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%)  (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.
Started  $10,000  
Buy Power  $18,175  
Cash  $18,316  
Equity  ($140)  
Cumulative $  $15,800  
Total System Equity  $25,800  
Margined  $0  
Open P/L  ($140) 
Trading Record
Statistics

Strategy began11/17/2015

Starting Unit Size$25,000

Strategy Age (days)584.03

Age19 months ago

What it tradesStocks

# Trades415

# Profitable240

% Profitable57.80%

Avg trade duration5.5 hours

Max peaktovalley drawdown28.94%

drawdown periodDec 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 ratio1.38:1

Sharpe Ratio2.773

Sortino Ratio4.953

Calmar Ratio4.719
 CORRELATION STATISTICS

Correlation to SP5000.04600
 Return Statistics

Ann Return (w trading costs)44.4%

Ann Return (Compnd, No Fees)80.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss9.00%

Chance of 20% account loss0.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)874

Popularity (Last 6 weeks)984

C2 Score78.8
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$236

Avg Win$238

# Winners240

# Losers175

% Winners57.8%
 Frequency

Avg Position Time (mins)331.75

Avg Position Time (hrs)5.53

Avg Trade Length0.2 days

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

Mean0.63643

SD0.31347

Sharpe ratio (Glass type estimate)2.03025

Sharpe ratio (Hedges UMVUE)1.93911

df17.00000

t2.48653

p0.18649

Lowerbound of 95% confidence interval for Sharpe Ratio0.26737

Upperbound of 95% confidence interval for Sharpe Ratio3.74276

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.21116

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.66706
 Statistics related to Sortino ratio

Sortino ratio8.03709

Upside Potential Ratio9.43527

Upside part of mean0.74714

Downside part of mean0.11072

Upside SD0.34683

Downside SD0.07919

N nonnegative terms12.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations18.00000

Mean of predictor0.08524

Mean of criterion0.63643

SD of predictor0.08687

SD of criterion0.31347

Covariance0.00065

r0.02376

b (slope, estimate of beta)0.08575

a (intercept, estimate of alpha)0.64374

Mean Square Error0.10435

DF error16.00000

t(b)0.09508

p(b)0.51188

t(a)2.34319

p(a)0.24727

Lowerbound of 95% confidence interval for beta1.99760

Upperbound of 95% confidence interval for beta1.82610

Lowerbound of 95% confidence interval for alpha0.06134

Upperbound of 95% confidence interval for alpha1.22614

Treynor index (mean / b)7.42172

Jensen alpha (a)0.64374
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.57875

SD0.28806

Sharpe ratio (Glass type estimate)2.00913

Sharpe ratio (Hedges UMVUE)1.91894

df17.00000

t2.46067

p0.18865

Lowerbound of 95% confidence interval for Sharpe Ratio0.24917

Upperbound of 95% confidence interval for Sharpe Ratio3.71912

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.19354

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.64435
 Statistics related to Sortino ratio

Sortino ratio7.08129

Upside Potential Ratio8.47276

Upside part of mean0.69248

Downside part of mean0.11372

Upside SD0.31560

Downside SD0.08173

N nonnegative terms12.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations18.00000

Mean of predictor0.08121

Mean of criterion0.57875

SD of predictor0.08675

SD of criterion0.28806

Covariance0.00073

r0.02911

b (slope, estimate of beta)0.09664

a (intercept, estimate of alpha)0.58660

Mean Square Error0.08809

DF error16.00000

t(b)0.11647

p(b)0.51455

t(a)2.33212

p(a)0.24816

Lowerbound of 95% confidence interval for beta1.85566

Upperbound of 95% confidence interval for beta1.66238

Lowerbound of 95% confidence interval for alpha0.05338

Upperbound of 95% confidence interval for alpha1.11982

Treynor index (mean / b)5.98857

Jensen alpha (a)0.58660
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08474

Expected Shortfall on VaR0.11558
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01569

