VIX DayTrader 1
(98408819)
Subscription terms. Subscriptions to this system cost $189.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2015  +23.1%  +8.3%  +33.3%  
2016  +0.6%  (0.2%)  +18.8%  +10.3%  (0.2%)  +12.6%  +1.7%  +4.8%  (6.5%)  +7.2%  +16.2%  (7.3%)  +70.1% 
2017  (5.7%)  +1.9%  (5.7%)  (5.8%)  (2.1%)  (7.9%)  (4.4%)  (12.8%)  +8.2%  +5.6%  (1.5%)  +5.2%  (23.9%) 
2018  (7.4%)  +18.6%  (3.5%)    +6.0% 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $10,000  
Buy Power  $29,017  
Cash  $29,017  
Equity  $0  
Cumulative $  $19,017  
Total System Equity  $29,017  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/17/2015

Suggested Minimum Cap$35,000

Strategy Age (days)891.42

Age30 months ago

What it tradesStocks

# Trades574

# Profitable321

% Profitable55.90%

Avg trade duration5.7 hours

Max peaktovalley drawdown47.11%

drawdown periodDec 07, 2016  Sept 05, 2017

Annual Return (Compounded)28.0%

Avg win$275.45

Avg loss$274.32
 Model Account Values (Raw)

Cash$29,017

Margin Used$0

Buying Power$29,017
 Ratios

W:L ratio1.27:1

Sharpe Ratio1.96

Sortino Ratio3.525

Calmar Ratio1.901
 CORRELATION STATISTICS

Correlation to SP5000.01900
 Return Statistics

Ann Return (w trading costs)28.0%

Ann Return (Compnd, No Fees)54.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss24.50%

Chance of 20% account loss2.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)453

Popularity (Last 6 weeks)857

C2 Score71.3
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$274

Avg Win$275

# Winners321

# Losers253

% Winners55.9%
 Frequency

Avg Position Time (mins)340.33

Avg Position Time (hrs)5.67

Avg Trade Length0.2 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.45058

SD0.29611

Sharpe ratio (Glass type estimate)1.52167

Sharpe ratio (Hedges UMVUE)1.47894

df27.00000

t2.32438

p0.01394

Lowerbound of 95% confidence interval for Sharpe Ratio0.16375

Upperbound of 95% confidence interval for Sharpe Ratio2.85405

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.13657

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.82130
 Statistics related to Sortino ratio

Sortino ratio4.11662

Upside Potential Ratio5.62973

Upside part of mean0.61620

Downside part of mean0.16562

Upside SD0.29915

Downside SD0.10945

N nonnegative terms18.00000

N negative terms10.00000
 Statistics related to linear regression on benchmark

N of observations28.00000

Mean of predictor0.08528

Mean of criterion0.45058

SD of predictor0.09425

SD of criterion0.29611

Covariance0.00204

r0.07325

b (slope, estimate of beta)0.23014

a (intercept, estimate of alpha)0.47021

Mean Square Error0.09057

DF error26.00000

t(b)0.37451

p(b)0.64447

t(a)2.30649

p(a)0.01465

Lowerbound of 95% confidence interval for beta1.49331

Upperbound of 95% confidence interval for beta1.03302

Lowerbound of 95% confidence interval for alpha0.05116

Upperbound of 95% confidence interval for alpha0.88926

Treynor index (mean / b)1.95781

Jensen alpha (a)0.47021
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.40348

SD0.27806

Sharpe ratio (Glass type estimate)1.45107

Sharpe ratio (Hedges UMVUE)1.41033

df27.00000

t2.21655

p0.01763

Lowerbound of 95% confidence interval for Sharpe Ratio0.09914

Upperbound of 95% confidence interval for Sharpe Ratio2.77846

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.07323

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.74743
 Statistics related to Sortino ratio

