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VIX DayTrader 1 (98408819)

Created by: JamesFrazer JamesFrazer
Started: 11/2015
Stocks
Last trade: Today

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 $189.00 per month.

44.4%
Annual Return (Compounded)
28.9%
Max Drawdown
415
Num Trades
57.8%
Win Trades
1.4 : 1
Profit Factor
55.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                      +25.5%+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%)(4.7%)                                    (20.3%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 1,301 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/22/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,800 12.79 6/22 15:49 12.65 1.4%
Trade id #112169190
Max drawdown($362)
Time6/22/17 15:08
Quant open1,800
Worst price12.59
Drawdown as % of equity-1.40%
($271)
Includes Typical Broker Commissions trade costs of $7.50
6/21/17 9:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 84.15 6/21 15:46 83.63 1.37%
Trade id #112150005
Max drawdown($358)
Time6/21/17 14:06
Quant open250
Worst price82.72
Drawdown as % of equity-1.37%
($136)
Includes Typical Broker Commissions trade costs of $5.00
6/20/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 83.89 6/20 15:45 83.28 1.39%
Trade id #112132445
Max drawdown($365)
Time6/20/17 12:30
Quant open250
Worst price82.43
Drawdown as % of equity-1.39%
($159)
Includes Typical Broker Commissions trade costs of $5.00
6/16/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 81.98 6/16 15:45 82.20 1.09%
Trade id #112094660
Max drawdown($285)
Time6/16/17 10:56
Quant open250
Worst price80.84
Drawdown as % of equity-1.09%
$50
Includes Typical Broker Commissions trade costs of $5.00
6/15/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 79.68 6/15 15:49 81.98 0.48%
Trade id #112073256
Max drawdown($125)
Time6/15/17 9:47
Quant open250
Worst price79.18
Drawdown as % of equity-0.48%
$568
Includes Typical Broker Commissions trade costs of $5.00
6/14/17 9:35 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 81.87 6/14 15:45 82.37 0.89%
Trade id #112050514
Max drawdown($227)
Time6/14/17 15:12
Quant open250
Worst price80.96
Drawdown as % of equity-0.89%
$118
Includes Typical Broker Commissions trade costs of $5.00
6/13/17 10:11 XIV VELOCITYSHARES DAILY INVERSE V LONG 125 81.51 6/13 15:35 82.27 0.32%
Trade id #112030921
Max drawdown($81)
Time6/13/17 11:01
Quant open125
Worst price80.85
Drawdown as % of equity-0.32%
$94
Includes Typical Broker Commissions trade costs of $2.50
6/9/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 82.56 6/9 14:42 79.11 4.02%
Trade id #111986488
Max drawdown($1,034)
Time6/9/17 14:42
Quant open150
Worst price78.80
Drawdown as % of equity-4.02%
($1,040)
Includes Typical Broker Commissions trade costs of $6.00
6/7/17 9:37 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 80.00 6/7 15:45 79.71 1.74%
Trade id #111948125
Max drawdown($459)
Time6/7/17 12:52
Quant open200
Worst price77.70
Drawdown as % of equity-1.74%
($63)
Includes Typical Broker Commissions trade costs of $4.00
6/2/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 80.90 6/2 15:44 81.43 0.36%
Trade id #111888786
Max drawdown($95)
Time6/2/17 9:49
Quant open300
Worst price80.58
Drawdown as % of equity-0.36%
$153
Includes Typical Broker Commissions trade costs of $6.00
6/1/17 9:51 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 80.74 6/1 15:46 81.12 0.69%
Trade id #111868875
Max drawdown($181)
Time6/1/17 10:10
Quant open300
Worst price80.13
Drawdown as % of equity-0.69%
$109
Includes Typical Broker Commissions trade costs of $6.00
5/31/17 9:35 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 80.37 5/31 15:45 79.07 3.26%
Trade id #111846987
Max drawdown($859)
Time5/31/17 14:15
Quant open300
Worst price77.50
Drawdown as % of equity-3.26%
($395)
Includes Typical Broker Commissions trade costs of $6.00
5/30/17 9:35 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 78.84 5/30 15:44 79.90 0.57%
Trade id #111829237
Max drawdown($150)
Time5/30/17 10:17
Quant open300
Worst price78.34
Drawdown as % of equity-0.57%
$313
