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%)  (2.1%)  (7.9%)  (4.4%)  (8%)  (32.2%) 
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  $23,727  
Cash  $23,727  
Equity  $0  
Cumulative $  $13,727  
Total System Equity  $23,727  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/17/2015

Starting Unit Size$25,000

Strategy Age (days)641.04

Age21 months ago

What it tradesStocks

# Trades448

# Profitable254

% Profitable56.70%

Avg trade duration5.6 hours

Max peaktovalley drawdown40.29%

drawdown periodDec 07, 2016  Aug 18, 2017

Annual Return (Compounded)27.6%

Avg win$240.23

Avg loss$243.76
 Model Account Values (Raw)

Cash$23,727

Margin Used$0

Buying Power$23,727
 Ratios

W:L ratio1.29:1

Sharpe Ratio2.292

Sortino Ratio3.911

Calmar Ratio2.657
 CORRELATION STATISTICS

Correlation to SP5000.04500
 Return Statistics

Ann Return (w trading costs)27.6%

Ann Return (Compnd, No Fees)63.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss12.00%

Chance of 20% account loss1.50%

Chance of 30% account loss0.50%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)852

Popularity (Last 6 weeks)975

C2 Score36.3
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$244

Avg Win$240

# Winners254

# Losers194

% Winners56.7%
 Frequency

Avg Position Time (mins)333.53

Avg Position Time (hrs)5.56

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

Mean0.55644

SD0.30541

Sharpe ratio (Glass type estimate)1.82193

Sharpe ratio (Hedges UMVUE)1.74889

df19.00000

t2.35210

p0.20946

Lowerbound of 95% confidence interval for Sharpe Ratio0.17752

Upperbound of 95% confidence interval for Sharpe Ratio3.42460

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.13208

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.36570
 Statistics related to Sortino ratio

Sortino ratio7.09310

Upside Potential Ratio8.58645

Upside part of mean0.67360

Downside part of mean0.11715

Upside SD0.32903

Downside SD0.07845

N nonnegative terms13.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.08942

Mean of criterion0.55644

SD of predictor0.08232

SD of criterion0.30541

Covariance0.00078

r0.03120

b (slope, estimate of beta)0.11574

a (intercept, estimate of alpha)0.56679

Mean Square Error0.09836

DF error18.00000

t(b)0.13243

p(b)0.51560

t(a)2.22098

p(a)0.26811

Lowerbound of 95% confidence interval for beta1.95195

Upperbound of 95% confidence interval for beta1.72047

Lowerbound of 95% confidence interval for alpha0.03064

Upperbound of 95% confidence interval for alpha1.10295

Treynor index (mean / b)4.80760

Jensen alpha (a)0.56679
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.50431

SD0.28095

Sharpe ratio (Glass type estimate)1.79504

Sharpe ratio (Hedges UMVUE)1.72308

df19.00000

t2.31739

p0.21252

Lowerbound of 95% confidence interval for Sharpe Ratio0.15388

Upperbound of 95% confidence interval for Sharpe Ratio3.39500

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.10907

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.33708
 Statistics related to Sortino ratio

Sortino ratio6.23829

Upside Potential Ratio7.72362

Upside part of mean0.62439

Downside part of mean0.12008

Upside SD0.29941

Downside SD0.08084

N nonnegative terms13.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.08569

Mean of criterion0.50431

SD of predictor0.08222

SD of criterion0.28095

Covariance0.00086

r0.03704

b (slope, estimate of beta)0.12657

a (intercept, estimate of alpha)0.51516

Mean Square Error0.08320

DF error18.00000

t(b)0.15727

p(b)0.51852

t(a)2.20311

p(a)0.26958

Lowerbound of 95% confidence interval for beta1.81743

Upperbound of 95% confidence interval for beta1.56428

Lowerbound of 95% confidence interval for alpha0.02389

Upperbound of 95% confidence interval for alpha1.00642

Treynor index (mean / b)3.98436

Jensen alpha (a)0.51516
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08733

Expected Shortfall on VaR0.11734
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01738

Expected Shortfall on VaR0.03807
 ORDER STATISTICS
 Quartiles of return rates

Number of observations20.00000

Minimum0.93099

Quartile 10.99591

Median1.03038

Quartile 31.07335

Maximum1.26934

Mean of quarter 10.96543

Mean of quarter 21.00673

Mean of quarter 31.04650

Mean of quarter 41.17613

Inter Quartile Range0.07744

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.10000

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

Extreme Value Index (moments method)1.57665

VaR(95%) (moments method)0.01721

Expected Shortfall (moments method)0.01821

Extreme Value Index (regression method)0.99938

VaR(95%) (regression method)0.05641

Expected Shortfall (regression method)0.06334
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00402