Sortino ratio3.52336

Upside Potential Ratio5.02168

Upside part of mean0.57507

Downside part of mean0.17158

Upside SD0.27388

Downside SD0.11452

N nonnegative terms18.00000

N negative terms10.00000
 Statistics related to linear regression on benchmark

N of observations28.00000

Mean of predictor0.08054

Mean of criterion0.40348

SD of predictor0.09401

SD of criterion0.27806

Covariance0.00195

r0.07451

b (slope, estimate of beta)0.22038

a (intercept, estimate of alpha)0.42123

Mean Square Error0.07984

DF error26.00000

t(b)0.38098

p(b)0.64684

t(a)2.20817

p(a)0.01813

Lowerbound of 95% confidence interval for beta1.40940

Upperbound of 95% confidence interval for beta0.96864

Lowerbound of 95% confidence interval for alpha0.02912

Upperbound of 95% confidence interval for alpha0.81335

Treynor index (mean / b)1.83088

Jensen alpha (a)0.42123
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09372

Expected Shortfall on VaR0.12323
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02499

Expected Shortfall on VaR0.05424
 ORDER STATISTICS
 Quartiles of return rates

Number of observations28.00000

Minimum0.88288

Quartile 10.99386

Median1.03038

Quartile 31.07335

Maximum1.26934

Mean of quarter 10.94961

Mean of quarter 21.00594

Mean of quarter 31.04577

Mean of quarter 41.15819

Inter Quartile Range0.07949

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.07143

Mean of outliers high1.24153
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.02806

VaR(95%) (moments method)0.03529

Expected Shortfall (moments method)0.05238

Extreme Value Index (regression method)0.19497

VaR(95%) (regression method)0.06001

Expected Shortfall (regression method)0.10436
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00402

Quartile 10.06094

Median0.11786

Quartile 30.17478

Maximum0.23170

Mean of quarter 10.00402

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.23170

Inter Quartile Range0.11384

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.74410

Compounded annual return (geometric extrapolation)0.53940

Calmar ratio (compounded annual return / max draw down)2.32797

Compounded annual return / average of 25% largest draw downs2.32797

Compounded annual return / Expected Shortfall lognormal4.37721

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.41434

SD0.21115

Sharpe ratio (Glass type estimate)1.96228

Sharpe ratio (Hedges UMVUE)1.95994

df630.00000

t3.04526

p0.00121

Lowerbound of 95% confidence interval for Sharpe Ratio0.69394

Upperbound of 95% confidence interval for Sharpe Ratio3.22911

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.69237

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.22751
 Statistics related to Sortino ratio

Sortino ratio3.52507

Upside Potential Ratio11.40280

Upside part of mean1.34028

Downside part of mean0.92594

Upside SD0.17707

Downside SD0.11754

N nonnegative terms321.00000

N negative terms310.00000
 Statistics related to linear regression on benchmark

N of observations631.00000

Mean of predictor0.08880

Mean of criterion0.41434

SD of predictor0.12261

SD of criterion0.21115

Covariance0.00081

r0.03128

b (slope, estimate of beta)0.05387

a (intercept, estimate of alpha)0.41900

Mean Square Error0.04461

DF error629.00000

t(b)0.78483

p(b)0.78358

t(a)3.07639

p(a)0.00109

Lowerbound of 95% confidence interval for beta0.18864

Upperbound of 95% confidence interval for beta0.08091

Lowerbound of 95% confidence interval for alpha0.15158

Upperbound of 95% confidence interval for alpha0.68665

Treynor index (mean / b)7.69201

Jensen alpha (a)0.41912
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.39201

SD0.20916

Sharpe ratio (Glass type estimate)1.87417

Sharpe ratio (Hedges UMVUE)1.87194

df630.00000

t2.90853

p0.00188

Lowerbound of 95% confidence interval for Sharpe Ratio0.60629

Upperbound of 95% confidence interval for Sharpe Ratio3.14065

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60477

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.13911
 Statistics related to Sortino ratio

