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VIXTrader
(106901765)

Created by: RobertPetersonAlgoin RobertPetersonAlgoin
Started: 11/2016
Stocks
Last trade: 2 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 $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.

31.8%
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.

(19.0%)
Max Drawdown
197
Num Trades
49.7%
Win Trades
1.9 : 1
Profit Factor
68.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +26.5%+2.4%+29.5%
2017+12.6%+3.0%+7.1%(1.1%)+0.8%+5.1%+8.3%(0.8%)+8.0%+7.7%+1.4%+9.4%+80.3%
2018(3%)+4.0%(7.9%)+14.2%+2.0%(5.2%)(0.1%)(2.4%)(0.8%)(1.8%)(2%)+1.2%(3.4%)
2019+4.9%+1.2%(0.9%)+5.2%+2.1%+1.0%+2.2%+1.6%(1.2%)+2.4%+5.8%+1.4%+28.6%
2020(5.5%)+0.1%(3.8%)+2.1%  -  +7.4%+4.2%+2.6%+1.4%(3%)+1.7%+0.1%+6.8%

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 48 hours.

Trading Record

This strategy has placed 903 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
11/13/20 11:50 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,675 18.98 11/20 15:54 18.85 0.16%
Trade id #132249868
Max drawdown($119)
Time11/16/20 0:00
Quant open1,197
Worst price19.30
Drawdown as % of equity-0.16%
$193
Includes Typical Broker Commissions trade costs of $17.07
11/10/20 11:45 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,197 19.59 11/12 12:42 19.59 0.59%
Trade id #132179813
Max drawdown($452)
Time11/10/20 13:31
Quant open1,197
Worst price19.97
Drawdown as % of equity-0.59%
($7)
Includes Typical Broker Commissions trade costs of $7.40
10/29/20 13:44 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 385 25.46 10/30 12:44 26.45 0.75%
Trade id #131974341
Max drawdown($569)
Time10/30/20 10:48
Quant open385
Worst price26.94
Drawdown as % of equity-0.75%
($389)
Includes Typical Broker Commissions trade costs of $7.70
10/22/20 11:24 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,054 22.27 10/26 13:29 23.71 1.7%
Trade id #131844115
Max drawdown($1,306)
Time10/26/20 12:52
Quant open844
Worst price23.82
Drawdown as % of equity-1.70%
($1,533)
Includes Typical Broker Commissions trade costs of $18.04
10/14/20 15:17 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,080 21.73 10/15 10:43 22.92 1.74%
Trade id #131700413
Max drawdown($1,377)
Time10/15/20 0:00
Quant open1,080
Worst price23.01
Drawdown as % of equity-1.74%
($1,291)
Includes Typical Broker Commissions trade costs of $7.50
10/7/20 10:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 988 23.95 10/12 10:31 22.37 0.03%
Trade id #131564471
Max drawdown($26)
Time10/7/20 12:27
Quant open191
Worst price24.71
Drawdown as % of equity-0.03%
$1,542
Includes Typical Broker Commissions trade costs of $16.38
10/5/20 14:17 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 943 24.97 10/6 15:50 25.46 0.66%
Trade id #131523516
Max drawdown($518)
Time10/6/20 15:46
Quant open943
Worst price25.52
Drawdown as % of equity-0.66%
($469)
Includes Typical Broker Commissions trade costs of $9.21
9/29/20 14:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 962 24.67 9/30 13:46 24.71 0.2%
Trade id #131421153
Max drawdown($156)
Time9/29/20 15:56
Quant open581
Worst price24.94
Drawdown as % of equity-0.20%
($50)
Includes Typical Broker Commissions trade costs of $8.81
9/8/20 10:37 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,231 26.66 9/21 10:41 26.07 0.33%
Trade id #131065967
Max drawdown($257)
Time9/8/20 11:32
Quant open469
Worst price30.24
Drawdown as % of equity-0.33%
$1,282
Includes Typical Broker Commissions trade costs of $36.82
8/20/20 15:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 382 24.60 8/25 10:32 25.20 0.32%
Trade id #130716210
Max drawdown($252)
Time8/25/20 10:31
Quant open382
Worst price25.26
Drawdown as % of equity-0.32%
($237)
Includes Typical Broker Commissions trade costs of $7.64
8/4/20 13:37 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,017 26.48 8/18 10:30 25.28 0.45%
Trade id #130451342
Max drawdown($345)
Time8/4/20 14:40
Quant open835
Worst price28.11
Drawdown as % of equity-0.45%
$2,396
Includes Typical Broker Commissions trade costs of $25.81
7/27/20 14:07 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 765 29.78 7/28 15:30 28.89 0.08%
Trade id #130298735
Max drawdown($62)
Time7/27/20 14:18
Quant open765
Worst price29.86
Drawdown as % of equity-0.08%
$675
Includes Typical Broker Commissions trade costs of $5.00
7/23/20 9:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 786 28.96 7/23 12:36 29.30 0.41%
Trade id #130236927
Max drawdown($310)
Time7/23/20 12:36
Quant open786
Worst price29.36
Drawdown as % of equity-0.41%
($268)
Includes Typical Broker Commissions trade costs of $5.00
7/15/20 13:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 637 32.66 7/20 10:59 29.61 0.35%
