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These are hypothetical performance results that have certain inherent limitations. Learn more

Dynamic Volatility
(128998240)

Created by: EdwardHorne EdwardHorne
Started: 05/2020
Stocks
Last trade: 71 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 $80.00 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).
11.4%
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.

(59.8%)
Max Drawdown
59
Num Trades
35.6%
Win Trades
1.2 : 1
Profit Factor
53.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +15.7%+12.4%+7.4%+21.0%(11.7%)+8.9%(0.5%)+11.1%+80.0%
2021+4.0%(12.6%)+13.3%+16.3%(14.5%)+3.5%(6.3%)(5.4%)(12.1%)+11.6%+2.7%+0.9%(4.4%)
2022(21.5%)(6.8%)+14.4%(18.8%)(8.5%)(13.1%)+12.7%(3.8%)+2.2%(2.2%)+13.0%+7.6%(28.8%)
2023+10.1%(14.1%)(19.7%)+17.7%+7.3%+38.5%+8.6%(14.1%)(0.3%)(24.7%)+26.1%+9.5%+28.3%
2024(2.9%)(0.1%)  -                                                        (3.1%)

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 96 hours.

Trading Record

This strategy has placed 11 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1273 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/2/23 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,200 27.77 1/17/24 9:30 36.73 1.93%
Trade id #146313625
Max drawdown($1,100)
Time11/2/23 12:17
Quant open2,200
Worst price27.27
Drawdown as % of equity-1.93%
$19,707
Includes Typical Broker Commissions trade costs of $5.00
10/20/23 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 2,500 26.28 10/25 9:30 24.50 8.4%
Trade id #146184108
Max drawdown($5,000)
Time10/24/23 0:00
Quant open2,500
Worst price24.28
Drawdown as % of equity-8.40%
($4,455)
Includes Typical Broker Commissions trade costs of $5.00
10/12/23 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 2,695 29.26 10/13 13:30 24.50 20.21%
Trade id #146109019
Max drawdown($12,828)
Time10/13/23 13:29
Quant open2,695
Worst price24.50
Drawdown as % of equity-20.21%
($12,833)
Includes Typical Broker Commissions trade costs of $5.00
10/4/23 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 3,190 25.13 10/6 9:30 24.72 5.21%
Trade id #146026121
Max drawdown($3,796)
Time10/5/23 0:00
Quant open3,190
Worst price23.94
Drawdown as % of equity-5.21%
($1,313)
Includes Typical Broker Commissions trade costs of $5.00
3/31/23 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,045 16.56 8/3 9:30 26.31 2.87%
Trade id #144126896
Max drawdown($1,370)
Time4/4/23 0:00
Quant open3,045
Worst price16.11
Drawdown as % of equity-2.87%
$29,684
Includes Typical Broker Commissions trade costs of $5.00
3/13/23 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 4,950 11.74 3/14 9:30 10.19 15.25%
Trade id #143874450
Max drawdown($7,697)
Time3/14/23 9:30
Quant open4,950
Worst price10.19
Drawdown as % of equity-15.25%
($7,678)
Includes Typical Broker Commissions trade costs of $5.00
2/24/23 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,550 16.45 3/10 9:30 16.40 3.18%
Trade id #143686352
Max drawdown($1,689)
Time2/24/23 10:56
Quant open3,550
Worst price15.97
Drawdown as % of equity-3.18%
($183)
Includes Typical Broker Commissions trade costs of $5.00
2/15/23 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,450 17.80 2/17 9:30 16.97 5.21%
Trade id #143589810
Max drawdown($2,898)
Time2/17/23 9:30
Quant open3,450
Worst price16.96
Drawdown as % of equity-5.21%
($2,869)
Includes Typical Broker Commissions trade costs of $5.00
2/2/23 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,745 18.98 2/10 9:30 16.35 16.59%
Trade id #143428410
Max drawdown($9,849)
Time2/10/23 9:30
Quant open3,745
Worst price16.35
Drawdown as % of equity-16.59%
($9,854)
Includes Typical Broker Commissions trade costs of $5.00
1/13/23 9:31 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 4,065 16.60 1/31 9:30 17.54 5.69%
Trade id #143208904
Max drawdown($3,577)
Time1/19/23 0:00
Quant open4,065
Worst price15.72
Drawdown as % of equity-5.69%
$3,816
Includes Typical Broker Commissions trade costs of $5.00
