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VIX DayTrader 1

Created by:
JamesFrazer
JamesFrazer
Started:   11/2015
Stocks
Last trade:   Today

Subscription terms. Subscriptions to this system cost $189.00 per month.

93.5%
Annual Return (Compounded)
14.8%
Max Drawdown
333
Num Trades
58.9%
Win Trades
1.6 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
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(2.9%)                                                                  (2.9%)

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.

Open positions are hidden from non-subscribers.

This strategy has placed 986 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/20/17 9:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 600 21.22 1/20 15:06 20.77 0.96%
Trade id #108894291
Max drawdown($269)
Time1/20/17 15:06
Quant open300
Worst price20.75
Drawdown as % of equity-0.96%
($281)
Includes Typical Commission and AutoTrade Fees trade costs of $12.00
1/19/17 14:59 VXX IPATH S&P 500 VIX ST FUTURES E LONG 600 21.68 1/19 15:49 21.59 0.52%
Trade id #108814195
Max drawdown($146)
Time1/19/17 15:26
Quant open600
Worst price21.43
Drawdown as % of equity-0.52%
($67)
Includes Typical Commission and AutoTrade Fees trade costs of $12.00
1/19/17 9:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 55.90 1/19 14:55 54.78 1.88%
Trade id #108762877
Max drawdown($538)
Time1/19/17 14:22
Quant open400
Worst price54.55
Drawdown as % of equity-1.88%
($455)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
1/18/17 9:35 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 55.58 1/18 15:57 55.83 0.17%
Trade id #108717460
Max drawdown($48)
Time1/18/17 13:14
Quant open400
Worst price55.46
Drawdown as % of equity-0.17%
$92
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
1/17/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 54.59 1/17 15:49 55.33 0.22%
Trade id #108684968
Max drawdown($63)
Time1/17/17 9:33
Quant open200
Worst price54.28
Drawdown as % of equity-0.22%
$287
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
1/12/17 11:03 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 53.29 1/12 15:51 55.28 0.32%
Trade id #108590380
Max drawdown($88)
Time1/12/17 11:09
Quant open200
Worst price52.85
Drawdown as % of equity-0.32%
$394
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
1/12/17 9:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 54.20 1/12 10:07 52.84 0.96%
Trade id #108584433
Max drawdown($270)
Time1/12/17 10:07
Quant open0
Worst price52.84
Drawdown as % of equity-0.96%
($274)
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
1/11/17 12:38 VXX IPATH S&P 500 VIX ST FUTURES E LONG 600 22.03 1/11 15:49 21.43 1.44%
Trade id #108538091
Max drawdown($405)
Time1/11/17 15:39
Quant open600
Worst price21.35
Drawdown as % of equity-1.44%
($372)
Includes Typical Commission and AutoTrade Fees trade costs of $12.00
1/10/17 9:31 VXX IPATH S&P 500 VIX ST FUTURES E LONG 600 21.88 1/10 15:48 21.81 0.52%
Trade id #108487975
Max drawdown($149)
Time1/10/17 11:22
Quant open600
Worst price21.63
Drawdown as % of equity-0.52%
($56)
Includes Typical Commission and AutoTrade Fees trade costs of $12.00
1/9/17 9:43 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 53.13 1/9 14:28 54.32 0.12%
Trade id #108448943
Max drawdown($35)
Time1/9/17 9:48
Quant open200
Worst price52.95
Drawdown as % of equity-0.12%
$234
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
1/6/17 11:43 VXX IPATH S&P 500 VIX ST FUTURES E LONG 750 21.86 1/6 15:45 21.90 0.32%
Trade id #108417075
Max drawdown($90)
Time1/6/17 12:31
Quant open600
Worst price21.71
Drawdown as % of equity-0.32%
$14
Includes Typical Commission and AutoTrade Fees trade costs of $15.00
1/5/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 52.43 1/5 15:51 52.81 1.48%
Trade id #108374276
Max drawdown($413)
Time1/5/17 12:07
Quant open400
Worst price51.40
Drawdown as % of equity-1.48%
$144
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
1/4/17 9:39 VXX IPATH S&P 500 VIX ST FUTURES E LONG 400 23.31 1/4 14:16 22.69 0.88%
Trade id #108334956
Max drawdown($249)
Time1/4/17 14:16
Quant open200
Worst price22.64
Drawdown as % of equity-0.88%
($257)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
1/4/17 9:33 VXX IPATH S&P 500 VIX ST FUTURES E LONG 200 23.35 1/4 9:39 23.29 0.1%
Trade id #108334181
Max drawdown($29)
Time1/4/17 9:38
Quant open200
Worst price23.20