Trade id #130098341
Max drawdown($263)
Time7/16/20 0:00
Quant open637
Worst price33.07
Drawdown as % of equity-0.35%
$1,936
Includes Typical Broker Commissions trade costs of $5.00
7/14/20 14:42 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 637 33.63 7/15 11:56 33.10 0.39%
Trade id #130077513
Max drawdown($286)
Time7/14/20 15:19
Quant open637
Worst price34.08
Drawdown as % of equity-0.39%
$335
Includes Typical Broker Commissions trade costs of $5.00
7/10/20 15:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 699 32.16 7/13 14:32 33.07 0.91%
Trade id #130022456
Max drawdown($677)
Time7/13/20 14:32
Quant open699
Worst price33.13
Drawdown as % of equity-0.91%
($641)
Includes Typical Broker Commissions trade costs of $5.00
6/29/20 15:24 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 589 36.22 7/2 9:30 31.88 0.05%
Trade id #129808244
Max drawdown($37)
Time6/29/20 15:49
Quant open589
Worst price36.28
Drawdown as % of equity-0.05%
$2,548
Includes Typical Broker Commissions trade costs of $8.39
6/18/20 15:44 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 582 36.67 6/23 15:34 34.20 1.19%
Trade id #129646567
Max drawdown($849)
Time6/19/20 0:00
Quant open582
Worst price38.13
Drawdown as % of equity-1.19%
$1,435
Includes Typical Broker Commissions trade costs of $5.00
6/2/20 13:52 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 628 32.77 6/5 9:30 28.93 0.2%
Trade id #129315552
Max drawdown($138)
Time6/2/20 15:26
Quant open628
Worst price32.99
Drawdown as % of equity-0.20%
$2,403
Includes Typical Broker Commissions trade costs of $8.78
5/20/20 11:45 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 705 34.08 5/26 15:30 33.66 1.33%
Trade id #129110241
Max drawdown($917)
Time5/21/20 0:00
Quant open705
Worst price35.38
Drawdown as % of equity-1.33%
$288
Includes Typical Broker Commissions trade costs of $7.56
5/15/20 13:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 532 37.43 5/19 15:31 34.22 0.19%
Trade id #129045364
Max drawdown($125)
Time5/15/20 15:01
Quant open532
Worst price37.67
Drawdown as % of equity-0.19%
$1,700
Includes Typical Broker Commissions trade costs of $10.64
5/6/20 13:18 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 596 38.25 5/11 12:19 34.00 0.94%
Trade id #128894057
Max drawdown($606)
Time5/6/20 16:00
Quant open596
Worst price39.27
Drawdown as % of equity-0.94%
$2,524
Includes Typical Broker Commissions trade costs of $8.46
4/28/20 14:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,156 38.07 5/1 11:50 41.61 6.08%
Trade id #128774698
Max drawdown($3,953)
Time5/1/20 11:48
Quant open1,156
Worst price41.49
Drawdown as % of equity-6.08%
($4,106)
Includes Typical Broker Commissions trade costs of $10.00
4/24/20 14:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 432 42.36 4/27 11:13 38.38 0.06%
Trade id #128732446
Max drawdown($41)
Time4/24/20 14:36
Quant open432
Worst price42.46
Drawdown as % of equity-0.06%
$1,710
Includes Typical Broker Commissions trade costs of $8.64
4/17/20 15:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 579 39.05 4/20 14:42 41.73 2.38%
Trade id #128630086
Max drawdown($1,589)
Time4/20/20 14:31
Quant open579
Worst price41.80
Drawdown as % of equity-2.38%
($1,554)
Includes Typical Broker Commissions trade costs of $5.00
4/9/20 10:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 778 40.37 4/14 10:54 37.89 0.95%
Trade id #128496961
Max drawdown($625)
Time4/9/20 11:26
Quant open528
Worst price42.82
Drawdown as % of equity-0.95%
$1,920
Includes Typical Broker Commissions trade costs of $7.50
3/31/20 14:58 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 481 45.64 4/1 12:37 47.96 1.88%
Trade id #128344760
Max drawdown($1,265)
Time4/1/20 0:00
Quant open241
Worst price50.89
Drawdown as % of equity-1.88%
($1,126)
Includes Typical Broker Commissions trade costs of $9.62
3/20/20 12:56 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 198 56.50 3/23 9:30 57.37 1.62%
Trade id #128163661
Max drawdown($1,094)
Time3/20/20 15:51
Quant open198
Worst price62.03
Drawdown as % of equity-1.62%
($176)
Includes Typical Broker Commissions trade costs of $3.96
3/20/20 10:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 330 54.87 3/20 11:06 54.01 0.21%
Trade id #128159598
Max drawdown($145)
Time3/20/20 10:43
Quant open330
Worst price55.31
Drawdown as % of equity-0.21%
$277
Includes Typical Broker Commissions trade costs of $6.60
3/17/20 12:00 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 483 56.94 3/17 13:10 59.39 1.42%
Trade id #128089199
Max drawdown($980)
Time3/17/20 13:10
Quant open483
Worst price58.97
Drawdown as % of equity-1.42%
($1,193)
Includes Typical Broker Commissions trade costs of $9.66