Includes Typical Broker Commissions trade costs of $6.00
5/26/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 78.50 5/26 15:47 79.33 0.24%
Trade id #111788453
Max drawdown($63)
Time5/26/17 9:33
Quant open150
Worst price77.86
Drawdown as % of equity-0.24%
$243
Includes Typical Broker Commissions trade costs of $6.00
5/25/17 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 78.82 5/25 15:48 78.28 1.14%
Trade id #111767273
Max drawdown($300)
Time5/25/17 11:43
Quant open300
Worst price77.82
Drawdown as % of equity-1.14%
($169)
Includes Typical Broker Commissions trade costs of $6.00
5/24/17 9:37 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 76.81 5/24 15:41 78.07 0.58%
Trade id #111746858
Max drawdown($151)
Time5/24/17 10:06
Quant open300
Worst price76.31
Drawdown as % of equity-0.58%
$371
Includes Typical Broker Commissions trade costs of $6.00
5/23/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 77.51 5/23 15:43 76.48 1.38%
Trade id #111727388
Max drawdown($362)
Time5/23/17 14:16
Quant open300
Worst price76.30
Drawdown as % of equity-1.38%
($314)
Includes Typical Broker Commissions trade costs of $6.00
5/18/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 750 16.00 5/18 15:49 15.55 2.15%
Trade id #111662607
Max drawdown($566)
Time5/18/17 10:39
Quant open750
Worst price15.24
Drawdown as % of equity-2.15%
($341)
Includes Typical Broker Commissions trade costs of $5.00
5/16/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 82.38 5/16 15:49 82.07 0.97%
Trade id #111616501
Max drawdown($260)
Time5/16/17 10:44
Quant open300
Worst price81.51
Drawdown as % of equity-0.97%
($99)
Includes Typical Broker Commissions trade costs of $6.00
5/15/17 9:43 XIV VELOCITYSHARES DAILY INVERSE V LONG 100 80.70 5/15 13:43 81.68 0.01%
Trade id #111598928
Max drawdown($3)
Time5/15/17 9:46
Quant open100
Worst price80.66
Drawdown as % of equity-0.01%
$96
Includes Typical Broker Commissions trade costs of $2.00
5/12/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 79.34 5/12 15:46 79.52 0.33%
Trade id #111569439
Max drawdown($88)
Time5/12/17 10:48
Quant open300
Worst price79.04
Drawdown as % of equity-0.33%
$51
Includes Typical Broker Commissions trade costs of $6.00
5/11/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 78.79 5/11 15:49 79.48 2.32%
Trade id #111542114
Max drawdown($605)
Time5/11/17 10:25
Quant open300
Worst price76.77
Drawdown as % of equity-2.32%
$202
Includes Typical Broker Commissions trade costs of $6.00
5/10/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 79.56 5/10 15:46 79.56 0.17%
Trade id #111515315
Max drawdown($46)
Time5/10/17 9:40
Quant open300
Worst price79.41
Drawdown as % of equity-0.17%
($8)
Includes Typical Broker Commissions trade costs of $6.00
5/9/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 80.86 5/9 15:49 79.56 1.17%
Trade id #111473237
Max drawdown($310)
Time5/9/17 15:44
Quant open200
Worst price79.31
Drawdown as % of equity-1.17%
($264)
Includes Typical Broker Commissions trade costs of $4.00
5/8/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 78.99 5/8 15:46 79.48 0.03%
Trade id #111456254
Max drawdown($7)
Time5/8/17 9:38
Quant open100
Worst price78.91
Drawdown as % of equity-0.03%
$94
Includes Typical Broker Commissions trade costs of $4.00
5/5/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 78.26 5/5 15:46 77.50 0.71%
Trade id #111428172
Max drawdown($188)
Time5/5/17 15:23
Quant open200
Worst price77.32
Drawdown as % of equity-0.71%
($156)
Includes Typical Broker Commissions trade costs of $4.00
5/4/17 9:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 76.87 5/4 15:46 78.04 1.07%
Trade id #111406259
Max drawdown($282)
Time5/4/17 12:21
Quant open200
Worst price75.46
Drawdown as % of equity-1.07%
$231
Includes Typical Broker Commissions trade costs of $4.00
5/3/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 76.87 5/3 15:45 76.79 0.83%
Trade id #111381201
Max drawdown($219)
Time5/3/17 11:26
Quant open200
Worst price75.77
Drawdown as % of equity-0.83%
($19)
Includes Typical Broker Commissions trade costs of $4.00
5/2/17 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 77.92 5/2 15:47 77.66 0.71%