10/31/22 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 4,400 11.89 1/10/23 9:30 15.22 2.23%
Trade id #142377937
Max drawdown($1,100)
Time11/3/22 0:00
Quant open4,400
Worst price11.64
Drawdown as % of equity-2.23%
$14,647
Includes Typical Broker Commissions trade costs of $5.00
10/11/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 3,130 17.48 10/17 9:30 16.82 5.89%
Trade id #142118972
Max drawdown($2,942)
Time10/14/22 0:00
Quant open3,130
Worst price16.54
Drawdown as % of equity-5.89%
($2,071)
Includes Typical Broker Commissions trade costs of $5.00
10/7/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 3,200 16.53 10/10 9:30 17.07 0.26%
Trade id #142080177
Max drawdown($128)
Time10/7/22 9:36
Quant open3,200
Worst price16.49
Drawdown as % of equity-0.26%
$1,723
Includes Typical Broker Commissions trade costs of $5.00
9/30/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 3,200 16.87 10/3 9:30 16.58 4.19%
Trade id #141990344
Max drawdown($2,064)
Time9/30/22 11:18
Quant open3,200
Worst price16.23
Drawdown as % of equity-4.19%
($933)
Includes Typical Broker Commissions trade costs of $5.00
9/13/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 3,580 14.31 9/19 9:30 15.05 1.49%
Trade id #141762542
Max drawdown($716)
Time9/13/22 9:33
Quant open3,580
Worst price14.11
Drawdown as % of equity-1.49%
$2,644
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 3,550 15.00 9/8 9:30 14.36 6.94%
Trade id #141685175
Max drawdown($3,301)
Time9/7/22 15:54
Quant open3,550
Worst price14.07
Drawdown as % of equity-6.94%
($2,277)
Includes Typical Broker Commissions trade costs of $5.00
7/18/22 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 4,325 11.50 8/31 9:30 12.40 4.57%
Trade id #141089687
Max drawdown($2,076)
Time7/18/22 15:43
Quant open4,325
Worst price11.02
Drawdown as % of equity-4.57%
$3,888
Includes Typical Broker Commissions trade costs of $5.00
6/28/22 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 4,700 11.00 7/13 9:30 10.48 10.18%
Trade id #140884858
Max drawdown($4,784)
Time6/30/22 0:00
Quant open4,700
Worst price9.98
Drawdown as % of equity-10.18%
($2,449)
Includes Typical Broker Commissions trade costs of $5.00
6/13/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 2,740 19.65 6/21 9:30 18.84 6.82%
Trade id #140748365
Max drawdown($3,616)
Time6/15/22 0:00
Quant open2,740
Worst price18.33
Drawdown as % of equity-6.82%
($2,224)
Includes Typical Broker Commissions trade costs of $5.00
5/17/22 9:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 4,920 11.41 6/10 9:30 10.98 20.19%
Trade id #140499661
Max drawdown($9,249)
Time5/19/22 0:00
Quant open4,920
Worst price9.53
Drawdown as % of equity-20.19%
($2,121)
Includes Typical Broker Commissions trade costs of $5.00
5/10/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 2,840 20.74 5/13 9:30 19.78 5.13%
Trade id #140424772
Max drawdown($2,868)
Time5/13/22 9:30
Quant open2,840
Worst price19.73
Drawdown as % of equity-5.13%
($2,731)
Includes Typical Broker Commissions trade costs of $5.00
4/27/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 2,950 19.89 5/3 9:30 20.02 8.2%
Trade id #140279899
Max drawdown($4,690)
Time4/28/22 0:00
Quant open2,950
Worst price18.30
Drawdown as % of equity-8.20%
$379
Includes Typical Broker Commissions trade costs of $5.00
4/25/22 9:30 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 3,300 18.83 4/26 9:30 18.20 5.85%
Trade id #140248561
Max drawdown($3,349)
Time4/25/22 15:58
Quant open3,300
Worst price17.82
Drawdown as % of equity-5.85%
($2,084)
Includes Typical Broker Commissions trade costs of $5.00
3/11/22 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 619 101.86 4/25 9:30 97.93 9.38%
Trade id #139748933
Max drawdown($5,379)
Time3/14/22 0:00
Quant open619
Worst price93.17
Drawdown as % of equity-9.38%
($2,438)
Includes Typical Broker Commissions trade costs of $5.00
3/8/22 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,310 28.26 3/10 9:30 27.40 7.6%
Trade id #139692868
Max drawdown($4,758)
Time3/9/22 0:00
Quant open2,310
Worst price26.20