Sortino ratio3.30140

Upside Potential Ratio11.15750

Upside part of mean1.32486

Downside part of mean0.93284

Upside SD0.17369

Downside SD0.11874

N nonnegative terms321.00000

N negative terms310.00000
 Statistics related to linear regression on benchmark

N of observations631.00000

Mean of predictor0.08124

Mean of criterion0.39201

SD of predictor0.12293

SD of criterion0.20916

Covariance0.00083

r0.03230

b (slope, estimate of beta)0.05496

a (intercept, estimate of alpha)0.39648

Mean Square Error0.04377

DF error629.00000

t(b)0.81060

p(b)0.79105

t(a)2.93841

p(a)0.00171

Lowerbound of 95% confidence interval for beta0.18812

Upperbound of 95% confidence interval for beta0.07819

Lowerbound of 95% confidence interval for alpha0.13151

Upperbound of 95% confidence interval for alpha0.66144

Treynor index (mean / b)7.13216

Jensen alpha (a)0.39648
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01957

Expected Shortfall on VaR0.02483
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00805

Expected Shortfall on VaR0.01582
 ORDER STATISTICS
 Quartiles of return rates

Number of observations631.00000

Minimum0.95518

Quartile 10.99533

Median1.00025

Quartile 31.00664

Maximum1.09036

Mean of quarter 10.98755

Mean of quarter 20.99855

Mean of quarter 31.00308

Mean of quarter 41.01758

Inter Quartile Range0.01131

Number outliers low18.00000

Percentage of outliers low0.02853

Mean of outliers low0.97305

Number of outliers high33.00000

Percentage of outliers high0.05230

Mean of outliers high1.03694
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.01690

VaR(95%) (moments method)0.01113

Expected Shortfall (moments method)0.01527

Extreme Value Index (regression method)0.05564

VaR(95%) (regression method)0.01196

Expected Shortfall (regression method)0.01605
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations25.00000

Minimum0.00031

Quartile 10.00668

Median0.01831

Quartile 30.04369

Maximum0.27451

Mean of quarter 10.00343

Mean of quarter 20.01176

Mean of quarter 30.03562

Mean of quarter 40.11310

Inter Quartile Range0.03701

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.08000

Mean of outliers high0.19103
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.04090

VaR(95%) (moments method)0.10030

Expected Shortfall (moments method)0.13914

Extreme Value Index (regression method)0.52204

VaR(95%) (regression method)0.12682

Expected Shortfall (regression method)0.28210
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.72632

Compounded annual return (geometric extrapolation)0.52184

Calmar ratio (compounded annual return / max draw down)1.90099

Compounded annual return / average of 25% largest draw downs4.61380

Compounded annual return / Expected Shortfall lognormal21.01330

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

Mean0.29841

SD0.26397

Sharpe ratio (Glass type estimate)1.13047

Sharpe ratio (Hedges UMVUE)1.12394

df130.00000

t0.79937

p0.46503

Lowerbound of 95% confidence interval for Sharpe Ratio1.64679

Upperbound of 95% confidence interval for Sharpe Ratio3.90363

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.65123

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.89911
 Statistics related to Sortino ratio

Sortino ratio2.38004

Upside Potential Ratio11.45550

Upside part of mean1.43629

Downside part of mean1.13788

Upside SD0.23188

Downside SD0.12538

N nonnegative terms49.00000

N negative terms82.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.06252

Mean of criterion0.29841

SD of predictor0.15785

SD of criterion0.26397

Covariance0.00824

r0.19766

b (slope, estimate of beta)0.33055

a (intercept, estimate of alpha)0.31907

Mean Square Error0.06747

DF error129.00000

t(b)2.29022

p(b)0.62501

t(a)0.86831

p(a)0.45152

Lowerbound of 95% confidence interval for beta0.61611

Upperbound of 95% confidence interval for beta0.04499

Lowerbound of 95% confidence interval for alpha0.40797

Upperbound of 95% confidence interval for alpha1.04611

Treynor index (mean / b)0.90277

Jensen alpha (a)0.31907
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.26452