Trade id #111361169
Max drawdown($188)
Time5/2/17 11:33
Quant open200
Worst price76.98
Drawdown as % of equity-0.71%
($56)
Includes Typical Broker Commissions trade costs of $4.00
4/28/17 9:35 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 74.76 4/28 15:44 74.95 0.45%
Trade id #111315378
Max drawdown($120)
Time4/28/17 11:46
Quant open200
Worst price74.16
Drawdown as % of equity-0.45%
$33
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    11/17/2015
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    584.03
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    415
  • # Profitable
    240
  • % Profitable
    57.80%
  • Avg trade duration
    5.5 hours
  • Max peak-to-valley drawdown
    28.94%
  • drawdown period
    Dec 07, 2016 - June 14, 2017
  • Annual Return (Compounded)
    44.4%
  • Avg win
    $238.08
  • Avg loss
    $236.22
  • Model Account Values (Raw)
  • Cash
    $18,316
  • Margin Used
    $0
  • Buying Power
    $18,175
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    2.773
  • Sortino Ratio
    4.953
  • Calmar Ratio
    4.719
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.04600
  • Return Statistics
  • Ann Return (w trading costs)
    44.4%
  • Ann Return (Compnd, No Fees)
    80.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    874
  • Popularity (Last 6 weeks)
    984
  • C2 Score
    78.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $236
  • Avg Win
    $238
  • # Winners
    240
  • # Losers
    175
  • % Winners
    57.8%
  • Frequency
  • Avg Position Time (mins)
    331.75
  • Avg Position Time (hrs)
    5.53
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63643
  • SD
    0.31347
  • Sharpe ratio (Glass type estimate)
    2.03025
  • Sharpe ratio (Hedges UMVUE)
    1.93911
  • df
    17.00000
  • t
    2.48653
  • p
    0.18649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74276
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21116
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66706
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.03709
  • Upside Potential Ratio
    9.43527
  • Upside part of mean
    0.74714
  • Downside part of mean
    -0.11072
  • Upside SD
    0.34683
  • Downside SD
    0.07919
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.08524
  • Mean of criterion
    0.63643
  • SD of predictor
    0.08687
  • SD of criterion
    0.31347
  • Covariance
    -0.00065
  • r
    -0.02376
  • b (slope, estimate of beta)
    -0.08575
  • a (intercept, estimate of alpha)
    0.64374
  • Mean Square Error
    0.10435
  • DF error
    16.00000
  • t(b)
    -0.09508
  • p(b)
    0.51188
  • t(a)
    2.34319
  • p(a)
    0.24727
  • Lowerbound of 95% confidence interval for beta
    -1.99760
  • Upperbound of 95% confidence interval for beta
    1.82610
  • Lowerbound of 95% confidence interval for alpha
    0.06134
  • Upperbound of 95% confidence interval for alpha
    1.22614
  • Treynor index (mean / b)
    -7.42172
  • Jensen alpha (a)
    0.64374
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57875
  • SD
    0.28806
  • Sharpe ratio (Glass type estimate)
    2.00913
  • Sharpe ratio (Hedges UMVUE)
    1.91894
  • df
    17.00000
  • t
    2.46067
  • p
    0.18865
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24917
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71912
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19354
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64435
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.08129
  • Upside Potential Ratio
    8.47276
  • Upside part of mean
    0.69248
  • Downside part of mean
    -0.11372
  • Upside SD
    0.31560
  • Downside SD
    0.08173
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.08121
  • Mean of criterion
    0.57875
  • SD of predictor
    0.08675
  • SD of criterion
    0.28806
  • Covariance
    -0.00073
  • r
    -0.02911
  • b (slope, estimate of beta)
    -0.09664
  • a (intercept, estimate of alpha)
    0.58660
  • Mean Square Error
    0.08809
  • DF error
    16.00000
  • t(b)
    -0.11647
  • p(b)
    0.51455
  • t(a)
    2.33212
  • p(a)