Statistics

  • Strategy began
    11/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1493.3
  • Age
    50 months ago
  • What it trades
    Stocks
  • # Trades
    197
  • # Profitable
    98
  • % Profitable
    49.70%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    18.97%
  • drawdown period
    May 21, 2018 - Nov 23, 2018
  • Annual Return (Compounded)
    31.8%
  • Avg win
    $1,378
  • Avg loss
    $724.36
  • Model Account Values (Raw)
  • Cash
    $112,873
  • Margin Used
    $48,151
  • Buying Power
    $66,051
  • Ratios
  • W:L ratio
    1.88:1
  • Sharpe Ratio
    1.45
  • Sortino Ratio
    2.32
  • Calmar Ratio
    2.466
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    132.73%
  • Correlation to SP500
    0.23470
  • Return Percent SP500 (cumu) during strategy life
    77.10%
  • Return Statistics
  • Ann Return (w trading costs)
    31.8%
  • Slump
  • Current Slump as Pcnt Equity
    4.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Return Statistics
  • Return Pcnt Since TOS Status
    32.640%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.318%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    36.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    75.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    895
  • Popularity (Last 6 weeks)
    957
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    900
  • Popularity (7 days, Percentile 1000 scale)
    911
  • 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
    $724
  • Avg Win
    $1,381
  • Sum Trade PL (losers)
    $71,712.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    50
  • Win / Loss
  • Sum Trade PL (winners)
    $135,357.000
  • # Winners
    98
  • Num Months Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    303012
  • Win / Loss
  • # Losers
    99
  • % Winners
    49.8%
  • Frequency
  • Avg Position Time (mins)
    6020.93
  • Avg Position Time (hrs)
    100.35
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.50
  • Daily leverage (max)
    1.79
  • Regression
  • Alpha
    0.07
  • Beta
    0.18
  • Treynor Index
    0.41
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    14.97
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    19.66
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.45
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.967
  • 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
    0.255
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.256
  • Hold-and-Hope Ratio
    0.509
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31205
  • SD
    0.20790
  • Sharpe ratio (Glass type estimate)
    1.50098
  • Sharpe ratio (Hedges UMVUE)
    1.47687
  • df
    47.00000
  • t
    3.00195
  • p
    0.00214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50132
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.07010
  • Upside Potential Ratio
    6.66661
  • Upside part of mean
    0.41031
  • Downside part of mean
    -0.09826
  • Upside SD
    0.21598
  • Downside SD
    0.06155
  • N nonnegative terms
    28.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.13034
  • Mean of criterion
    0.31205
  • SD of predictor
    0.20957
  • SD of criterion
    0.20790
  • Covariance
    0.01446
  • r
    0.33198
  • b (slope, estimate of beta)
    0.32934
  • a (intercept, estimate of alpha)
    0.26912
  • Mean Square Error
    0.03929
  • DF error
    46.00000
  • t(b)
    2.38701
  • p(b)
    0.01058
  • t(a)
    2.67170
  • p(a)
    0.00520
  • Lowerbound of 95% confidence interval for beta
    0.05162
  • Upperbound of 95% confidence interval for beta
    0.60706
  • Lowerbound of 95% confidence interval for alpha
    0.06636
  • Upperbound of 95% confidence interval for alpha
    0.47189
  • Treynor index (mean / b)
    0.94750
  • Jensen alpha (a)
    0.26912
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28830
  • SD
    0.19498
  • Sharpe ratio (Glass type estimate)
    1.47859
  • Sharpe ratio (Hedges UMVUE)
    1.45485
  • df
    47.00000
  • t
    2.95719
  • p
    0.00242
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49570
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43169
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47801
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.57462
  • Upside Potential Ratio