Drawdown as % of equity-0.10%
($16)
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
12/30/16 9:35 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 47.80 12/30 15:46 46.74 2.03%
Trade id #108267960
Max drawdown($576)
Time12/30/16 15:02
Quant open400
Worst price46.36
Drawdown as % of equity-2.03%
($433)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/29/16 12:21 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 47.53 12/29 13:48 47.39 0.2%
Trade id #108249222
Max drawdown($58)
Time12/29/16 13:48
Quant open300
Worst price47.26
Drawdown as % of equity-0.20%
($66)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/29/16 9:38 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 48.79 12/29 10:29 48.44 0.28%
Trade id #108244093
Max drawdown($80)
Time12/29/16 10:28
Quant open200
Worst price48.39
Drawdown as % of equity-0.28%
($74)
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
12/28/16 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 50.54 12/28 15:42 48.83 2.37%
Trade id #108218707
Max drawdown($687)
Time12/28/16 15:42
Quant open200
Worst price48.74
Drawdown as % of equity-2.37%
($695)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/23/16 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 49.28 12/23 15:56 49.64 0.31%
Trade id #108164776
Max drawdown($91)
Time12/23/16 9:48
Quant open200
Worst price48.99
Drawdown as % of equity-0.31%
$134
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/22/16 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 50.26 12/22 15:46 49.35 1.46%
Trade id #108131108
Max drawdown($436)
Time12/22/16 15:33
Quant open400
Worst price49.17
Drawdown as % of equity-1.46%
($375)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/21/16 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 50.22 12/21 15:46 50.11 0.74%
Trade id #108103150
Max drawdown($220)
Time12/21/16 10:58
Quant open400
Worst price49.67
Drawdown as % of equity-0.74%
($50)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/20/16 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 49.17 12/20 15:45 49.66 0.2%
Trade id #108074369
Max drawdown($58)
Time12/20/16 12:02
Quant open400
Worst price49.02
Drawdown as % of equity-0.20%
$191
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/19/16 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 47.58 12/19 15:46 48.32 0.09%
Trade id #108044627
Max drawdown($27)
Time12/19/16 9:33
Quant open200
Worst price47.43
Drawdown as % of equity-0.09%
$289
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/16/16 9:54 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 46.98 12/16 15:45 46.81 0.99%
Trade id #108013548
Max drawdown($289)
Time12/16/16 13:31
Quant open400
Worst price46.26
Drawdown as % of equity-0.99%
($77)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/15/16 10:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 46.55 12/15 15:44 46.32 0.58%
Trade id #107985333
Max drawdown($169)
Time12/15/16 12:29
Quant open200
Worst price45.70
Drawdown as % of equity-0.58%
($50)
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
12/14/16 9:36 VXX IPATH S&P 500 VIX ST FUTURES E LONG 400 26.51 12/14 13:53 25.83 0.93%
Trade id #107932344
Max drawdown($274)
Time12/14/16 13:53
Quant open200
Worst price25.83
Drawdown as % of equity-0.93%
($282)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/13/16 9:42 VXX IPATH S&P 500 VIX ST FUTURES E LONG 400 26.45 12/13 15:46 26.23 0.32%
Trade id #107904842
Max drawdown($96)
Time12/13/16 15:39
Quant open400
Worst price26.21
Drawdown as % of equity-0.32%
($99)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/12/16 9:51 VXX IPATH S&P 500 VIX ST FUTURES E LONG 400 26.09 12/12 15:50 26.23 0.16%
Trade id #107877214
Max drawdown($48)
Time12/12/16 10:02
Quant open400
Worst price25.97
Drawdown as % of equity-0.16%
$46
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/8/16 13:02 VXX IPATH S&P 500 VIX ST FUTURES E LONG 400 27.01 12/8 15:49 26.19 1.22%
Trade id #107824925
Max drawdown($365)
Time12/8/16 15:42
Quant open400
Worst price26.10
Drawdown as % of equity-1.22%
($338)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
12/8/16 10:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 45.80 12/8 12:40 44.70 0.73%
Trade id #107820473
Max drawdown($220)
Time12/8/16 12:40
Quant open100
Worst price44.68
Drawdown as % of equity-0.73%
($224)
Includes Typical Commission and AutoTrade Fees trade costs of $4.00