    0.24816
  • Lowerbound of 95% confidence interval for beta
    -1.85566
  • Upperbound of 95% confidence interval for beta
    1.66238
  • Lowerbound of 95% confidence interval for alpha
    0.05338
  • Upperbound of 95% confidence interval for alpha
    1.11982
  • Treynor index (mean / b)
    -5.98857
  • Jensen alpha (a)
    0.58660
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08474
  • Expected Shortfall on VaR
    0.11558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01569
  • Expected Shortfall on VaR
    0.03550
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.93099
  • Quartile 1
    0.99647
  • Median
    1.03572
  • Quartile 3
    1.08871
  • Maximum
    1.26934
  • Mean of quarter 1
    0.97000
  • Mean of quarter 2
    1.01690
  • Mean of quarter 3
    1.04957
  • Mean of quarter 4
    1.17613
  • Inter Quartile Range
    0.09224
  • 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
    0.05556
  • Mean of outliers high
    1.26934
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.13769
  • VaR(95%) (moments method)
    0.03038
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.99379
  • VaR(95%) (regression method)
    0.02651
  • Expected Shortfall (regression method)
    4.48414
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00402
  • Quartile 1
    0.03041
  • Median
    0.05680
  • Quartile 3
    0.08319
  • Maximum
    0.10958
  • Mean of quarter 1
    0.00402
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10958
  • Inter Quartile Range
    0.05278
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.98953
  • Compounded annual return (geometric extrapolation)
    0.83429
  • Calmar ratio (compounded annual return / max draw down)
    7.61353
  • Compounded annual return / average of 25% largest draw downs
    7.61353
  • Compounded annual return / Expected Shortfall lognormal
    7.21809
  • 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
    0.55672
  • SD
    0.20038
  • Sharpe ratio (Glass type estimate)
    2.77838
  • Sharpe ratio (Hedges UMVUE)
    2.77333
  • df
    413.00000
  • t
    3.49254
  • p
    0.00027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.20610
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20271
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34395
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.95278
  • Upside Potential Ratio
    12.44460
  • Upside part of mean
    1.39884
  • Downside part of mean
    -0.84212
  • Upside SD
    0.16912
  • Downside SD
    0.11241
  • N nonnegative terms
    232.00000
  • N negative terms
    182.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    414.00000
  • Mean of predictor
    0.08780
  • Mean of criterion
    0.55672
  • SD of predictor
    0.11869
  • SD of criterion
    0.20038
  • Covariance
    0.00110
  • r
    0.04640
  • b (slope, estimate of beta)
    0.07833
  • a (intercept, estimate of alpha)
    0.55000
  • Mean Square Error
    0.04016
  • DF error
    412.00000
  • t(b)
    0.94280
  • p(b)
    0.17317
  • t(a)
    3.44532
  • p(a)
    0.00031
  • Lowerbound of 95% confidence interval for beta
    -0.08499
  • Upperbound of 95% confidence interval for beta
    0.24165
  • Lowerbound of 95% confidence interval for alpha
    0.23613
  • Upperbound of 95% confidence interval for alpha
    0.86355
  • Treynor index (mean / b)
    7.10724
  • Jensen alpha (a)
    0.54984
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53624
  • SD
    0.19911
  • Sharpe ratio (Glass type estimate)
    2.69313
  • Sharpe ratio (Hedges UMVUE)
    2.68823
  • df
    413.00000
  • t
    3.38537
  • p
    0.00039
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.12158
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25816
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.72031
  • Upside Potential Ratio
    12.18870
  • Upside part of mean
    1.38468
  • Downside part of mean
    -0.84844
  • Upside SD
    0.16656
  • Downside SD
    0.11360
  • N nonnegative terms
    232.00000
  • N negative terms
    182.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    414.00000
  • Mean of predictor