    6.16112
  • Upside part of mean
    0.38828
  • Downside part of mean
    -0.09998
  • Upside SD
    0.20045
  • Downside SD
    0.06302
  • N nonnegative terms
    28.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.10595
  • Mean of criterion
    0.28830
  • SD of predictor
    0.22538
  • SD of criterion
    0.19498
  • Covariance
    0.01471
  • r
    0.33473
  • b (slope, estimate of beta)
    0.28958
  • a (intercept, estimate of alpha)
    0.25762
  • Mean Square Error
    0.03449
  • DF error
    46.00000
  • t(b)
    2.40919
  • p(b)
    0.01002
  • t(a)
    2.74853
  • p(a)
    0.00426
  • Lowerbound of 95% confidence interval for beta
    0.04763
  • Upperbound of 95% confidence interval for beta
    0.53152
  • Lowerbound of 95% confidence interval for alpha
    0.06895
  • Upperbound of 95% confidence interval for alpha
    0.44629
  • Treynor index (mean / b)
    0.99558
  • Jensen alpha (a)
    0.25762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06626
  • Expected Shortfall on VaR
    0.08777
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01664
  • Expected Shortfall on VaR
    0.03440
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.92946
  • Quartile 1
    0.99415
  • Median
    1.00901
  • Quartile 3
    1.05083
  • Maximum
    1.25023
  • Mean of quarter 1
    0.97200
  • Mean of quarter 2
    1.00138
  • Mean of quarter 3
    1.03121
  • Mean of quarter 4
    1.10874
  • Inter Quartile Range
    0.05668
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.10417
  • Mean of outliers high
    1.16286
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.79220
  • VaR(95%) (moments method)
    0.01864
  • Expected Shortfall (moments method)
    0.01921
  • Extreme Value Index (regression method)
    0.29292
  • VaR(95%) (regression method)
    0.02735
  • Expected Shortfall (regression method)
    0.05119
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00480
  • Quartile 1
    0.00866
  • Median
    0.02622
  • Quartile 3
    0.05810
  • Maximum
    0.08060
  • Mean of quarter 1
    0.00550
  • Mean of quarter 2
    0.01738
  • Mean of quarter 3
    0.03778
  • Mean of quarter 4
    0.07164
  • Inter Quartile Range
    0.04944
  • 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)
    -2.47943
  • VaR(95%) (moments method)
    0.07828
  • Expected Shortfall (moments method)
    0.07862
  • Extreme Value Index (regression method)
    -0.42406
  • VaR(95%) (regression method)
    0.08318
  • Expected Shortfall (regression method)
    0.08866
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63562
  • Compounded annual return (geometric extrapolation)
    0.37191
  • Calmar ratio (compounded annual return / max draw down)
    4.61447
  • Compounded annual return / average of 25% largest draw downs
    5.19144
  • Compounded annual return / Expected Shortfall lognormal
    4.23743
  • 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
    0.29788
  • SD
    0.14803
  • Sharpe ratio (Glass type estimate)
    2.01232
  • Sharpe ratio (Hedges UMVUE)
    2.01089
  • df
    1059.00000
  • t
    4.04761
  • p
    0.42162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.03369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99005
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98907
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33288
  • Upside Potential Ratio
    9.57172
  • Upside part of mean
    0.85549
  • Downside part of mean
    -0.55761
  • Upside SD
    0.11934
  • Downside SD
    0.08938
  • N nonnegative terms
    425.00000
  • N negative terms
    635.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1060.00000
  • Mean of predictor
    0.13437
  • Mean of criterion
    0.29788
  • SD of predictor
    0.20411
  • SD of criterion
    0.14803
  • Covariance
    0.00680
  • r
    0.22493
  • b (slope, estimate of beta)
    0.16313
  • a (intercept, estimate of alpha)
    0.27600
  • Mean Square Error
    0.02082
  • DF error
    1058.00000
  • t(b)
    7.50870
  • p(b)
    0.38754
  • t(a)
    3.84338
  • p(a)
    0.44133
  • Lowerbound of 95% confidence interval for beta
    0.12050
  • Upperbound of 95% confidence interval for beta
    0.20576
  • Lowerbound of 95% confidence interval for alpha
    0.13507
  • Upperbound of 95% confidence interval for alpha
