VIX DayTrader 1 (98408819)
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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.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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%)  (2.4%)  (16.6%) 
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  $26,373  
Cash  $26,373  
Equity  $0  
Cumulative $  $16,373  
Total System Equity  $26,373  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/17/2015

Starting Unit Size$25,000

Strategy Age (days)552.59

Age18 months ago

What it tradesStocks

# Trades397

# Profitable231

% Profitable58.20%

Avg trade duration5.5 hours

Max peaktovalley drawdown26.02%

drawdown periodDec 07, 2016  May 11, 2017

Annual Return (Compounded)52.0%

Avg win$238.41

Avg loss$233.11
 Model Account Values (Raw)

Cash$26,373

Margin Used$0

Buying Power$26,373
 Ratios

W:L ratio1.42:1

Sharpe Ratio2.956

Sortino Ratio5.356

Calmar Ratio6.135
 CORRELATION STATISTICS

Correlation to SP5000.04500
 Return Statistics

Ann Return (w trading costs)52.0%

Ann Return (Compnd, No Fees)89.5%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss9.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)929

Popularity (Last 6 weeks)987

C2 Score84.9
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$233

Avg Win$238

# Winners231

# Losers166

% Winners58.2%
 Frequency

Avg Position Time (mins)331.00

Avg Position Time (hrs)5.52

Avg Trade Length0.2 days

Last Trade Ago5
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.67855

SD0.31872

Sharpe ratio (Glass type estimate)2.12903

Sharpe ratio (Hedges UMVUE)2.02738

df16.00000

t2.53406

p0.23242

Lowerbound of 95% confidence interval for Sharpe Ratio0.29953

Upperbound of 95% confidence interval for Sharpe Ratio3.90337

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.23712

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.81764
 Statistics related to Sortino ratio

Sortino ratio8.34724

Upside Potential Ratio9.73166

Upside part of mean0.79109

Downside part of mean0.11254

Upside SD0.35688

Downside SD0.08129

N nonnegative terms12.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations17.00000

Mean of predictor0.08408

Mean of criterion0.67855

SD of predictor0.08953

SD of criterion0.31872

Covariance0.00061

r0.02136

b (slope, estimate of beta)0.07605

a (intercept, estimate of alpha)0.68495

Mean Square Error0.10830

DF error15.00000

t(b)0.08276

p(b)0.51360

t(a)2.38588

p(a)0.18211

Lowerbound of 95% confidence interval for beta2.03465

Upperbound of 95% confidence interval for beta1.88255

Lowerbound of 95% confidence interval for alpha0.07304

Upperbound of 95% confidence interval for alpha1.29685

Treynor index (mean / b)8.92303

Jensen alpha (a)0.68495
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.61749

SD0.29287

Sharpe ratio (Glass type estimate)2.10840

Sharpe ratio (Hedges UMVUE)2.00773

df16.00000

t2.50949

p0.23428

Lowerbound of 95% confidence interval for Sharpe Ratio0.28190

Upperbound of 95% confidence interval for Sharpe Ratio3.88003

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.22013

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.79533
 Statistics related to Sortino ratio

Sortino ratio7.35865

Upside Potential Ratio8.73770

Upside part of mean0.73321

Downside part of mean0.11572

Upside SD0.32475

Downside SD0.08391

N nonnegative terms12.00000

N negative terms5.00000
 Statistics related to linear regression on benchmark

N of observations17.00000

Mean of predictor0.07985

Mean of criterion0.61749

SD of predictor0.08941

SD of criterion0.29287

Covariance0.00069

r0.02631

b (slope, estimate of beta)0.08619

a (intercept, estimate of alpha)0.62437

Mean Square Error0.09143

DF error15.00000

t(b)0.10194

p(b)0.51675

t(a)2.37529

p(a)0.18302

Lowerbound of 95% confidence interval for beta1.88832

Upperbound of 95% confidence interval for beta1.71594

Lowerbound of 95% confidence interval for alpha0.06410

Upperbound of 95% confidence interval for alpha1.18465

Treynor index (mean / b)7.16422

Jensen alpha (a)0.62437
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08388

Expected Shortfall on VaR0.11525
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01446

Expected Shortfall on VaR0.03368
 ORDER STATISTICS
 Quartiles of return rates

Number of observations17.00000

Minimum0.93099

Quartile 10.99792

Median1.03722

Quartile 31.09638

Maximum1.26934

Mean of quarter 10.97044

Mean of quarter 21.02673

Mean of quarter 31.06436

Mean of quarter 41.19607

Inter Quartile Range0.09847

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.05882

Mean of outliers high1.26934
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.91473