Statistics

  • Strategy began
    11/17/2015
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    433.1
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    333
  • # Profitable
    196
  • % Profitable
    58.90%
  • Avg trade duration
    5.5 hours
  • Max peak-to-valley drawdown
    14.75%
  • drawdown period
    May 02, 2016 - May 18, 2016
  • Annual Return (Compounded)
    93.5%
  • Avg win
    $247.71
  • Avg loss
    $222.76
  • Model Account Values (Raw)
  • Cash
    $24,866
  • Margin Used
    $0
  • Buying Power
    $24,939
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    3.66
  • Sortino Ratio
    6.968
  • Calmar Ratio
    12.125
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06400
  • Return Statistics
  • Ann Return (w trading costs)
    93.5%
  • Ann Return (Compnd, No Fees)
    138.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    967
  • Popularity (Last 6 weeks)
    997
  • C2 Score
    87.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $223
  • Avg Win
    $248
  • # Winners
    196
  • # Losers
    137
  • % Winners
    58.9%
  • Frequency
  • Avg Position Time (mins)
    326.95
  • Avg Position Time (hrs)
    5.45
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.97431
  • SD
    0.35140
  • Sharpe ratio (Glass type estimate)
    2.77268
  • Sharpe ratio (Hedges UMVUE)
    2.60904
  • df
    13.00000
  • t
    2.99484
  • p
    0.12292
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63429
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68230
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.14480
  • Upside Potential Ratio
    16.73120
  • Upside part of mean
    1.07637
  • Downside part of mean
    -0.10206
  • Upside SD
    0.43546
  • Downside SD
    0.06433
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.07178
  • Mean of criterion
    0.97431
  • SD of predictor
    0.11285
  • SD of criterion
    0.35140
  • Covariance
    0.00261
  • r
    0.06581
  • b (slope, estimate of beta)
    0.20493
  • a (intercept, estimate of alpha)
    0.95960
  • Mean Square Error
    0.13319
  • DF error
    12.00000
  • t(b)
    0.22848
  • p(b)
    0.46709
  • t(a)
    2.78986
  • p(a)
    0.18638
  • Lowerbound of 95% confidence interval for beta
    -1.74930
  • Upperbound of 95% confidence interval for beta
    2.15916
  • Lowerbound of 95% confidence interval for alpha
    0.21018
  • Upperbound of 95% confidence interval for alpha
    1.70902
  • Treynor index (mean / b)
    4.75442
  • Jensen alpha (a)
    0.95960
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88982
  • SD
    0.31134
  • Sharpe ratio (Glass type estimate)
    2.85806
  • Sharpe ratio (Hedges UMVUE)
    2.68938
  • df
    13.00000
  • t
    3.08706
  • p
    0.11736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70259
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60101
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.77776
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.55500
  • Upside Potential Ratio
    15.14070
  • Upside part of mean
    0.99392
  • Downside part of mean
    -0.10410
  • Upside SD
    0.38946
  • Downside SD
    0.06565
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.06564
  • Mean of criterion
    0.88982
  • SD of predictor
    0.11261
  • SD of criterion
    0.31134
  • Covariance
    0.00354
  • r
    0.10107
  • b (slope, estimate of beta)
    0.27944
  • a (intercept, estimate of alpha)
    0.87148
  • Mean Square Error
    0.10394
  • DF error
    12.00000
  • t(b)
    0.35192
  • p(b)
    0.44946
  • t(a)
    2.87624
  • p(a)
    0.18060
  • Lowerbound of 95% confidence interval for beta
    -1.45059
  • Upperbound of 95% confidence interval for beta
    2.00947
  • Lowerbound of 95% confidence interval for alpha
    0.21132
  • Upperbound of 95% confidence interval for alpha
    1.53165
  • Treynor index (mean / b)
    3.18434
  • Jensen alpha (a)
    0.87148
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07103
  • Expected Shortfall on VaR
    0.10478