Drawdown as % of equity-7.60%
($1,992)
Includes Typical Broker Commissions trade costs of $5.00
3/1/22 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,650 24.65 3/3 9:30 24.68 1.39%
Trade id #139587857
Max drawdown($874)
Time3/1/22 9:50
Quant open2,650
Worst price24.32
Drawdown as % of equity-1.39%
$75
Includes Typical Broker Commissions trade costs of $5.00
2/18/22 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,620 23.18 2/28 9:30 24.70 2.41%
Trade id #139448292
Max drawdown($1,467)
Time2/25/22 0:00
Quant open2,620
Worst price22.62
Drawdown as % of equity-2.41%
$3,977
Includes Typical Broker Commissions trade costs of $5.00
2/14/22 9:31 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,800 23.08 2/16 9:30 21.70 7.72%
Trade id #139377763
Max drawdown($4,900)
Time2/15/22 0:00
Quant open2,800
Worst price21.33
Drawdown as % of equity-7.72%
($3,869)
Includes Typical Broker Commissions trade costs of $5.00
2/7/22 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 581 120.02 2/14 9:30 112.11 7.49%
Trade id #139283542
Max drawdown($5,037)
Time2/11/22 0:00
Quant open581
Worst price111.35
Drawdown as % of equity-7.49%
($4,601)
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 3,040 25.01 1/26 9:30 22.80 9.8%
Trade id #139069535
Max drawdown($6,931)
Time1/26/22 9:30
Quant open3,040
Worst price22.73
Drawdown as % of equity-9.80%
($6,723)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/13/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1414.57
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    59
  • # Profitable
    21
  • % Profitable
    35.60%
  • Avg trade duration
    16.4 days
  • Max peak-to-valley drawdown
    59.76%
  • drawdown period
    May 07, 2021 - May 19, 2022
  • Annual Return (Compounded)
    11.4%
  • Avg win
    $8,432
  • Avg loss
    $3,829
  • Model Account Values (Raw)
  • Cash
    $81,762
  • Margin Used
    $0
  • Buying Power
    $81,762
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.32
  • Sortino Ratio
    0.44
  • Calmar Ratio
    0.25
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -34.03%
  • Correlation to SP500
    0.24200
  • Return Percent SP500 (cumu) during strategy life
    86.21%
  • Return Statistics
  • Ann Return (w trading costs)
    11.4%
  • Slump
  • Current Slump as Pcnt Equity
    47.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.75%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.114%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.50%
  • Chance of 20% account loss
    64.50%
  • Chance of 30% account loss
    44.00%
  • Chance of 40% account loss
    19.00%
  • Chance of 60% account loss (Monte Carlo)
    2.50%
  • 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
    6.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    268
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,830
  • Avg Win
    $8,432
  • Sum Trade PL (losers)
    $145,532.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $177,078.000
  • # Winners
    21
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    216
  • Win / Loss
  • # Losers
    38
  • % Winners
    35.6%
  • Frequency
  • Avg Position Time (mins)
    23616.20
  • Avg Position Time (hrs)
    393.60
  • Avg Trade Length
    16.4 days
  • Last Trade Ago
    70
  • Leverage
  • Daily leverage (average)
    1.85
  • Daily leverage (max)
    3.44
  • Regression
  • Alpha
    0.02
  • Beta
    0.46
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.93
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    7.524
  • 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
    0.257
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.319
  • Hold-and-Hope Ratio
    0.133
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22666
  • SD
    0.49216
  • Sharpe ratio (Glass type estimate)
    0.46054
  • Sharpe ratio (Hedges UMVUE)
    0.45112
  • df
    37.00000
  • t
    0.81953
  • p
    0.20887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55731
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78236