    0.41685
  • Treynor index (mean / b)
    1.82605
  • Jensen alpha (a)
    0.27596
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28678
  • SD
    0.14771
  • Sharpe ratio (Glass type estimate)
    1.94145
  • Sharpe ratio (Hedges UMVUE)
    1.94007
  • df
    1059.00000
  • t
    3.90506
  • p
    0.42433
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.96308
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91799
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.16548
  • Upside Potential Ratio
    9.36465
  • Upside part of mean
    0.84839
  • Downside part of mean
    -0.56162
  • Upside SD
    0.11792
  • Downside SD
    0.09060
  • N nonnegative terms
    425.00000
  • N negative terms
    635.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1060.00000
  • Mean of predictor
    0.11337
  • Mean of criterion
    0.28678
  • SD of predictor
    0.20530
  • SD of criterion
    0.14771
  • Covariance
    0.00681
  • r
    0.22473
  • b (slope, estimate of beta)
    0.16170
  • a (intercept, estimate of alpha)
    0.26845
  • Mean Square Error
    0.02074
  • DF error
    1058.00000
  • t(b)
    7.50171
  • p(b)
    0.38763
  • t(a)
    3.74744
  • p(a)
    0.44277
  • Lowerbound of 95% confidence interval for beta
    0.11940
  • Upperbound of 95% confidence interval for beta
    0.20399
  • Lowerbound of 95% confidence interval for alpha
    0.12788
  • Upperbound of 95% confidence interval for alpha
    0.40901
  • Treynor index (mean / b)
    1.77354
  • Jensen alpha (a)
    0.26845
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01382
  • Expected Shortfall on VaR
    0.01757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00541
  • Expected Shortfall on VaR
    0.01134
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1060.00000
  • Minimum
    0.94332
  • Quartile 1
    0.99812
  • Median
    1.00000
  • Quartile 3
    1.00375
  • Maximum
    1.05068
  • Mean of quarter 1
    0.99214
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00108
  • Mean of quarter 4
    1.01215
  • Inter Quartile Range
    0.00563
  • Number outliers low
    58.00000
  • Percentage of outliers low
    0.05472
  • Mean of outliers low
    0.98140
  • Number of outliers high
    99.00000
  • Percentage of outliers high
    0.09340
  • Mean of outliers high
    1.02057
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32515
  • VaR(95%) (moments method)
    0.00645
  • Expected Shortfall (moments method)
    0.01185
  • Extreme Value Index (regression method)
    0.22634
  • VaR(95%) (regression method)
    0.00699
  • Expected Shortfall (regression method)
    0.01186
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    62.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00304
  • Median
    0.00835
  • Quartile 3
    0.04232
  • Maximum
    0.14995
  • Mean of quarter 1
    0.00181
  • Mean of quarter 2
    0.00562
  • Mean of quarter 3
    0.01793
  • Mean of quarter 4
    0.06262
  • Inter Quartile Range
    0.03928
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.03226
  • Mean of outliers high
    0.13270
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43191
  • VaR(95%) (moments method)
    0.07388
  • Expected Shortfall (moments method)
    0.12090
  • Extreme Value Index (regression method)
    0.86601
  • VaR(95%) (regression method)
    0.06007
  • Expected Shortfall (regression method)
    0.20332
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63574
  • Compounded annual return (geometric extrapolation)
    0.36983
  • Calmar ratio (compounded annual return / max draw down)
    2.46628
  • Compounded annual return / average of 25% largest draw downs
    5.90551
  • Compounded annual return / Expected Shortfall lognormal
    21.05190
  • 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
    0.21705
  • SD
    0.07212
  • Sharpe ratio (Glass type estimate)
    3.00949
  • Sharpe ratio (Hedges UMVUE)
    2.99209
  • df
    130.00000
  • t
    2.12803
  • p
    0.40826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.79961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.78766
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.37242
  • Upside Potential Ratio
    11.68040
  • Upside part of mean
    0.47190
  • Downside part of mean
    -0.25485
  • Upside SD
