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%)  (6.2%)  (14.9%) 
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  $26,497  
Cash  $26,497  
Equity  $0  
Cumulative $  $16,497  
Total System Equity  $26,497  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began11/17/2015

Starting Unit Size$25,000

Strategy Age (days)525.97

Age18 months ago

What it tradesStocks

# Trades382

# Profitable223

% Profitable58.40%

Avg trade duration5.5 hours

Max peaktovalley drawdown24.75%

drawdown periodDec 07, 2016  April 21, 2017

Annual Return (Compounded)57.4%

Avg win$243.43

Avg loss$237.65
 Model Account Values (Raw)

Cash$26,497

Margin Used$0

Buying Power$26,497
 Ratios

W:L ratio1.44:1

Sharpe Ratio3.004

Sortino Ratio5.47

Calmar Ratio6.799
 CORRELATION STATISTICS

Correlation to SP5000.04600
 Return Statistics

Ann Return (w trading costs)57.4%

Ann Return (Compnd, No Fees)96.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss7.00%

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)945

Popularity (Last 6 weeks)991

C2 Score87.8
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$238

Avg Win$243

# Winners223

# Losers159

% Winners58.4%
 Frequency

Avg Position Time (mins)329.75

Avg Position Time (hrs)5.50

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

Mean0.79350

SD0.33974

Sharpe ratio (Glass type estimate)2.33562

Sharpe ratio (Hedges UMVUE)2.22410

df16.00000

t2.77994

p0.21465

Lowerbound of 95% confidence interval for Sharpe Ratio0.47444

Upperbound of 95% confidence interval for Sharpe Ratio4.13821

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40602

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.04219
 Statistics related to Sortino ratio

Sortino ratio12.08620

Upside Potential Ratio13.82250

Upside part of mean0.90750

Downside part of mean0.11400

Upside SD0.39597

Downside SD0.06565

N nonnegative terms12.00000

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

N of observations17.00000

Mean of predictor0.08974

Mean of criterion0.79350

SD of predictor0.10644

SD of criterion0.33974

Covariance0.00107

r0.02946

b (slope, estimate of beta)0.09404

a (intercept, estimate of alpha)0.78506

Mean Square Error0.12301

DF error15.00000

t(b)0.11416

p(b)0.48125

t(a)2.58412

p(a)0.16575

Lowerbound of 95% confidence interval for beta1.66179

Upperbound of 95% confidence interval for beta1.84986

Lowerbound of 95% confidence interval for alpha0.13752

Upperbound of 95% confidence interval for alpha1.43261

Treynor index (mean / b)8.43814

Jensen alpha (a)0.78506
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.72316

SD0.30303

Sharpe ratio (Glass type estimate)2.38646

Sharpe ratio (Hedges UMVUE)2.27252

df16.00000

t2.84046

p0.21051

Lowerbound of 95% confidence interval for Sharpe Ratio0.51716

Upperbound of 95% confidence interval for Sharpe Ratio4.19636

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.44726

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.09778
 Statistics related to Sortino ratio

Sortino ratio10.80340

Upside Potential Ratio12.53800

Upside part of mean0.83928

Downside part of mean0.11611

Upside SD0.35429

Downside SD0.06694

N nonnegative terms12.00000

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

N of observations17.00000

Mean of predictor0.08405

Mean of criterion0.72316

SD of predictor0.10619

SD of criterion0.30303

Covariance0.00188

r0.05849

b (slope, estimate of beta)0.16691

a (intercept, estimate of alpha)0.70914

Mean Square Error0.09761

DF error15.00000

t(b)0.22693

p(b)0.46278

t(a)2.62959

p(a)0.16221

Lowerbound of 95% confidence interval for beta1.40083

Upperbound of 95% confidence interval for beta1.73464

Lowerbound of 95% confidence interval for alpha0.13434

Upperbound of 95% confidence interval for alpha1.28393

Treynor index (mean / b)4.33267

Jensen alpha (a)0.70914
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08022

Expected Shortfall on VaR0.11277
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01531

Expected Shortfall on VaR0.03242
 ORDER STATISTICS
 Quartiles of return rates

Number of observations17.00000

Minimum0.95494

Quartile 10.99335

Median1.07425

Quartile 31.10665

Maximum1.36120

Mean of quarter 10.96853

Mean of quarter 21.04479

Mean of quarter 31.09790

Mean of quarter 41.18120

Inter Quartile Range0.11330

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 high1.36120
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)68.04030

VaR(95%) (moments method)0.01827

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.78025

VaR(95%) (regression method)0.04129

Expected Shortfall (regression method)0.04239
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.03100