  • Upside Potential Ratio
    2.78783
  • Upside part of mean
    0.80766
  • Downside part of mean
    -0.58100
  • Upside SD
    0.39522
  • Downside SD
    0.28971
  • N nonnegative terms
    16.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.15059
  • Mean of criterion
    0.22666
  • SD of predictor
    0.16462
  • SD of criterion
    0.49216
  • Covariance
    0.05362
  • r
    0.66181
  • b (slope, estimate of beta)
    1.97854
  • a (intercept, estimate of alpha)
    -0.07129
  • Mean Square Error
    0.13991
  • DF error
    36.00000
  • t(b)
    5.29675
  • p(b)
    0.00000
  • t(a)
    -0.32763
  • p(a)
    0.62746
  • Lowerbound of 95% confidence interval for beta
    1.22097
  • Upperbound of 95% confidence interval for beta
    2.73611
  • Lowerbound of 95% confidence interval for alpha
    -0.51259
  • Upperbound of 95% confidence interval for alpha
    0.37001
  • Treynor index (mean / b)
    0.11456
  • Jensen alpha (a)
    -0.07129
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11050
  • SD
    0.48390
  • Sharpe ratio (Glass type estimate)
    0.22835
  • Sharpe ratio (Hedges UMVUE)
    0.22368
  • df
    37.00000
  • t
    0.40635
  • p
    0.34342
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32626
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34709
  • Upside Potential Ratio
    2.31703
  • Upside part of mean
    0.73764
  • Downside part of mean
    -0.62714
  • Upside SD
    0.35730
  • Downside SD
    0.31836
  • N nonnegative terms
    16.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.13603
  • Mean of criterion
    0.11050
  • SD of predictor
    0.16667
  • SD of criterion
    0.48390
  • Covariance
    0.05406
  • r
    0.67034
  • b (slope, estimate of beta)
    1.94626
  • a (intercept, estimate of alpha)
    -0.15425
  • Mean Square Error
    0.13252
  • DF error
    36.00000
  • t(b)
    5.42015
  • p(b)
    0.00000
  • t(a)
    -0.73342
  • p(a)
    0.76597
  • Lowerbound of 95% confidence interval for beta
    1.21801
  • Upperbound of 95% confidence interval for beta
    2.67450
  • Lowerbound of 95% confidence interval for alpha
    -0.58080
  • Upperbound of 95% confidence interval for alpha
    0.27230
  • Treynor index (mean / b)
    0.05677
  • Jensen alpha (a)
    -0.15425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19793
  • Expected Shortfall on VaR
    0.24241
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12268
  • Expected Shortfall on VaR
    0.21155
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.76315
  • Quartile 1
    0.93038
  • Median
    0.99015
  • Quartile 3
    1.13157
  • Maximum
    1.33063
  • Mean of quarter 1
    0.85171
  • Mean of quarter 2
    0.96752
  • Mean of quarter 3
    1.05930
  • Mean of quarter 4
    1.20477
  • Inter Quartile Range
    0.20119
  • 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)
    -2.01587
  • VaR(95%) (moments method)
    0.14778
  • Expected Shortfall (moments method)
    0.15009
  • Extreme Value Index (regression method)
    -1.02618
  • VaR(95%) (regression method)
    0.17374
  • Expected Shortfall (regression method)
    0.18559
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03872
  • Quartile 1
    0.04332
  • Median
    0.07290
  • Quartile 3
    0.20482
  • Maximum
    0.51646
  • Mean of quarter 1
    0.03872
  • Mean of quarter 2
    0.04485
  • Mean of quarter 3
    0.10094
  • Mean of quarter 4
    0.51646
  • Inter Quartile Range
    0.16150
  • 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
    0.25000
  • Mean of outliers high
    0.51646
  • 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)
    0.17370
  • Compounded annual return (geometric extrapolation)
    0.14844
  • Calmar ratio (compounded annual return / max draw down)
    0.28742
  • Compounded annual return / average of 25% largest draw downs
    0.28742
  • Compounded annual return / Expected Shortfall lognormal
    0.61234
  • 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
    0.16293