VaR(95%) (moments method)0.01854

Expected Shortfall (moments method)0.25155

Extreme Value Index (regression method)0.04546

VaR(95%) (regression method)0.03513

Expected Shortfall (regression method)0.05286
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00402

Quartile 10.02945

Median0.05487

Quartile 30.08030

Maximum0.10572

Mean of quarter 10.00402

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.10572

Inter Quartile Range0.05085

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)1.05534

Compounded annual return (geometric extrapolation)0.90674

Calmar ratio (compounded annual return / max draw down)8.57661

Compounded annual return / average of 25% largest draw downs8.57661

Compounded annual return / Expected Shortfall lognormal7.86775

0.00000

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

Mean0.60187

SD0.20321

Sharpe ratio (Glass type estimate)2.96183

Sharpe ratio (Hedges UMVUE)2.95613

df390.00000

t3.61825

p0.00017

Lowerbound of 95% confidence interval for Sharpe Ratio1.34220

Upperbound of 95% confidence interval for Sharpe Ratio4.57776

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.33839

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.57388
 Statistics related to Sortino ratio

Sortino ratio5.35591

Upside Potential Ratio12.80360

Upside part of mean1.43880

Downside part of mean0.83693

Upside SD0.17304

Downside SD0.11238

N nonnegative terms219.00000

N negative terms172.00000
 Statistics related to linear regression on benchmark

N of observations391.00000

Mean of predictor0.08329

Mean of criterion0.60187

SD of predictor0.12146

SD of criterion0.20321

Covariance0.00109

r0.04434

b (slope, estimate of beta)0.07418

a (intercept, estimate of alpha)0.59600

Mean Square Error0.04132

DF error389.00000

t(b)0.87540

p(b)0.19095

t(a)3.57681

p(a)0.00020

Lowerbound of 95% confidence interval for beta0.09243

Upperbound of 95% confidence interval for beta0.24080

Lowerbound of 95% confidence interval for alpha0.26825

Upperbound of 95% confidence interval for alpha0.92312

Treynor index (mean / b)8.11309

Jensen alpha (a)0.59569
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.58073

SD0.20188

Sharpe ratio (Glass type estimate)2.87669

Sharpe ratio (Hedges UMVUE)2.87115

df390.00000

t3.51423

p0.00025

Lowerbound of 95% confidence interval for Sharpe Ratio1.25785

Upperbound of 95% confidence interval for Sharpe Ratio4.49194

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.25416

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.48815
 Statistics related to Sortino ratio

Sortino ratio5.11309

Upside Potential Ratio12.53750

Upside part of mean1.42398

Downside part of mean0.84325

Upside SD0.17040

Downside SD0.11358

N nonnegative terms219.00000

N negative terms172.00000
 Statistics related to linear regression on benchmark

N of observations391.00000

Mean of predictor0.07590

Mean of criterion0.58073

SD of predictor0.12159

SD of criterion0.20188

Covariance0.00109

r0.04428

b (slope, estimate of beta)0.07352

a (intercept, estimate of alpha)0.57515

Mean Square Error0.04078

DF error389.00000

t(b)0.87422

p(b)0.19127

t(a)3.47682

p(a)0.00028

Lowerbound of 95% confidence interval for beta0.09182

Upperbound of 95% confidence interval for beta0.23886

Lowerbound of 95% confidence interval for alpha0.24991

Upperbound of 95% confidence interval for alpha0.90039

Treynor index (mean / b)7.89904

Jensen alpha (a)0.57515
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01813

Expected Shortfall on VaR0.02322
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00673

Expected Shortfall on VaR0.01381
 ORDER STATISTICS
 Quartiles of return rates

Number of observations391.00000

Minimum0.95518

Quartile 10.99602

Median1.00123

Quartile 31.00738

Maximum1.06955

Mean of quarter 10.98833

Mean of quarter 20.99926

Mean of quarter 31.00387

Mean of quarter 41.01817

Inter Quartile Range0.01137

Number outliers low10.00000

Percentage of outliers low0.02558

Mean of outliers low0.97255

Number of outliers high20.00000

Percentage of outliers high0.05115

Mean of outliers high1.03490
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.04673

VaR(95%) (moments method)0.01019

Expected Shortfall (moments method)0.01434

Extreme Value Index (regression method)0.05457

VaR(95%) (regression method)0.01042

Expected Shortfall (regression method)0.01478
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations23.00000