SD0.25905

Sharpe ratio (Glass type estimate)1.02111

Sharpe ratio (Hedges UMVUE)1.01521

df130.00000

t0.72203

p0.46840

Lowerbound of 95% confidence interval for Sharpe Ratio1.75541

Upperbound of 95% confidence interval for Sharpe Ratio3.79376

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.75934

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.78976
 Statistics related to Sortino ratio

Sortino ratio2.09130

Upside Potential Ratio11.14930

Upside part of mean1.41023

Downside part of mean1.14571

Upside SD0.22553

Downside SD0.12649

N nonnegative terms49.00000

N negative terms82.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.05006

Mean of criterion0.26452

SD of predictor0.15873

SD of criterion0.25905

Covariance0.00831

r0.20211

b (slope, estimate of beta)0.32985

a (intercept, estimate of alpha)0.28103

Mean Square Error0.06487

DF error129.00000

t(b)2.34388

p(b)0.62779

t(a)0.78010

p(a)0.45641

Lowerbound of 95% confidence interval for beta0.60829

Upperbound of 95% confidence interval for beta0.05142

Lowerbound of 95% confidence interval for alpha0.43173

Upperbound of 95% confidence interval for alpha0.99380

Treynor index (mean / b)0.80194

Jensen alpha (a)0.28103
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02500

Expected Shortfall on VaR0.03148
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01149

Expected Shortfall on VaR0.02010
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.97255

Quartile 10.99352

Median0.99943

Quartile 31.00438

Maximum1.09036

Mean of quarter 10.98617

Mean of quarter 20.99687

Mean of quarter 31.00115

Mean of quarter 41.02079

Inter Quartile Range0.01085

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.97514

Number of outliers high12.00000

Percentage of outliers high0.09160

Mean of outliers high1.04094
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.55927

VaR(95%) (moments method)0.01408

Expected Shortfall (moments method)0.01594

Extreme Value Index (regression method)0.41572

VaR(95%) (regression method)0.01540

Expected Shortfall (regression method)0.01808
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00594

Quartile 10.01596

Median0.04821

Quartile 30.08626

Maximum0.16059

Mean of quarter 10.00816

Mean of quarter 20.03270

Mean of quarter 30.06373

Mean of quarter 40.12718

Inter Quartile Range0.07030

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.31489

Compounded annual return (geometric extrapolation)0.33968

Calmar ratio (compounded annual return / max draw down)2.11516

Compounded annual return / average of 25% largest draw downs2.67079

Compounded annual return / Expected Shortfall lognormal10.79060
Strategy Description
https://collective2.com/details/107301515
Strategy description: Volatility/VIX has recently become a popular asset class amongst sophisticated investors  it has historically generated large returns, can be used to hedge risk, and may act as a diversification tool for typical portfolios. This strategy provides access to a professionally managed, academically evidenced and thoroughly backtested strategy, giving the user access to a professional volatility day trader. Despite the sophistication of the underlying system, it has been designed to be incredibly simple for the end user. It achieves this by being using exchangetraded products such as VXX and XIV (inverse VIX), so that the user does not need access to futures. Moreover, the use of long XIV positions allows the strategy to “short” volatility without actually having to borrow stock, as this can lead to problems for the endusers of the system.
Using these products, the strategy switches between “riskon” (VXX) and “riskoff” (XIV) according to a variety of metrics and indicators. The biggest advantage is the ability of this flexible strategy to buy volatility (long VXX) at times of market stress, downturns and crashes. In this way, the system can be profitable when many other successful “longonly” stock strategies will be suffering some serious losses.
The trading system is implemented as a discretionary/semiautomated strategy – the final judgement is made by a human, and includes a range of technical, fundamental, economic and news factors. Trading size might vary according to market conditions.
LOYALTY SCHEME: Continuous subscriptions of more than 6months are eligible to receive a $20 reduction below the standard subscription price. Simply send me a message after this period has elapsed, and I will apply the reduction to your account.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.