    0.06091
  • Downside SD
    0.04040
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33825
  • Mean of criterion
    0.21705
  • SD of predictor
    0.20223
  • SD of criterion
    0.07212
  • Covariance
    0.00317
  • r
    0.21762
  • b (slope, estimate of beta)
    0.07761
  • a (intercept, estimate of alpha)
    0.19080
  • Mean Square Error
    0.00499
  • DF error
    129.00000
  • t(b)
    2.53239
  • p(b)
    0.36256
  • t(a)
    1.89901
  • p(a)
    0.39549
  • Lowerbound of 95% confidence interval for beta
    0.01697
  • Upperbound of 95% confidence interval for beta
    0.13825
  • Lowerbound of 95% confidence interval for alpha
    -0.00799
  • Upperbound of 95% confidence interval for alpha
    0.38959
  • Treynor index (mean / b)
    2.79673
  • Jensen alpha (a)
    0.19080
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21437
  • SD
    0.07200
  • Sharpe ratio (Glass type estimate)
    2.97749
  • Sharpe ratio (Hedges UMVUE)
    2.96028
  • df
    130.00000
  • t
    2.10540
  • p
    0.40921
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17668
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.76723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.75534
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.27986
  • Upside Potential Ratio
    11.57640
  • Upside part of mean
    0.47001
  • Downside part of mean
    -0.25564
  • Upside SD
    0.06059
  • Downside SD
    0.04060
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31753
  • Mean of criterion
    0.21437
  • SD of predictor
    0.20374
  • SD of criterion
    0.07200
  • Covariance
    0.00317
  • r
    0.21589
  • b (slope, estimate of beta)
    0.07629
  • a (intercept, estimate of alpha)
    0.19014
  • Mean Square Error
    0.00498
  • DF error
    129.00000
  • t(b)
    2.51125
  • p(b)
    0.36364
  • t(a)
    1.89638
  • p(a)
    0.39563
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.01618
  • Upperbound of 95% confidence interval for beta
    0.13640
  • Lowerbound of 95% confidence interval for alpha
    -0.00824
  • Upperbound of 95% confidence interval for alpha
    0.38852
  • Treynor index (mean / b)
    2.80990
  • Jensen alpha (a)
    0.19014
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00648
  • Expected Shortfall on VaR
    0.00832
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00249
  • Expected Shortfall on VaR
    0.00519
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98366
  • Quartile 1
    0.99956
  • Median
    1.00000
  • Quartile 3
    1.00245
  • Maximum
    1.01711
  • Mean of quarter 1
    0.99644
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00085
  • Mean of quarter 4
    1.00649
  • Inter Quartile Range
    0.00289
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.99162
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.01048
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33336
  • VaR(95%) (moments method)
    0.00301
  • Expected Shortfall (moments method)
    0.00572
  • Extreme Value Index (regression method)
    0.30970
  • VaR(95%) (regression method)
    0.00387
  • Expected Shortfall (regression method)
    0.00746
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00093
  • Quartile 1
    0.00138
  • Median
    0.00174
  • Quartile 3
    0.00473
  • Maximum
    0.04607
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00157
  • Mean of quarter 3
    0.00302
  • Mean of quarter 4
    0.01988
  • Inter Quartile Range
    0.00335
  • 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
    0.09091
  • Mean of outliers high
    0.04607
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.91308
  • VaR(95%) (moments method)
    0.02286
  • Expected Shortfall (moments method)
    0.27272
  • Extreme Value Index (regression method)
    4.62705
  • VaR(95%) (regression method)
    0.09568
  • 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?
    -303439000
  • Max Equity Drawdown (num days)
    186
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25756
  • Compounded annual return (geometric extrapolation)
    0.27414
  • Calmar ratio (compounded annual return / max draw down)
    5.95094
  • Compounded annual return / average of 25% largest draw downs
    13.79160
  • Compounded annual return / Expected Shortfall lognormal
    32.94830