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01035
  • Expected Shortfall on VaR
    0.02487
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.95494
  • Quartile 1
    1.02279
  • Median
    1.09310
  • Quartile 3
    1.10672
  • Maximum
    1.36120
  • Mean of quarter 1
    0.97297
  • Mean of quarter 2
    1.07687
  • Mean of quarter 3
    1.10034
  • Mean of quarter 4
    1.18120
  • Inter Quartile Range
    0.08393
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.36120
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.87143
  • VaR(95%) (regression method)
    0.06380
  • Expected Shortfall (regression method)
    0.06424
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03100
  • Quartile 1
    0.03576
  • Median
    0.04052
  • Quartile 3
    0.04279
  • Maximum
    0.04506
  • Mean of quarter 1
    0.03100
  • Mean of quarter 2
    0.04052
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04506
  • Inter Quartile Range
    0.00703
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    1.59163
  • Compounded annual return (geometric extrapolation)
    1.45905
  • Calmar ratio (compounded annual return / max draw down)
    32.38160
  • Compounded annual return / average of 25% largest draw downs
    32.38160
  • Compounded annual return / Expected Shortfall lognormal
    13.92470
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.85103
  • SD
    0.22689
  • Sharpe ratio (Glass type estimate)
    3.75086
  • Sharpe ratio (Hedges UMVUE)
    3.74421
  • df
    423.00000
  • t
    4.16423
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.96530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.53211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96086
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.52755
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.27424
  • Upside Potential Ratio
    14.82940
  • Upside part of mean
    1.73491
  • Downside part of mean
    -0.88389
  • Upside SD
    0.19944
  • Downside SD
    0.11699
  • N nonnegative terms
    208.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    424.00000
  • Mean of predictor
    0.07812
  • Mean of criterion
    0.85103
  • SD of predictor
    0.12829
  • SD of criterion
    0.22689
  • Covariance
    0.00257
  • r
    0.08815
  • b (slope, estimate of beta)
    0.15591
  • a (intercept, estimate of alpha)
    0.83884
  • Mean Square Error
    0.05120
  • DF error
    422.00000
  • t(b)
    1.81797
  • p(b)
    0.03489
  • t(a)
    4.11358
  • p(a)
    0.00002
  • Lowerbound of 95% confidence interval for beta
    -0.01266
  • Upperbound of 95% confidence interval for beta
    0.32448
  • Lowerbound of 95% confidence interval for alpha
    0.43802
  • Upperbound of 95% confidence interval for alpha
    1.23967
  • Treynor index (mean / b)
    5.45849
  • Jensen alpha (a)
    0.83884
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82462
  • SD
    0.22488
  • Sharpe ratio (Glass type estimate)
    3.66693
  • Sharpe ratio (Hedges UMVUE)
    3.66043
  • df
    423.00000
  • t
    4.07105
  • p
    0.00003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.88225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.44743
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87787
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44298
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.96795
  • Upside Potential Ratio
    14.49520
  • Upside part of mean
    1.71543
  • Downside part of mean
    -0.89081
  • Upside SD
    0.19602
  • Downside SD
    0.11834
  • N nonnegative terms
    208.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    424.00000
  • Mean of predictor
    0.06989
  • Mean of criterion
    0.82462
  • SD of predictor
    0.12842
  • SD of criterion
    0.22488
  • Covariance
    0.00251
  • r
    0.08704
  • b (slope, estimate of beta)
    0.15241
  • a (intercept, estimate of alpha)
    0.81397
  • Mean Square Error
    0.05031
  • DF error
    422.00000
  • t(b)
    1.79483
  • p(b)
    0.03670
  • t(a)
    4.02726
  • p(a)