    0.08075
  • Mean of criterion
    0.53624
  • SD of predictor
    0.11882
  • SD of criterion
    0.19911
  • Covariance
    0.00110
  • r
    0.04633
  • b (slope, estimate of beta)
    0.07764
  • a (intercept, estimate of alpha)
    0.52997
  • Mean Square Error
    0.03966
  • DF error
    412.00000
  • t(b)
    0.94140
  • p(b)
    0.17353
  • t(a)
    3.34238
  • p(a)
    0.00045
  • Lowerbound of 95% confidence interval for beta
    -0.08448
  • Upperbound of 95% confidence interval for beta
    0.23976
  • Lowerbound of 95% confidence interval for alpha
    0.21828
  • Upperbound of 95% confidence interval for alpha
    0.84166
  • Treynor index (mean / b)
    6.90679
  • Jensen alpha (a)
    0.52997
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01802
  • Expected Shortfall on VaR
    0.02305
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00677
  • Expected Shortfall on VaR
    0.01386
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    414.00000
  • Minimum
    0.95518
  • Quartile 1
    0.99576
  • Median
    1.00126
  • Quartile 3
    1.00703
  • Maximum
    1.06955
  • Mean of quarter 1
    0.98835
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00373
  • Mean of quarter 4
    1.01765
  • Inter Quartile Range
    0.01126
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.02657
  • Mean of outliers low
    0.97270
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.05072
  • Mean of outliers high
    1.03439
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12645
  • VaR(95%) (moments method)
    0.01078
  • Expected Shortfall (moments method)
    0.01589
  • Extreme Value Index (regression method)
    0.04760
  • VaR(95%) (regression method)
    0.01035
  • Expected Shortfall (regression method)
    0.01446
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00656
  • Median
    0.01831
  • Quartile 3
    0.04363
  • Maximum
    0.16060
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.01114
  • Mean of quarter 3
    0.03400
  • Mean of quarter 4
    0.09078
  • Inter Quartile Range
    0.03707
  • 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
    0.08696
  • Mean of outliers high
    0.13408
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.63820
  • VaR(95%) (moments method)
    0.09344
  • Expected Shortfall (moments method)
    0.09649
  • Extreme Value Index (regression method)
    -0.27347
  • VaR(95%) (regression method)
    0.12011
  • Expected Shortfall (regression method)
    0.14978
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91044
  • Compounded annual return (geometric extrapolation)
    0.75795
  • Calmar ratio (compounded annual return / max draw down)
    4.71944
  • Compounded annual return / average of 25% largest draw downs
    8.34938
  • Compounded annual return / Expected Shortfall lognormal
    32.88680
  • 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
    -0.30357
  • SD
    0.12743
  • Sharpe ratio (Glass type estimate)
    -2.38217
  • Sharpe ratio (Hedges UMVUE)
    -2.36840
  • df
    130.00000
  • t
    -1.68445
  • p
    0.57308
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.16457
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.40921
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.15511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41832
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.90610
  • Upside Potential Ratio
    5.70601
  • Upside part of mean
    0.59605
  • Downside part of mean
    -0.89962
  • Upside SD
    0.07454
  • Downside SD
    0.10446
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12235
  • Mean of criterion
    -0.30357
  • SD of predictor
    0.06822
  • SD of criterion
    0.12743
  • Covariance
    -0.00015
  • r
    -0.01721
  • b (slope, estimate of beta)
    -0.03214
  • a (intercept, estimate of alpha)
    -0.29964
  • Mean Square Error
    0.01636
  • DF error
    129.00000
  • t(b)
    -0.19545
  • p(b)
    0.51095
  • t(a)
    -1.64632
  • p(a)
    0.59101
  • Lowerbound of 95% confidence interval for beta
    -0.35749
  • Upperbound of 95% confidence interval for beta
    0.29321
