b)
    0.08493
  • Jensen alpha (a)
    -0.06078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02844
  • SD
    0.10782
  • Sharpe ratio (Glass type estimate)
    0.26380
  • Sharpe ratio (Hedges UMVUE)
    0.26228
  • df
    130.00000
  • t
    0.18654
  • p
    0.49182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50867
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03531
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50971
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03427
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34658
  • Upside Potential Ratio
    5.91869
  • Upside part of mean
    0.48573
  • Downside part of mean
    -0.45729
  • Upside SD
    0.06931
  • Downside SD
    0.08207
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22819
  • Mean of criterion
    0.02844
  • SD of predictor
    0.12352
  • SD of criterion
    0.10782
  • Covariance
    0.00617
  • r
    0.46355
  • b (slope, estimate of beta)
    0.40463
  • a (intercept, estimate of alpha)
    -0.06389
  • Mean Square Error
    0.00920
  • DF error
    129.00000
  • t(b)
    5.94187
  • p(b)
    0.21583
  • t(a)
    -0.46799
  • p(a)
    0.52620
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.26989
  • Upperbound of 95% confidence interval for beta
    0.53936
  • Lowerbound of 95% confidence interval for alpha
    -0.33399
  • Upperbound of 95% confidence interval for alpha
    0.20621
  • Treynor index (mean / b)
    0.07029
  • Jensen alpha (a)
    -0.06389
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01079
  • Expected Shortfall on VaR
    0.01354
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00469
  • Expected Shortfall on VaR
    0.00998
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96187
  • Quartile 1
    0.99978
  • Median
    1.00000
  • Quartile 3
    1.00142
  • Maximum
    1.01648
  • Mean of quarter 1
    0.99341
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00025
  • Mean of quarter 4
    1.00730
  • Inter Quartile Range
    0.00164
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.18321
  • Mean of outliers low
    0.99127
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.00996
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43586
  • VaR(95%) (moments method)
    0.00293
  • Expected Shortfall (moments method)
    0.00370
  • Extreme Value Index (regression method)
    0.28415
  • VaR(95%) (regression method)
    0.00689
  • Expected Shortfall (regression method)
    0.01403
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00251
  • Median
    0.00700
  • Quartile 3
    0.02656
  • Maximum
    0.07019
  • Mean of quarter 1
    0.00043
  • Mean of quarter 2
    0.00456
  • Mean of quarter 3
    0.01180
  • Mean of quarter 4
    0.06474
  • Inter Quartile Range
    0.02405
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.07019
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349200000
  • Max Equity Drawdown (num days)
    11
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05715
  • Compounded annual return (geometric extrapolation)
    0.05797
  • Calmar ratio (compounded annual return / max draw down)
    0.82581
  • Compounded annual return / average of 25% largest draw downs
    0.89545
  • Compounded annual return / Expected Shortfall lognormal
    4.28255

Strategy Description

New Algorithm Trade System (starting date) : after an initial test period the official version of the strategy started on October 10th 2022.

All Liquid Volatility strategies that can be MANUALLY traded.
All are 100% algorithmic systematic strategies. No human intervention.
LIQUID Volatility SVIX go back to trade “LONG Only” definitively SVIX -1x Short VIX Futures ETF
Thus it will be possible to trade this strategy also for IRA accounts.

LIQUID Volatility VXX trades “SHORT only” the VXX iPath Series B S&P 500 VIX Short-Term Futures ETN.
LIQUID Volatility PLUS trades “SHORT only” the VXX iPath Series B S&P 500 VIX Short-Term Futures ETN.
LIQUID Volatility SVIX and LIQUID Volatility VXX has no option coverage but only a stop loss updated every day.

LIQUID Volatility PLUS, in addition to the stop loss, also has an option call coverage to prevent a large loss from a "black swan" event.
The vast majority of the time, these options will expire worthless.
However, should there be some sort of unforeseen "black-swan" event, then the options will provide a cap on the amount of money that could be lost on the overall trade.

2024 update :
1)LIQUID VOLATILITY plus is now 100% TOS-certified since January 2024”
2) in order to generate a surplus percentage yield starting from January 2024 all Liquid Volatility strategies will invest in the SGOV iShares 0-3 Month Treasury Bond ETF.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-07
Suggested Minimum Capital
$30,000
# Trades
64
# Profitable
28
% Profitable
43.8%
Correlation S&P500
0.487
Sharpe Ratio
1.13
Sortino Ratio
1.61
Beta
0.29
Alpha
0.02
Leverage
0.43 Average
1.48 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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