VIX DayTrader 1 (98408819)
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  +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%)  +7.3%  (22.4%) 
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  $27,027  
Cash  $27,027  
Equity  $0  
Cumulative $  $17,027  
Total System Equity  $27,027  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/17/2015

Starting Unit Size$25,000

Strategy Age (days)757.9

Age25 months ago

What it tradesStocks

# Trades509

# Profitable292

% Profitable57.40%

Avg trade duration5.6 hours

Max peaktovalley drawdown47.11%

drawdown periodDec 07, 2016  Sept 05, 2017

Annual Return (Compounded)31.1%

Avg win$240.78

Avg loss$245.53
 Model Account Values (Raw)

Cash$27,027

Margin Used$0

Buying Power$27,027
 Ratios

W:L ratio1.32:1

Sharpe Ratio2.31

Sortino Ratio3.945

Calmar Ratio2.095
 CORRELATION STATISTICS

Correlation to SP5000.04400
 Return Statistics

Ann Return (w trading costs)31.1%

Ann Return (Compnd, No Fees)61.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss14.00%

Chance of 20% account loss1.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)563

Popularity (Last 6 weeks)932

C2 Score55.9
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$246

Avg Win$241

# Winners292

# Losers217

% Winners57.4%
 Frequency

Avg Position Time (mins)336.85

Avg Position Time (hrs)5.61

Avg Trade Length0.2 days

Last Trade Ago1
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.46944

SD0.30847

Sharpe ratio (Glass type estimate)1.52180

Sharpe ratio (Hedges UMVUE)1.47154

df23.00000

t2.15216

p0.02106

Lowerbound of 95% confidence interval for Sharpe Ratio0.05357

Upperbound of 95% confidence interval for Sharpe Ratio2.96010

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02187

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.92122
 Statistics related to Sortino ratio

Sortino ratio4.21957

Upside Potential Ratio5.70211

Upside part of mean0.63438

Downside part of mean0.16494

Upside SD0.31174

Downside SD0.11125

N nonnegative terms15.00000

N negative terms9.00000
 Statistics related to linear regression on benchmark

N of observations24.00000

Mean of predictor0.09481

Mean of criterion0.46944

SD of predictor0.07859

SD of criterion0.30847

Covariance0.00175

r0.07208

b (slope, estimate of beta)0.28292

a (intercept, estimate of alpha)0.44261

Mean Square Error0.09897

DF error22.00000

t(b)0.33897

p(b)0.36892

t(a)1.87466

p(a)0.03709

Lowerbound of 95% confidence interval for beta1.44804

Upperbound of 95% confidence interval for beta2.01388

Lowerbound of 95% confidence interval for alpha0.04703

Upperbound of 95% confidence interval for alpha0.93226

Treynor index (mean / b)1.65925

Jensen alpha (a)0.44261
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.41883

SD0.28884

Sharpe ratio (Glass type estimate)1.45002

Sharpe ratio (Hedges UMVUE)1.40213

df23.00000

t2.05064

p0.02593

Lowerbound of 95% confidence interval for Sharpe Ratio0.01154

Upperbound of 95% confidence interval for Sharpe Ratio2.88283

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04179

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.84605
 Statistics related to Sortino ratio

Sortino ratio3.58975

Upside Potential Ratio5.05654

Upside part of mean0.58996

Downside part of mean0.17114

Upside SD0.28453

Downside SD0.11667

N nonnegative terms15.00000

N negative terms9.00000
 Statistics related to linear regression on benchmark

N of observations24.00000

Mean of predictor0.09129

Mean of criterion0.41883

SD of predictor0.07848

SD of criterion0.28884

Covariance0.00174

r0.07677

b (slope, estimate of beta)0.28255

a (intercept, estimate of alpha)0.39304

Mean Square Error0.08671

DF error22.00000

t(b)0.36117

p(b)0.36071

t(a)1.78552

p(a)0.04399

Lowerbound of 95% confidence interval for beta1.33988

Upperbound of 95% confidence interval for beta1.90498

Lowerbound of 95% confidence interval for alpha0.06347

Upperbound of 95% confidence interval for alpha0.84954

Treynor index (mean / b)1.48233

Jensen alpha (a)0.39304
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09719

Expected Shortfall on VaR0.12770
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02570