Quartile 10.03576

Median0.04052

Quartile 30.05908

Maximum0.07765

Mean of quarter 10.03100

Mean of quarter 20.04052

Mean of quarter 30.00000

Mean of quarter 40.07765

Inter Quartile Range0.02332

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)1.28838

Compounded annual return (geometric extrapolation)1.08155

Calmar ratio (compounded annual return / max draw down)13.92890

Compounded annual return / average of 25% largest draw downs13.92890

Compounded annual return / Expected Shortfall lognormal9.59046

0.00000

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

Mean0.66396

SD0.21464

Sharpe ratio (Glass type estimate)3.09335

Sharpe ratio (Hedges UMVUE)3.08884

df515.00000

t3.78856

p0.00008

Lowerbound of 95% confidence interval for Sharpe Ratio1.48052

Upperbound of 95% confidence interval for Sharpe Ratio4.70328

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.47746

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.70022
 Statistics related to Sortino ratio

Sortino ratio5.73206

Upside Potential Ratio13.40200

Upside part of mean1.55239

Downside part of mean0.88843

Upside SD0.18397

Downside SD0.11583

N nonnegative terms244.00000

N negative terms272.00000
 Statistics related to linear regression on benchmark

N of observations516.00000

Mean of predictor0.09927

Mean of criterion0.66396

SD of predictor0.11988

SD of criterion0.21464

Covariance0.00177

r0.06883

b (slope, estimate of beta)0.12324

a (intercept, estimate of alpha)0.65200

Mean Square Error0.04594

DF error514.00000

t(b)1.56426

p(b)0.05919

t(a)3.72026

p(a)0.00011

Lowerbound of 95% confidence interval for beta0.03154

Upperbound of 95% confidence interval for beta0.27803

Lowerbound of 95% confidence interval for alpha0.30756

Upperbound of 95% confidence interval for alpha0.99588

Treynor index (mean / b)5.38741

Jensen alpha (a)0.65172
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.64059

SD0.21291

Sharpe ratio (Glass type estimate)3.00870

Sharpe ratio (Hedges UMVUE)3.00432

df515.00000

t3.68489

p0.00013

Lowerbound of 95% confidence interval for Sharpe Ratio1.39647

Upperbound of 95% confidence interval for Sharpe Ratio4.61811

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.39353

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.61510
 Statistics related to Sortino ratio

Sortino ratio5.46988

Upside Potential Ratio13.11400

Upside part of mean1.53580

Downside part of mean0.89521

Upside SD0.18089

Downside SD0.11711

N nonnegative terms244.00000

N negative terms272.00000
 Statistics related to linear regression on benchmark

N of observations516.00000

Mean of predictor0.09207

Mean of criterion0.64059

SD of predictor0.11999

SD of criterion0.21291

Covariance0.00173

r0.06760

b (slope, estimate of beta)0.11995

a (intercept, estimate of alpha)0.62954

Mean Square Error0.04521

DF error514.00000

t(b)1.53607

p(b)0.06257

t(a)3.62303

p(a)0.00016

Lowerbound of 95% confidence interval for beta0.03346

Upperbound of 95% confidence interval for beta0.27336

Lowerbound of 95% confidence interval for alpha0.28817

Upperbound of 95% confidence interval for alpha0.97091

Treynor index (mean / b)5.34057

Jensen alpha (a)0.62954
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01688

Expected Shortfall on VaR0.02157
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00607

Expected Shortfall on VaR0.01265
 ORDER STATISTICS
 Quartiles of return rates

Number of observations516.00000

Minimum0.95512

Quartile 10.99813

Median1.00000

Quartile 31.00529

Maximum1.06990

Mean of quarter 10.98995

Mean of quarter 20.99978

Mean of quarter 31.00206

Mean of quarter 41.01605

Inter Quartile Range0.00716

Number outliers low32.00000

Percentage of outliers low0.06202

Mean of outliers low0.97982

Number of outliers high46.00000

Percentage of outliers high0.08915

Mean of outliers high1.02761
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.28697

VaR(95%) (moments method)0.00639

Expected Shortfall (moments method)0.00811

Extreme Value Index (regression method)0.02851

VaR(95%) (regression method)0.00908

Expected Shortfall (regression method)0.01334
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations25.00000

Minimum0.00032

Quartile 10.00673

Median0.01829

Quartile 30.04367

Maximum0.13482

Mean of quarter 10.00344

Mean of quarter 20.01033

Mean of quarter 30.03381

Mean of quarter 40.08731

Inter Quartile Range0.03694

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.08000

Mean of outliers high0.12118
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.50083