  • SD
    0.34326
  • Sharpe ratio (Glass type estimate)
    0.47467
  • Sharpe ratio (Hedges UMVUE)
    0.47425
  • df
    842.00000
  • t
    0.85144
  • p
    0.19738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61865
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56714
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65346
  • Upside Potential Ratio
    7.90875
  • Upside part of mean
    1.97198
  • Downside part of mean
    -1.80904
  • Upside SD
    0.23583
  • Downside SD
    0.24934
  • N nonnegative terms
    399.00000
  • N negative terms
    444.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    843.00000
  • Mean of predictor
    0.18305
  • Mean of criterion
    0.16293
  • SD of predictor
    0.18862
  • SD of criterion
    0.34326
  • Covariance
    0.01630
  • r
    0.25169
  • b (slope, estimate of beta)
    0.45804
  • a (intercept, estimate of alpha)
    0.07900
  • Mean Square Error
    0.11049
  • DF error
    841.00000
  • t(b)
    7.54185
  • p(b)
    -0.00000
  • t(a)
    0.42602
  • p(a)
    0.33510
  • Lowerbound of 95% confidence interval for beta
    0.33883
  • Upperbound of 95% confidence interval for beta
    0.57725
  • Lowerbound of 95% confidence interval for alpha
    -0.28530
  • Upperbound of 95% confidence interval for alpha
    0.44347
  • Treynor index (mean / b)
    0.35572
  • Jensen alpha (a)
    0.07909
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10370
  • SD
    0.34485
  • Sharpe ratio (Glass type estimate)
    0.30071
  • Sharpe ratio (Hedges UMVUE)
    0.30045
  • df
    842.00000
  • t
    0.53941
  • p
    0.29487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39320
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40541
  • Upside Potential Ratio
    7.60270
  • Upside part of mean
    1.94471
  • Downside part of mean
    -1.84101
  • Upside SD
    0.23107
  • Downside SD
    0.25579
  • N nonnegative terms
    399.00000
  • N negative terms
    444.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    843.00000
  • Mean of predictor
    0.16516
  • Mean of criterion
    0.10370
  • SD of predictor
    0.18904
  • SD of criterion
    0.34485
  • Covariance
    0.01645
  • r
    0.25234
  • b (slope, estimate of beta)
    0.46033
  • a (intercept, estimate of alpha)
    0.02767
  • Mean Square Error
    0.11148
  • DF error
    841.00000
  • t(b)
    7.56261
  • p(b)
    -0.00000
  • t(a)
    0.14845
  • p(a)
    0.44101
  • Lowerbound of 95% confidence interval for beta
    0.34086
  • Upperbound of 95% confidence interval for beta
    0.57981
  • Lowerbound of 95% confidence interval for alpha
    -0.33821
  • Upperbound of 95% confidence interval for alpha
    0.39356
  • Treynor index (mean / b)
    0.22527
  • Jensen alpha (a)
    0.02767
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03405
  • Expected Shortfall on VaR
    0.04259
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01632
  • Expected Shortfall on VaR
    0.03299
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    843.00000
  • Minimum
    0.89335
  • Quartile 1
    0.99187
  • Median
    1.00000
  • Quartile 3
    1.01091
  • Maximum
    1.10614
  • Mean of quarter 1
    0.97462
  • Mean of quarter 2
    0.99802
  • Mean of quarter 3
    1.00531
  • Mean of quarter 4
    1.02499
  • Inter Quartile Range
    0.01904
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.05338
  • Mean of outliers low
    0.94787
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.02728
  • Mean of outliers high
    1.05423
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12905
  • VaR(95%) (moments method)
    0.02207
  • Expected Shortfall (moments method)
    0.03308
  • Extreme Value Index (regression method)
    -0.05106
  • VaR(95%) (regression method)
    0.02292
  • Expected Shortfall (regression method)
    0.03130
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00203
  • Quartile 1
    0.01495
  • Median
    0.02735
  • Quartile 3
    0.05134
  • Maximum
    0.56292