    0.00003
  • Lowerbound of 95% confidence interval for beta
    -0.01450
  • Upperbound of 95% confidence interval for beta
    0.31933
  • Lowerbound of 95% confidence interval for alpha
    0.41669
  • Upperbound of 95% confidence interval for alpha
    1.21124
  • Treynor index (mean / b)
    5.41035
  • Jensen alpha (a)
    0.81397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01739
  • Expected Shortfall on VaR
    0.02235
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00590
  • Expected Shortfall on VaR
    0.01241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    424.00000
  • Minimum
    0.95512
  • Quartile 1
    0.99816
  • Median
    1.00000
  • Quartile 3
    1.00624
  • Maximum
    1.06990
  • Mean of quarter 1
    0.98997
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00251
  • Mean of quarter 4
    1.01772
  • Inter Quartile Range
    0.00808
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.04717
  • Mean of outliers low
    0.97732
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.09198
  • Mean of outliers high
    1.02955
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29836
  • VaR(95%) (moments method)
    0.00638
  • Expected Shortfall (moments method)
    0.00806
  • Extreme Value Index (regression method)
    0.02370
  • VaR(95%) (regression method)
    0.00870
  • Expected Shortfall (regression method)
    0.01313
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00673
  • Median
    0.01829
  • Quartile 3
    0.04367
  • Maximum
    0.10753
  • Mean of quarter 1
    0.00344
  • Mean of quarter 2
    0.01033
  • Mean of quarter 3
    0.03381
  • Mean of quarter 4
    0.07896
  • Inter Quartile Range
    0.03694
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04000
  • Mean of outliers high
    0.10753
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.96672
  • VaR(95%) (moments method)
    0.08227
  • Expected Shortfall (moments method)
    0.08761
  • Extreme Value Index (regression method)
    -0.56057
  • VaR(95%) (regression method)
    0.07459
  • Expected Shortfall (regression method)
    0.08166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.45819
  • Compounded annual return (geometric extrapolation)
    1.30382
  • Calmar ratio (compounded annual return / max draw down)
    12.12470
  • Compounded annual return / average of 25% largest draw downs
    16.51280
  • Compounded annual return / Expected Shortfall lognormal
    58.33920
  • 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
  • Mean
    0.30613
  • SD
    0.15908
  • Sharpe ratio (Glass type estimate)
    1.92434
  • Sharpe ratio (Hedges UMVUE)
    1.91589
  • df
    171.00000
  • t
    1.36071
  • p
    0.43423
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86335
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69512
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93952
  • Upside Potential Ratio
    10.63420
  • Upside part of mean
    1.10746
  • Downside part of mean
    -0.80134
  • Upside SD
    0.12078
  • Downside SD
    0.10414
  • N nonnegative terms
    87.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08905
  • Mean of criterion
    0.30613
  • SD of predictor
    0.08882
  • SD of criterion
    0.15908
  • Covariance
    0.00161
  • r
    0.11376
  • b (slope, estimate of beta)
    0.20376
  • a (intercept, estimate of alpha)
    0.28798
  • Mean Square Error
    0.02513
  • DF error
    170.00000
  • t(b)
    1.49296
  • p(b)
    0.44312
  • t(a)
    1.28277
  • p(a)
    0.45104
  • Lowerbound of 95% confidence interval for beta
    -0.06565
  • Upperbound of 95% confidence interval for beta
    0.47317
  • Lowerbound of 95% confidence interval for alpha
    -0.15518
  • Upperbound of 95% confidence interval for alpha
    0.73115
  • Treynor index (mean / b)
    1.50241
  • Jensen alpha (a)
    0.28798
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29342
  • SD
    0.15895
  • Sharpe ratio (Glass type estimate)
    1.84597
  • Sharpe ratio (Hedges UMVUE)
    1.83786
  • df