  • Lowerbound of 95% confidence interval for alpha
    -0.65974
  • Upperbound of 95% confidence interval for alpha
    0.06046
  • Treynor index (mean / b)
    9.44515
  • Jensen alpha (a)
    -0.29964
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31180
  • SD
    0.12777
  • Sharpe ratio (Glass type estimate)
    -2.44039
  • Sharpe ratio (Hedges UMVUE)
    -2.42629
  • df
    130.00000
  • t
    -1.72562
  • p
    0.57482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.22342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.35185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.21374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36116
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.96142
  • Upside Potential Ratio
    5.63429
  • Upside part of mean
    0.59323
  • Downside part of mean
    -0.90503
  • Upside SD
    0.07406
  • Downside SD
    0.10529
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12000
  • Mean of criterion
    -0.31180
  • SD of predictor
    0.06823
  • SD of criterion
    0.12777
  • Covariance
    -0.00015
  • r
    -0.01672
  • b (slope, estimate of beta)
    -0.03131
  • a (intercept, estimate of alpha)
    -0.30805
  • Mean Square Error
    0.01645
  • DF error
    129.00000
  • t(b)
    -0.18990
  • p(b)
    0.51064
  • t(a)
    -1.68848
  • p(a)
    0.59327
  • Lowerbound of 95% confidence interval for beta
    -0.35746
  • Upperbound of 95% confidence interval for beta
    0.29485
  • Lowerbound of 95% confidence interval for alpha
    -0.66901
  • Upperbound of 95% confidence interval for alpha
    0.05292
  • Treynor index (mean / b)
    9.96012
  • Jensen alpha (a)
    -0.30805
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01407
  • Expected Shortfall on VaR
    0.01732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00843
  • Expected Shortfall on VaR
    0.01552
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97416
  • Quartile 1
    0.99482
  • Median
    1.00000
  • Quartile 3
    1.00287
  • Maximum
    1.02122
  • Mean of quarter 1
    0.98868
  • Mean of quarter 2
    0.99792
  • Mean of quarter 3
    1.00126
  • Mean of quarter 4
    1.00800
  • Inter Quartile Range
    0.00805
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97768
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01776
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17160
  • VaR(95%) (moments method)
    0.01114
  • Expected Shortfall (moments method)
    0.01392
  • Extreme Value Index (regression method)
    -0.10904
  • VaR(95%) (regression method)
    0.01100
  • Expected Shortfall (regression method)
    0.01397
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14213
  • Quartile 1
    0.14213
  • Median
    0.14213
  • Quartile 3
    0.14213
  • Maximum
    0.14213
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.26467
  • Compounded annual return (geometric extrapolation)
    -0.24716
  • Calmar ratio (compounded annual return / max draw down)
    -1.73898
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -14.27310

Strategy Description

VIX DayTrader 1 is now closed to new subscribers. However, a "sister strategy" VIX DayTrader 2 has now been opened:
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 back-tested 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 exchange-traded 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 end-users of the system.
Using these products, the strategy switches between “risk-on” (VXX) and “risk-off” (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 “long-only” stock strategies will be suffering some serious losses.
The trading system is implemented as a discretionary/semi-automated 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 6-months 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.

Summary Statistics

Strategy began
2015-11-17
Minimum Capital Required
$25,000
# Trades
415
# Profitable
240
% Profitable
57.8%
Correlation S&P500
0.046
Sharpe Ratio
2.773

Latest Subscribers

#PERSONNAME#
subscribed on #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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