Quartile 10.03639

Median0.06875

Quartile 30.10112

Maximum0.13349

Mean of quarter 10.00402

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.13349

Inter Quartile Range0.06473

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)0.85675

Compounded annual return (geometric extrapolation)0.70271

Calmar ratio (compounded annual return / max draw down)5.26428

Compounded annual return / average of 25% largest draw downs5.26428

Compounded annual return / Expected Shortfall lognormal5.98852

0.00000

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

Mean0.45811

SD0.19956

Sharpe ratio (Glass type estimate)2.29565

Sharpe ratio (Hedges UMVUE)2.29184

df453.00000

t3.02191

p0.00133

Lowerbound of 95% confidence interval for Sharpe Ratio0.79802

Upperbound of 95% confidence interval for Sharpe Ratio3.79079

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.79547

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.78822
 Statistics related to Sortino ratio

Sortino ratio3.91133

Upside Potential Ratio11.48890

Upside part of mean1.34562

Downside part of mean0.88751

Upside SD0.16376

Downside SD0.11712

N nonnegative terms250.00000

N negative terms204.00000
 Statistics related to linear regression on benchmark

N of observations454.00000

Mean of predictor0.07579

Mean of criterion0.45811

SD of predictor0.11602

SD of criterion0.19956

Covariance0.00118

r0.05112

b (slope, estimate of beta)0.08792

a (intercept, estimate of alpha)0.45100

Mean Square Error0.03981

DF error452.00000

t(b)1.08826

p(b)0.13853

t(a)2.97614

p(a)0.00154

Lowerbound of 95% confidence interval for beta0.07085

Upperbound of 95% confidence interval for beta0.24670

Lowerbound of 95% confidence interval for alpha0.15334

Upperbound of 95% confidence interval for alpha0.74955

Treynor index (mean / b)5.21028

Jensen alpha (a)0.45145
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.43796

SD0.19849

Sharpe ratio (Glass type estimate)2.20649

Sharpe ratio (Hedges UMVUE)2.20284

df453.00000

t2.90455

p0.00193

Lowerbound of 95% confidence interval for Sharpe Ratio0.70947

Upperbound of 95% confidence interval for Sharpe Ratio3.70114

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.70703

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.69865
 Statistics related to Sortino ratio

Sortino ratio3.69920

Upside Potential Ratio11.25340

Upside part of mean1.33234

Downside part of mean0.89438

Upside SD0.16132

Downside SD0.11839

N nonnegative terms250.00000

N negative terms204.00000
 Statistics related to linear regression on benchmark

N of observations454.00000

Mean of predictor0.06905

Mean of criterion0.43796

SD of predictor0.11616

SD of criterion0.19849

Covariance0.00117

r0.05090

b (slope, estimate of beta)0.08698

a (intercept, estimate of alpha)0.43196

Mean Square Error0.03938

DF error452.00000

t(b)1.08361

p(b)0.13956

t(a)2.86334

p(a)0.00219

Lowerbound of 95% confidence interval for beta0.07077

Upperbound of 95% confidence interval for beta0.24473

Lowerbound of 95% confidence interval for alpha0.13549

Upperbound of 95% confidence interval for alpha0.72843

Treynor index (mean / b)5.03509

Jensen alpha (a)0.43196
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01833

Expected Shortfall on VaR0.02334
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00725

Expected Shortfall on VaR0.01472
 ORDER STATISTICS
 Quartiles of return rates

Number of observations454.00000

Minimum0.95518

Quartile 10.99541

Median1.00098

Quartile 31.00683

Maximum1.06955

Mean of quarter 10.98785

Mean of quarter 20.99894

Mean of quarter 31.00358

Mean of quarter 41.01703

Inter Quartile Range0.01143

Number outliers low13.00000

Percentage of outliers low0.02863

Mean of outliers low0.97208

Number of outliers high21.00000

Percentage of outliers high0.04626

Mean of outliers high1.03439
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.22170

VaR(95%) (moments method)0.01185

Expected Shortfall (moments method)0.01875

Extreme Value Index (regression method)0.07756

VaR(95%) (regression method)0.01086

Expected Shortfall (regression method)0.01535
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations23.00000