Expected Shortfall on VaR0.03550
 ORDER STATISTICS
 Quartiles of return rates

Number of observations18.00000

Minimum0.93099

Quartile 10.99647

Median1.03572

Quartile 31.08871

Maximum1.26934

Mean of quarter 10.97000

Mean of quarter 21.01690

Mean of quarter 31.04957

Mean of quarter 41.17613

Inter Quartile Range0.09224

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.05556

Mean of outliers high1.26934
 Risk estimates for a oneperiod 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 observations2.00000

Minimum0.00402

Quartile 10.03041

Median0.05680

Quartile 30.08319

Maximum0.10958

Mean of quarter 10.00402

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.10958

Inter Quartile Range0.05278

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)0.98953

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 downs7.61353

Compounded annual return / Expected Shortfall lognormal7.21809

0.00000

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

Mean0.55672

SD0.20038

Sharpe ratio (Glass type estimate)2.77838

Sharpe ratio (Hedges UMVUE)2.77333

df413.00000

t3.49254

p0.00027

Lowerbound of 95% confidence interval for Sharpe Ratio1.20610

Upperbound of 95% confidence interval for Sharpe Ratio4.34742

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.20271

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.34395
 Statistics related to Sortino ratio

Sortino ratio4.95278

Upside Potential Ratio12.44460

Upside part of mean1.39884

Downside part of mean0.84212

Upside SD0.16912

Downside SD0.11241

N nonnegative terms232.00000

N negative terms182.00000
 Statistics related to linear regression on benchmark

N of observations414.00000

Mean of predictor0.08780

Mean of criterion0.55672

SD of predictor0.11869

SD of criterion0.20038

Covariance0.00110

r0.04640

b (slope, estimate of beta)0.07833

a (intercept, estimate of alpha)0.55000

Mean Square Error0.04016

DF error412.00000

t(b)0.94280

p(b)0.17317

t(a)3.44532

p(a)0.00031

Lowerbound of 95% confidence interval for beta0.08499

Upperbound of 95% confidence interval for beta0.24165

Lowerbound of 95% confidence interval for alpha0.23613

Upperbound of 95% confidence interval for alpha0.86355

Treynor index (mean / b)7.10724

Jensen alpha (a)0.54984
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.53624

SD0.19911

Sharpe ratio (Glass type estimate)2.69313

Sharpe ratio (Hedges UMVUE)2.68823

df413.00000

t3.38537

p0.00039

Lowerbound of 95% confidence interval for Sharpe Ratio1.12158

Upperbound of 95% confidence interval for Sharpe Ratio4.26148

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11831

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.25816
 Statistics related to Sortino ratio

Sortino ratio4.72031

Upside Potential Ratio12.18870

Upside part of mean1.38468

Downside part of mean0.84844

Upside SD0.16656

Downside SD0.11360

N nonnegative terms232.00000

N negative terms182.00000
 Statistics related to linear regression on benchmark

N of observations414.00000

Mean of predictor0.08075

Mean of criterion0.53624

SD of predictor0.11882

SD of criterion0.19911

Covariance0.00110

r0.04633

b (slope, estimate of beta)0.07764

a (intercept, estimate of alpha)0.52997

Mean Square Error0.03966

DF error412.00000

t(b)0.94140

p(b)0.17353

t(a)3.34238

p(a)0.00045

Lowerbound of 95% confidence interval for beta0.08448

Upperbound of 95% confidence interval for beta0.23976

Lowerbound of 95% confidence interval for alpha0.21828

Upperbound of 95% confidence interval for alpha0.84166

Treynor index (mean / b)6.90679

Jensen alpha (a)0.52997
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01802

Expected Shortfall on VaR0.02305
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00677