Expected Shortfall on VaR0.05573
 ORDER STATISTICS
 Quartiles of return rates

Number of observations24.00000

Minimum0.88288

Quartile 10.99386

Median1.03038

Quartile 31.07335

Maximum1.26934

Mean of quarter 10.95025

Mean of quarter 21.00489

Mean of quarter 31.04460

Mean of quarter 41.16606

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 high0.08333

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

Extreme Value Index (moments method)0.35976

VaR(95%) (moments method)0.04061

Expected Shortfall (moments method)0.08119

Extreme Value Index (regression method)0.54264

VaR(95%) (regression method)0.05983

Expected Shortfall (regression method)0.15965
 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)0.72180

Compounded annual return (geometric extrapolation)0.56320

Calmar ratio (compounded annual return / max draw down)2.43070

Compounded annual return / average of 25% largest draw downs2.43070

Compounded annual return / Expected Shortfall lognormal4.41048

0.00000

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

Mean0.44511

SD0.19240

Sharpe ratio (Glass type estimate)2.31342

Sharpe ratio (Hedges UMVUE)2.31019

df537.00000

t3.31509

p0.00049

Lowerbound of 95% confidence interval for Sharpe Ratio0.93762

Upperbound of 95% confidence interval for Sharpe Ratio3.68709

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93547

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.68490
 Statistics related to Sortino ratio

Sortino ratio3.94536

Upside Potential Ratio11.49370

Upside part of mean1.29670

Downside part of mean0.85159

Upside SD0.15805

Downside SD0.11282

N nonnegative terms289.00000

N negative terms249.00000
 Statistics related to linear regression on benchmark

N of observations538.00000

Mean of predictor0.10532

Mean of criterion0.44511

SD of predictor0.10885

SD of criterion0.19240

Covariance0.00103

r0.04940

b (slope, estimate of beta)0.08733

a (intercept, estimate of alpha)0.43600

Mean Square Error0.03700

DF error536.00000

t(b)1.14516

p(b)0.12633

t(a)3.24173

p(a)0.00063

Lowerbound of 95% confidence interval for beta0.06247

Upperbound of 95% confidence interval for beta0.23713

Lowerbound of 95% confidence interval for alpha0.17176

Upperbound of 95% confidence interval for alpha0.70007

Treynor index (mean / b)5.09704

Jensen alpha (a)0.43591
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.42636

SD0.19140

Sharpe ratio (Glass type estimate)2.22757

Sharpe ratio (Hedges UMVUE)2.22446

df537.00000

t3.19207

p0.00075

Lowerbound of 95% confidence interval for Sharpe Ratio0.85235

Upperbound of 95% confidence interval for Sharpe Ratio3.60080

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85025

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.59867
 Statistics related to Sortino ratio

Sortino ratio3.73992

Upside Potential Ratio11.26560

Upside part of mean1.28431

Downside part of mean0.85795

Upside SD0.15577

Downside SD0.11400

N nonnegative terms289.00000

N negative terms249.00000
 Statistics related to linear regression on benchmark

N of observations538.00000

Mean of predictor0.09936

Mean of criterion0.42636

SD of predictor0.10896

SD of criterion0.19140

Covariance0.00103

r0.04930

b (slope, estimate of beta)0.08660

a (intercept, estimate of alpha)0.41776

Mean Square Error0.03661

DF error536.00000

t(b)1.14272

p(b)0.12683

t(a)3.12358

p(a)0.00094

Lowerbound of 95% confidence interval for beta0.06227

Upperbound of 95% confidence interval for beta0.23546

Lowerbound of 95% confidence interval for alpha0.15503

Upperbound of 95% confidence interval for alpha0.68048

Treynor index (mean / b)4.92353

Jensen alpha (a)0.41776
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01766

Expected Shortfall on VaR0.02250
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00709

Expected Shortfall on VaR0.01435
 ORDER STATISTICS
 Quartiles of return rates

Number of observations538.00000

Minimum0.95518

Quartile 10.99588

Median1.00072

Quartile 31.00691

Maximum1.06955

Mean of quarter 10.98828

Mean of quarter 20.99901

Mean of quarter 31.00345

Mean of quarter 41.01646

Inter Quartile Range0.01103

Number outliers low15.00000

Percentage of outliers low0.02788

Mean of outliers low0.97298

Number of outliers high27.00000

Percentage of outliers high0.05019

Mean of outliers high1.03244
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.09433

VaR(95%) (moments method)0.01050

Expected Shortfall (moments method)0.01522

Extreme Value Index (regression method)0.01967

VaR(95%) (regression method)0.01071

Expected Shortfall (regression method)0.01495
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations23.00000