Minimum0.00031

Quartile 10.00656

Median0.01831

Quartile 30.04363

Maximum0.22335

Mean of quarter 10.00289

Mean of quarter 20.01114

Mean of quarter 30.03400

Mean of quarter 40.10124

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 high0.16546
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.52496

VaR(95%) (moments method)0.10121

Expected Shortfall (moments method)0.11824

Extreme Value Index (regression method)0.18926

VaR(95%) (regression method)0.13144

Expected Shortfall (regression method)0.20944
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.71662

Compounded annual return (geometric extrapolation)0.59340

Calmar ratio (compounded annual return / max draw down)2.65675

Compounded annual return / average of 25% largest draw downs5.86142

Compounded annual return / Expected Shortfall lognormal25.42870

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

Mean0.33753

SD0.15183

Sharpe ratio (Glass type estimate)2.22309

Sharpe ratio (Hedges UMVUE)2.21024

df130.00000

t1.57196

p0.56829

Lowerbound of 95% confidence interval for Sharpe Ratio5.00380

Upperbound of 95% confidence interval for Sharpe Ratio0.56598

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.99504

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57456
 Statistics related to Sortino ratio

Sortino ratio2.67789

Upside Potential Ratio5.67673

Upside part of mean0.71552

Downside part of mean1.05305

Upside SD0.08616

Downside SD0.12604

N nonnegative terms60.00000

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

N of observations131.00000

Mean of predictor0.04055

Mean of criterion0.33753

SD of predictor0.07507

SD of criterion0.15183

Covariance0.00010

r0.00913

b (slope, estimate of beta)0.01847

a (intercept, estimate of alpha)0.33828

Mean Square Error0.02323

DF error129.00000

t(b)0.10371

p(b)0.49419

t(a)1.56856

p(a)0.58682

Lowerbound of 95% confidence interval for beta0.33385

Upperbound of 95% confidence interval for beta0.37078

Lowerbound of 95% confidence interval for alpha0.76497

Upperbound of 95% confidence interval for alpha0.08841

Treynor index (mean / b)18.27760

Jensen alpha (a)0.33828
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.34923

SD0.15248

Sharpe ratio (Glass type estimate)2.29032

Sharpe ratio (Hedges UMVUE)2.27708

df130.00000

t1.61950

p0.57031

Lowerbound of 95% confidence interval for Sharpe Ratio5.07171

Upperbound of 95% confidence interval for Sharpe Ratio0.49968

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.06267

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.50851
 Statistics related to Sortino ratio

Sortino ratio2.74280

Upside Potential Ratio5.59014

Upside part of mean0.71176

Downside part of mean1.06099

Upside SD0.08559

Downside SD0.12732

N nonnegative terms60.00000

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

N of observations131.00000

Mean of predictor0.03775

Mean of criterion0.34923

SD of predictor0.07517

SD of criterion0.15248

Covariance0.00010

r0.00855

b (slope, estimate of beta)0.01735

a (intercept, estimate of alpha)0.34988

Mean Square Error0.02343

DF error129.00000

t(b)0.09715

p(b)0.49456

t(a)1.61556

p(a)0.58935

Lowerbound of 95% confidence interval for beta0.33598

Upperbound of 95% confidence interval for beta0.37068

Lowerbound of 95% confidence interval for alpha0.77837

Upperbound of 95% confidence interval for alpha0.07861

Treynor index (mean / b)20.12960

Jensen alpha (a)0.34988
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01669

Expected Shortfall on VaR0.02054
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00977

Expected Shortfall on VaR0.01836
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96955

Quartile 10.99533

Median1.00000

Quartile 31.00310

Maximum1.02122

Mean of quarter 10.98667

Mean of quarter 20.99761

Mean of quarter 31.00149

Mean of quarter 41.00959

Inter Quartile Range0.00777

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.97643

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.01729
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.14305

VaR(95%) (moments method)0.01177

Expected Shortfall (moments method)0.01525

Extreme Value Index (regression method)0.00781

VaR(95%) (regression method)0.01290

Expected Shortfall (regression method)0.01793
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00975

Quartile 10.01082

Median0.01483

Quartile 30.05745

Maximum0.17435

Mean of quarter 10.00975

Mean of quarter 20.01117

Mean of quarter 30.01848

Mean of quarter 40.17435

Inter Quartile Range0.04663

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high0.17435
 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)0.29684

Compounded annual return (geometric extrapolation)0.27481

Calmar ratio (compounded annual return / max draw down)1.57615

Compounded annual return / average of 25% largest draw downs1.57615

Compounded annual return / Expected Shortfall lognormal13.37660
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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