Expected Shortfall on VaR0.01386
 ORDER STATISTICS
 Quartiles of return rates

Number of observations414.00000

Minimum0.95518

Quartile 10.99576

Median1.00126

Quartile 31.00703

Maximum1.06955

Mean of quarter 10.98835

Mean of quarter 20.99918

Mean of quarter 31.00373

Mean of quarter 41.01765

Inter Quartile Range0.01126

Number outliers low11.00000

Percentage of outliers low0.02657

Mean of outliers low0.97270

Number of outliers high21.00000

Percentage of outliers high0.05072

Mean of outliers high1.03439
 Risk estimates for a oneperiod 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 observations23.00000

Minimum0.00031

Quartile 10.00656

Median0.01831

Quartile 30.04363

Maximum0.16060

Mean of quarter 10.00289

Mean of quarter 20.01114

Mean of quarter 30.03400

Mean of quarter 40.09078

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 high0.13408
 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 downs8.34938

Compounded annual return / Expected Shortfall lognormal32.88680

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

Mean0.30357

SD0.12743

Sharpe ratio (Glass type estimate)2.38217

Sharpe ratio (Hedges UMVUE)2.36840

df130.00000

t1.68445

p0.57308

Lowerbound of 95% confidence interval for Sharpe Ratio5.16457

Upperbound of 95% confidence interval for Sharpe Ratio0.40921

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.15511

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.41832
 Statistics related to Sortino ratio

Sortino ratio2.90610

Upside Potential Ratio5.70601

Upside part of mean0.59605

Downside part of mean0.89962

Upside SD0.07454

Downside SD0.10446

N nonnegative terms59.00000

N negative terms72.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.12235

Mean of criterion0.30357

SD of predictor0.06822

SD of criterion0.12743

Covariance0.00015

r0.01721

b (slope, estimate of beta)0.03214

a (intercept, estimate of alpha)0.29964

Mean Square Error0.01636

DF error129.00000

t(b)0.19545

p(b)0.51095

t(a)1.64632

p(a)0.59101

Lowerbound of 95% confidence interval for beta0.35749

Upperbound of 95% confidence interval for beta0.29321

Lowerbound of 95% confidence interval for alpha0.65974

Upperbound of 95% confidence interval for alpha0.06046

Treynor index (mean / b)9.44515

Jensen alpha (a)0.29964
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31180

SD0.12777

Sharpe ratio (Glass type estimate)2.44039

Sharpe ratio (Hedges UMVUE)2.42629

df130.00000

t1.72562

p0.57482

Lowerbound of 95% confidence interval for Sharpe Ratio5.22342

Upperbound of 95% confidence interval for Sharpe Ratio0.35185

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.21374

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.36116
 Statistics related to Sortino ratio

Sortino ratio2.96142

Upside Potential Ratio5.63429

Upside part of mean0.59323

Downside part of mean0.90503

Upside SD0.07406

Downside SD0.10529

N nonnegative terms59.00000

N negative terms72.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.12000

Mean of criterion0.31180

SD of predictor0.06823

SD of criterion0.12777

Covariance0.00015

r0.01672

b (slope, estimate of beta)0.03131

a (intercept, estimate of alpha)0.30805

Mean Square Error0.01645

DF error129.00000

t(b)0.18990

p(b)0.51064

t(a)1.68848

p(a)0.59327

Lowerbound of 95% confidence interval for beta0.35746

Upperbound of 95% confidence interval for beta0.29485

Lowerbound of 95% confidence interval for alpha0.66901

Upperbound of 95% confidence interval for alpha0.05292

Treynor index (mean / b)9.96012

Jensen alpha (a)0.30805
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01407

Expected Shortfall on VaR0.01732
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00843

Expected Shortfall on VaR0.01552
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.97416

Quartile 10.99482

Median1.00000

Quartile 31.00287

Maximum1.02122

Mean of quarter 10.98868

Mean of quarter 20.99792

Mean of quarter 31.00126

Mean of quarter 41.00800

Inter Quartile Range0.00805

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.97768

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)0.17160

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 observations1.00000

Minimum0.14213

Quartile 10.14213

Median0.14213

Quartile 30.14213

Maximum0.14213

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)0.26467

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 downs0.00000

Compounded annual return / Expected Shortfall lognormal14.27310
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 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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