    171.00000
  • t
    1.30530
  • p
    0.43687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61650
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.79192
  • Upside Potential Ratio
    10.46860
  • Upside part of mean
    1.10023
  • Downside part of mean
    -0.80680
  • Upside SD
    0.11968
  • Downside SD
    0.10510
  • N nonnegative terms
    87.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08511
  • Mean of criterion
    0.29342
  • SD of predictor
    0.08882
  • SD of criterion
    0.15895
  • Covariance
    0.00164
  • r
    0.11622
  • b (slope, estimate of beta)
    0.20798
  • a (intercept, estimate of alpha)
    0.27572
  • Mean Square Error
    0.02507
  • DF error
    170.00000
  • t(b)
    1.52564
  • p(b)
    0.44189
  • t(a)
    1.22966
  • p(a)
    0.45305
  • Lowerbound of 95% confidence interval for beta
    -0.06112
  • Upperbound of 95% confidence interval for beta
    0.47709
  • Lowerbound of 95% confidence interval for alpha
    -0.16691
  • Upperbound of 95% confidence interval for alpha
    0.71835
  • Treynor index (mean / b)
    1.41081
  • Jensen alpha (a)
    0.27572
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01316
  • Expected Shortfall on VaR
    0.01668
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00525
  • Expected Shortfall on VaR
    0.01102
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96559
  • Quartile 1
    0.99967
  • Median
    1.00006
  • Quartile 3
    1.00487
  • Maximum
    1.03011
  • Mean of quarter 1
    0.99076
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00190
  • Mean of quarter 4
    1.01104
  • Inter Quartile Range
    0.00520
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.13953
  • Mean of outliers low
    0.98669
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.08140
  • Mean of outliers high
    1.01920
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.55905
  • VaR(95%) (moments method)
    0.00402
  • Expected Shortfall (moments method)
    0.00420
  • Extreme Value Index (regression method)
    -0.28170
  • VaR(95%) (regression method)
    0.00757
  • Expected Shortfall (regression method)
    0.01015
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00936
  • Median
    0.03171
  • Quartile 3
    0.07446
  • Maximum
    0.08857
  • Mean of quarter 1
    0.00310
  • Mean of quarter 2
    0.01975
  • Mean of quarter 3
    0.04367
  • Mean of quarter 4
    0.08665
  • Inter Quartile Range
    0.06511
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.32759
  • Compounded annual return (geometric extrapolation)
    0.35442
  • Calmar ratio (compounded annual return / max draw down)
    4.00140
  • Compounded annual return / average of 25% largest draw downs
    4.09022
  • Compounded annual return / Expected Shortfall lognormal
    21.24930

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 back-tested 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 exchange-traded 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 end-users of the system.
Using these products, the strategy switches between “risk-on” (VXX) and “risk-off” (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 “long-only” stock strategies will be suffering some serious losses.
The trading system is implemented as a discretionary/semi-automated 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 6-months 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.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Statistics

Strategy began
2015-11-17
Minimum Capital Required
$25,000
# Trades
333
# Profitable
196
% Profitable
58.9%
Correlation S&P500
0.064
Sharpe Ratio
3.660

Latest

#PERSONNAME#
subscribed on #SUBSCRIBEDDATE#

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 under-or over-compensated 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 re-scaled downward to make current go-forward 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 per-trade 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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