  • Mean of quarter 1
    0.00735
  • Mean of quarter 2
    0.01928
  • Mean of quarter 3
    0.03660
  • Mean of quarter 4
    0.22969
  • Inter Quartile Range
    0.03639
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.28294
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.02805
  • VaR(95%) (moments method)
    0.18028
  • Expected Shortfall (moments method)
    0.26778
  • Extreme Value Index (regression method)
    1.16397
  • VaR(95%) (regression method)
    0.22435
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16386
  • Compounded annual return (geometric extrapolation)
    0.14066
  • Calmar ratio (compounded annual return / max draw down)
    0.24988
  • Compounded annual return / average of 25% largest draw downs
    0.61240
  • Compounded annual return / Expected Shortfall lognormal
    3.30302
  • 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
    0.16941
  • SD
    0.33775
  • Sharpe ratio (Glass type estimate)
    0.50158
  • Sharpe ratio (Hedges UMVUE)
    0.49868
  • df
    130.00000
  • t
    0.35467
  • p
    0.48445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27115
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61949
  • Upside Potential Ratio
    6.32657
  • Upside part of mean
    1.73010
  • Downside part of mean
    -1.56069
  • Upside SD
    0.19629
  • Downside SD
    0.27347
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37900
  • Mean of criterion
    0.16941
  • SD of predictor
    0.12227
  • SD of criterion
    0.33775
  • Covariance
    0.01150
  • r
    0.27858
  • b (slope, estimate of beta)
    0.76951
  • a (intercept, estimate of alpha)
    -0.12223
  • Mean Square Error
    0.10604
  • DF error
    129.00000
  • t(b)
    3.29449
  • p(b)
    0.32497
  • t(a)
    -0.26065
  • p(a)
    0.51460
  • Lowerbound of 95% confidence interval for beta
    0.30738
  • Upperbound of 95% confidence interval for beta
    1.23164
  • Lowerbound of 95% confidence interval for alpha
    -1.05005
  • Upperbound of 95% confidence interval for alpha
    0.80559
  • Treynor index (mean / b)
    0.22015
  • Jensen alpha (a)
    -0.12223
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11108
  • SD
    0.34533
  • Sharpe ratio (Glass type estimate)
    0.32167
  • Sharpe ratio (Hedges UMVUE)
    0.31981
  • df
    130.00000
  • t
    0.22746
  • p
    0.49003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09315
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09189
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39023
  • Upside Potential Ratio
    6.01093
  • Upside part of mean
    1.71105
  • Downside part of mean
    -1.59996
  • Upside SD
    0.19329
  • Downside SD
    0.28466
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37127
  • Mean of criterion
    0.11108
  • SD of predictor
    0.12222
  • SD of criterion
    0.34533
  • Covariance
    0.01178
  • r
    0.27920
  • b (slope, estimate of beta)
    0.78888
  • a (intercept, estimate of alpha)
    -0.18181
  • Mean Square Error
    0.11081
  • DF error
    129.00000
  • t(b)
    3.30248
  • p(b)
    0.32459
  • t(a)
    -0.37952
  • p(a)
    0.52126
  • VAR (95 Confidence Intrvl)
    0.03400
  • Lowerbound of 95% confidence interval for beta
    0.31626
  • Upperbound of 95% confidence interval for beta
    1.26150
  • Lowerbound of 95% confidence interval for alpha
    -1.12960
  • Upperbound of 95% confidence interval for alpha
    0.76599
  • Treynor index (mean / b)
    0.14081
  • Jensen alpha (a)
    -0.18181
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03407
  • Expected Shortfall on VaR
    0.04262
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01384
  • Expected Shortfall on VaR
    0.03020
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89335
  • Quartile 1
    0.99470
  • Median
    1.00000
  • Quartile 3
    1.01091
  • Maximum
    1.06100
  • Mean of quarter 1
    0.97731
  • Mean of quarter 2
    0.99927
  • Mean of quarter 3
    1.00565
  • Mean of quarter 4
    1.02094
  • Inter Quartile Range