VaR(95%) (moments method)0.08883

Expected Shortfall (moments method)0.10145

Extreme Value Index (regression method)0.08737

VaR(95%) (regression method)0.09877

Expected Shortfall (regression method)0.12670
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.10220

Compounded annual return (geometric extrapolation)0.91657

Calmar ratio (compounded annual return / max draw down)6.79858

Compounded annual return / average of 25% largest draw downs10.49830

Compounded annual return / Expected Shortfall lognormal42.49000

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

Mean0.05300

SD0.13189

Sharpe ratio (Glass type estimate)0.40181

Sharpe ratio (Hedges UMVUE)0.40005

df171.00000

t0.28412

p0.51383

Lowerbound of 95% confidence interval for Sharpe Ratio3.17342

Upperbound of 95% confidence interval for Sharpe Ratio2.37085

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.17218

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.37208
 Statistics related to Sortino ratio

Sortino ratio0.53079

Upside Potential Ratio7.82798

Upside part of mean0.78157

Downside part of mean0.83457

Upside SD0.08564

Downside SD0.09984

N nonnegative terms75.00000

N negative terms97.00000
 Statistics related to linear regression on benchmark

N of observations172.00000

Mean of predictor0.25271

Mean of criterion0.05300

SD of predictor0.07490

SD of criterion0.13189

Covariance0.00093

r0.09379

b (slope, estimate of beta)0.16516

a (intercept, estimate of alpha)0.01126

Mean Square Error0.01734

DF error170.00000

t(b)1.22825

p(b)0.54689

t(a)0.05947

p(a)0.50228

Lowerbound of 95% confidence interval for beta0.43060

Upperbound of 95% confidence interval for beta0.10028

Lowerbound of 95% confidence interval for alpha0.38498

Upperbound of 95% confidence interval for alpha0.36246

Treynor index (mean / b)0.32088

Jensen alpha (a)0.01126
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06166

SD0.13209

Sharpe ratio (Glass type estimate)0.46681

Sharpe ratio (Hedges UMVUE)0.46476

df171.00000

t0.33009

p0.51606

Lowerbound of 95% confidence interval for Sharpe Ratio3.23843

Upperbound of 95% confidence interval for Sharpe Ratio2.30607

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.23701

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.30748
 Statistics related to Sortino ratio

Sortino ratio0.61305

Upside Potential Ratio7.73393

Upside part of mean0.77792

Downside part of mean0.83958

Upside SD0.08510

Downside SD0.10058

N nonnegative terms75.00000

N negative terms97.00000
 Statistics related to linear regression on benchmark

N of observations172.00000

Mean of predictor0.24983

Mean of criterion0.06166

SD of predictor0.07465

SD of criterion0.13209

Covariance0.00092

r0.09296

b (slope, estimate of beta)0.16450

a (intercept, estimate of alpha)0.02057

Mean Square Error0.01740

DF error170.00000

t(b)1.21726

p(b)0.54648

t(a)0.10849

p(a)0.50416

Lowerbound of 95% confidence interval for beta0.43125

Upperbound of 95% confidence interval for beta0.10226

Lowerbound of 95% confidence interval for alpha0.39480

Upperbound of 95% confidence interval for alpha0.35366

Treynor index (mean / b)0.37487

Jensen alpha (a)0.02057
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01182

Expected Shortfall on VaR0.01476
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00599

Expected Shortfall on VaR0.01197
 ORDER STATISTICS
 Quartiles of return rates

Number of observations172.00000

Minimum0.97586

Quartile 10.99826

Median1.00000

Quartile 31.00321

Maximum1.02343

Mean of quarter 10.99063

Mean of quarter 20.99973

Mean of quarter 31.00108

Mean of quarter 41.00805

Inter Quartile Range0.00495

Number outliers low20.00000

Percentage of outliers low0.11628

Mean of outliers low0.98615

Number of outliers high11.00000

Percentage of outliers high0.06395

Mean of outliers high1.01412
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.26469

VaR(95%) (moments method)0.00613

Expected Shortfall (moments method)0.00650

Extreme Value Index (regression method)0.27517

VaR(95%) (regression method)0.00864

Expected Shortfall (regression method)0.01128
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00589

Quartile 10.01282

Median0.01975

Quartile 30.07728

Maximum0.13482

Mean of quarter 10.00589

Mean of quarter 20.01975

Mean of quarter 30.00000

Mean of quarter 40.13482

Inter Quartile Range0.06446

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)0.05105

Compounded annual return (geometric extrapolation)0.05040

Calmar ratio (compounded annual return / max draw down)0.37383

Compounded annual return / average of 25% largest draw downs0.37383

Compounded annual return / Expected Shortfall lognormal3.41534
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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