Strategy Description

The goal is 10%-20% per month while maintaining low DD. This algorithmic trading system is aimed at achieving an absolute return and its success does not depend on market behavior.

Various researches proved that one can know in advance when emotions such as hope and fear will emerge and how human beings demonstrate consistent reactions to such emotions. In fact, hope, fear, greed, herd-dynamics, euphoria and panic drive the wheels of capital markets everywhere. When human activities, which come as a reaction to a certain emotion, repeat themselves enough times and last for a sufficient amount of time, this could create a fertile ground of information that enables one to track down those behaviors, which repeat themselves over and over again among investors.
When a certain behavior is found to be predictable with sufficiently high rates of success, then we can claim that we had found the base for a trading strategy.
My system is based on waves of euphoria and panic appearing among buyers and sellers in the capital markets quite frequently. The "herd dynamics" that follows only enhances the magnitude of such waves.
Upon the recognition of such wave of euphoria or panic in the market, the strategy starts seeking the most appropriate timing to tag along. When this moment arrives, a chain of decision making commences, at the end of which an order to sell or buy the symbol VXX or XIV is being issued. When the strategy identifies the coming end of such wave then once again a decision making chain commences, in the end of which an order to sell or buy a security is issued for the purpose exiting the trading position. In the cases where the system identifies an unpredictable wave behavior, an order to close the position is being closed.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, I do make an effort to control the risk as I do to my private money.


Summary Statistics

Strategy began
2016-11-03
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 10.0%
Rank # 
#66
# Trades
197
# Profitable
98
% Profitable
49.7%
Correlation S&P500
0.235
Sharpe Ratio
1.45
Sortino Ratio
2.32
Beta
0.18
Alpha
0.07
Leverage
0.50 Average
1.79 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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