Minimum0.00031

Quartile 10.00656

Median0.01831

Quartile 30.04363

Maximum0.27451

Mean of quarter 10.00289

Mean of quarter 20.01114

Mean of quarter 30.03400

Mean of quarter 40.10976

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

Extreme Value Index (moments method)0.10738

VaR(95%) (moments method)0.10185

Expected Shortfall (moments method)0.13484

Extreme Value Index (regression method)0.40610

VaR(95%) (regression method)0.13881

Expected Shortfall (regression method)0.27435
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.75076

Compounded annual return (geometric extrapolation)0.57502

Calmar ratio (compounded annual return / max draw down)2.09472

Compounded annual return / average of 25% largest draw downs5.23872

Compounded annual return / Expected Shortfall lognormal25.55950

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

Mean0.07975

SD0.15997

Sharpe ratio (Glass type estimate)0.49854

Sharpe ratio (Hedges UMVUE)0.49566

df130.00000

t0.35252

p0.48455

Lowerbound of 95% confidence interval for Sharpe Ratio2.27477

Upperbound of 95% confidence interval for Sharpe Ratio3.27017

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.27680

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.26812
 Statistics related to Sortino ratio

Sortino ratio0.71047

Upside Potential Ratio8.54216

Upside part of mean0.95888

Downside part of mean0.87913

Upside SD0.11322

Downside SD0.11225

N nonnegative terms60.00000

N negative terms71.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15085

Mean of criterion0.07975

SD of predictor0.06651

SD of criterion0.15997

Covariance0.00091

r0.08565

b (slope, estimate of beta)0.20601

a (intercept, estimate of alpha)0.04867

Mean Square Error0.02560

DF error129.00000

t(b)0.97635

p(b)0.44554

t(a)0.21302

p(a)0.48806

Lowerbound of 95% confidence interval for beta0.21146

Upperbound of 95% confidence interval for beta0.62348

Lowerbound of 95% confidence interval for alpha0.40342

Upperbound of 95% confidence interval for alpha0.50077

Treynor index (mean / b)0.38712

Jensen alpha (a)0.04867
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06703

SD0.16005

Sharpe ratio (Glass type estimate)0.41879

Sharpe ratio (Hedges UMVUE)0.41637

df130.00000

t0.29613

p0.48702

Lowerbound of 95% confidence interval for Sharpe Ratio2.35421

Upperbound of 95% confidence interval for Sharpe Ratio3.19034

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.35590

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.18864
 Statistics related to Sortino ratio

Sortino ratio0.59130

Upside Potential Ratio8.40213

Upside part of mean0.95244

Downside part of mean0.88542

Upside SD0.11220

Downside SD0.11336

N nonnegative terms60.00000

N negative terms71.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.14860

Mean of criterion0.06703

SD of predictor0.06654

SD of criterion0.16005

Covariance0.00091

r0.08571

b (slope, estimate of beta)0.20617

a (intercept, estimate of alpha)0.03639

Mean Square Error0.02563

DF error129.00000

t(b)0.97709

p(b)0.44550

t(a)0.15923

p(a)0.49108

Lowerbound of 95% confidence interval for beta0.21130

Upperbound of 95% confidence interval for beta0.62364

Lowerbound of 95% confidence interval for alpha0.41580

Upperbound of 95% confidence interval for alpha0.48858

Treynor index (mean / b)0.32511

Jensen alpha (a)0.03639
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01588

Expected Shortfall on VaR0.01993
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00812

Expected Shortfall on VaR0.01580
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96955

Quartile 10.99585

Median1.00000

Quartile 31.00636

Maximum1.03460

Mean of quarter 10.98835

Mean of quarter 20.99855

Mean of quarter 31.00231

Mean of quarter 41.01248

Inter Quartile Range0.01051

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.97394

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.02946
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.12648

VaR(95%) (moments method)0.01068

Expected Shortfall (moments method)0.01586

Extreme Value Index (regression method)0.15786

VaR(95%) (regression method)0.01203

Expected Shortfall (regression method)0.01573
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00401

Quartile 10.04385

Median0.08369

Quartile 30.12353

Maximum0.16337

Mean of quarter 10.00401

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.16337

Inter Quartile Range0.07968

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)0.09722

Compounded annual return (geometric extrapolation)0.09959

Calmar ratio (compounded annual return / max draw down)0.60957

Compounded annual return / average of 25% largest draw downs0.60957

Compounded annual return / Expected Shortfall lognormal4.99629
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 Activity
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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