    0.01621
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.93763
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05101
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71633
  • VaR(95%) (moments method)
    0.02267
  • Expected Shortfall (moments method)
    0.08640
  • Extreme Value Index (regression method)
    0.58512
  • VaR(95%) (regression method)
    0.02168
  • Expected Shortfall (regression method)
    0.05900
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00094
  • Quartile 1
    0.00348
  • Median
    0.00611
  • Quartile 3
    0.01043
  • Maximum
    0.33231
  • Mean of quarter 1
    0.00220
  • Mean of quarter 2
    0.00593
  • Mean of quarter 3
    0.00829
  • Mean of quarter 4
    0.21627
  • Inter Quartile Range
    0.00696
  • 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
    0.22222
  • Mean of outliers high
    0.21627
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -8.03603
  • VaR(95%) (moments method)
    0.04401
  • Expected Shortfall (moments method)
    0.04401
  • Extreme Value Index (regression method)
    0.37015
  • VaR(95%) (regression method)
    0.40333
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.87959
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -333949000
  • Max Equity Drawdown (num days)
    377
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14393
  • Compounded annual return (geometric extrapolation)
    0.14911
  • Calmar ratio (compounded annual return / max draw down)
    0.44871
  • Compounded annual return / average of 25% largest draw downs
    0.68949
  • Compounded annual return / Expected Shortfall lognormal
    3.49889

Strategy Description

Short version: What this strategy does is combine several different volatility strategies into one and dynamically changes which strategy to follow based on specific indicators.

Longer version: This strategy follows a simple premise that most current volatility strategies that you can subscribe to were 1) constructed in a period of relative market calm prior to 2018 and 2) use quite a bit of simulated data to justify how their model works (usually the 2004 to 2009/2010 timeframe). Both conditions lead to strategies that are not well suited for the market environment we find ourselves in now. Most strategies (especially those based on a VRP based model with an extended lookback period) are prone to presuming an extended trend following pattern. When this pattern doesn't exist (as in 2018), extended drawdowns are the result. This strategy works to improve on the traditional volatility based strategies by dynamically changing the model it follows based on current market conditions.

22 June 2020 Update: I've had a few recurring questions from potential subscribers that I'll address here: 1) This is a long only strategy with no margin use so it is IRA friendly 2) My primary positions in this model are long SPXL (short vol), long VXX (long vol) or Cash. Alternative positions may include long SVXY (short vol) or long TVIX (long vol) depending on market conditions 3) All trades will be done at or as close to market open as possible - so no day trading in the model as well 4) Historical backtest results show a short vol position 68% of the time, long vol 16% of the time and cash 16% of the time -short vol positions tend to be more drawn out (and thus the model will seem to be on auto pilot) whereas long vol or cash positions will see more trading activity with shorter duration positions. If you have any additional questions, feel free to message me directly.

Summary Statistics

Strategy began
2020-05-13
Suggested Minimum Capital
$15,000
# Trades
59
# Profitable
21
% Profitable
35.6%
Net Dividends
Correlation S&P500
0.242
Sharpe Ratio
0.32
Sortino Ratio
0.44
Beta
0.46
Alpha
0.02
Leverage
1.85 Average
3.44 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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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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