Minimum0.00031

Quartile 10.00656

Median0.01831

Quartile 30.04363

Maximum0.13657

Mean of quarter 10.00289

Mean of quarter 20.01114

Mean of quarter 30.03400

Mean of quarter 40.08677

Inter Quartile Range0.03707

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.08696

Mean of outliers high0.12206
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)2.51559

VaR(95%) (moments method)0.08802

Expected Shortfall (moments method)0.08883

Extreme Value Index (regression method)0.63108

VaR(95%) (regression method)0.11455

Expected Shortfall (regression method)0.13011
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.99181

Compounded annual return (geometric extrapolation)0.83793

Calmar ratio (compounded annual return / max draw down)6.13550

Compounded annual return / average of 25% largest draw downs9.65648

Compounded annual return / Expected Shortfall lognormal36.07920

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

Mean0.24140

SD0.11972

Sharpe ratio (Glass type estimate)2.01638

Sharpe ratio (Hedges UMVUE)2.00472

df130.00000

t1.42579

p0.56204

Lowerbound of 95% confidence interval for Sharpe Ratio4.79524

Upperbound of 95% confidence interval for Sharpe Ratio0.77000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.78722

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.77777
 Statistics related to Sortino ratio

Sortino ratio2.49483

Upside Potential Ratio5.89295

Upside part of mean0.57020

Downside part of mean0.81159

Upside SD0.07130

Downside SD0.09676

N nonnegative terms63.00000

N negative terms68.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.14536

Mean of criterion0.24140

SD of predictor0.07128

SD of criterion0.11972

Covariance0.00021

r0.02467

b (slope, estimate of beta)0.04144

a (intercept, estimate of alpha)0.23537

Mean Square Error0.01443

DF error129.00000

t(b)0.28033

p(b)0.51571

t(a)1.37433

p(a)0.57629

Lowerbound of 95% confidence interval for beta0.33392

Upperbound of 95% confidence interval for beta0.25104

Lowerbound of 95% confidence interval for alpha0.57422

Upperbound of 95% confidence interval for alpha0.10348

Treynor index (mean / b)5.82506

Jensen alpha (a)0.23537
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.24862

SD0.11997

Sharpe ratio (Glass type estimate)2.07236

Sharpe ratio (Hedges UMVUE)2.06038

df130.00000

t1.46538

p0.56374

Lowerbound of 95% confidence interval for Sharpe Ratio4.85171

Upperbound of 95% confidence interval for Sharpe Ratio0.71475

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.84347

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72272
 Statistics related to Sortino ratio

Sortino ratio2.55087

Upside Potential Ratio5.82386

Upside part of mean0.56762

Downside part of mean0.81623

Upside SD0.07085

Downside SD0.09746

N nonnegative terms63.00000

N negative terms68.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.14278

Mean of criterion0.24862

SD of predictor0.07128

SD of criterion0.11997

Covariance0.00021

r0.02427

b (slope, estimate of beta)0.04086

a (intercept, estimate of alpha)0.24279

Mean Square Error0.01450

DF error129.00000

t(b)0.27577

p(b)0.51545

t(a)1.41502

p(a)0.57850

Lowerbound of 95% confidence interval for beta0.33398

Upperbound of 95% confidence interval for beta0.25227

Lowerbound of 95% confidence interval for alpha0.58225

Upperbound of 95% confidence interval for alpha0.09668

Treynor index (mean / b)6.08518

Jensen alpha (a)0.24279
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01305

Expected Shortfall on VaR0.01610
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00734

Expected Shortfall on VaR0.01384
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.97585

Quartile 10.99540

Median1.00000

Quartile 31.00286

Maximum1.02122

Mean of quarter 10.98935

Mean of quarter 20.99858

Mean of quarter 31.00134

Mean of quarter 41.00755

Inter Quartile Range0.00746

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.98018

Number of outliers high3.00000

Percentage of outliers high0.02290

Mean of outliers high1.01776
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.43982

VaR(95%) (moments method)0.01043

Expected Shortfall (moments method)0.01220

Extreme Value Index (regression method)0.23889

VaR(95%) (regression method)0.01106

Expected Shortfall (regression method)0.01371
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.13657

Quartile 10.13657

Median0.13657

Quartile 30.13657

Maximum0.13657

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)0.20897

Compounded annual return (geometric extrapolation)0.19805

Calmar ratio (compounded annual return / max draw down)1.45017

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal12.29960
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 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.
Summary Statistics
Latest Subscribers
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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