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VIX DayTrader 1

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

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

73.1%
Annual Return (Compounded)
17.0%
Max Drawdown
364
Num Trades
59.3%
Win Trades
1.5 : 1
Profit Factor
64.7%
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(5.7%)+1.9%(2.8%)                                                      (6.6%)

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 1,110 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
3/27/17 9:39 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,000 17.36 3/27 15:26 16.48 n/a ($889)
Includes Typical Commission and AutoTrade Fees trade costs of $15.00
3/24/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 900 16.83 3/24 15:27 17.15 1.2%
Trade id #110419350
Max drawdown($338)
Time3/24/17 10:58
Quant open900
Worst price16.45
Drawdown as % of equity-1.20%
$277
Includes Typical Commission and AutoTrade Fees trade costs of $18.00
3/23/17 9:31 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,400 16.65 3/23 15:45 16.92 1.86%
Trade id #110398513
Max drawdown($518)
Time3/23/17 11:40
Quant open1,400
Worst price16.28
Drawdown as % of equity-1.86%
$351
Includes Typical Commission and AutoTrade Fees trade costs of $28.00
3/21/17 9:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 74.93 3/21 11:17 72.12 2.48%
Trade id #110351831
Max drawdown($701)
Time3/21/17 11:17
Quant open125
Worst price71.42
Drawdown as % of equity-2.48%
($706)
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/20/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 73.62 3/20 15:43 74.25 0.1%
Trade id #110328669
Max drawdown($28)
Time3/20/17 14:51
Quant open125
Worst price73.39
Drawdown as % of equity-0.10%
$152
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/17/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 73.44 3/17 15:48 73.59 0.33%
Trade id #110301055
Max drawdown($93)
Time3/17/17 10:25
Quant open250
Worst price73.07
Drawdown as % of equity-0.33%
$31
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/16/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 71.79 3/16 15:45 72.59 0.27%
Trade id #110272469
Max drawdown($77)
Time3/16/17 10:23
Quant open250
Worst price71.48
Drawdown as % of equity-0.27%
$195
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/14/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 69.63 3/14 15:39 68.92 1.31%
Trade id #110216977
Max drawdown($372)
Time3/14/17 10:32
Quant open250
Worst price68.14
Drawdown as % of equity-1.31%
($183)
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/13/17 10:13 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 69.08 3/13 15:44 69.82 0.17%
Trade id #110195606
Max drawdown($49)
Time3/13/17 10:24
Quant open250
Worst price68.88
Drawdown as % of equity-0.17%
$181
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/10/17 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 67.80 3/10 12:44 67.93 0.05%
Trade id #110169316
Max drawdown($15)
Time3/10/17 9:48
Quant open125
Worst price67.60
Drawdown as % of equity-0.05%
$28
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/9/17 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 67.79 3/9 15:44 67.42 1.19%
Trade id #110133485
Max drawdown($336)
Time3/9/17 14:17
Quant open250
Worst price66.44
Drawdown as % of equity-1.19%
($96)
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/8/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 68.30 3/8 15:52 67.29 0.88%
Trade id #110104508
Max drawdown($251)
Time3/8/17 15:52
Quant open125
Worst price67.19
Drawdown as % of equity-0.88%
($256)
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/7/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 67.49 3/7 15:44 68.27 0.43%
Trade id #110074522
Max drawdown($121)
Time3/7/17 9:51
Quant open250
Worst price67.00
Drawdown as % of equity-0.43%
$190
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/6/17 9:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 66.76 3/6 15:43 67.75 0.28%
Trade id #110046458
Max drawdown($80)
Time3/6/17 11:39
Quant open200
Worst price66.36
Drawdown as % of equity-0.28%
$193
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
3/3/17 10:10 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 65.94 3/3 15:41 66.51 0.24%
Trade id #110018805
Max drawdown($68)
Time3/3/17 10:34
Quant open100
Worst price65.44
Drawdown as % of equity-0.24%
$110
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
3/2/17 9:37 XIV VELOCITYSHARES DAILY INVERSE V LONG 100 64.37 3/2 15:42 64.50 0.07%
Trade id #109985306
Max drawdown($18)
Time3/2/17 9:41
Quant open100
Worst price64.18
Drawdown as % of equity-0.07%
$11
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/28/17 10:00 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 64.33 2/28 15:48 63.50 0.94%
Trade id #109906607
Max drawdown($266)
Time2/28/17 12:27
Quant open200
Worst price63.00
Drawdown as % of equity-0.94%
($170)
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
2/27/17 9:36 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 64.44 2/27 15:45 65.05 0.32%
Trade id #109869597
Max drawdown($88)
Time2/27/17 9:43
Quant open150
Worst price64.10
Drawdown as % of equity-0.32%
$178
Includes Typical Commission and AutoTrade Fees trade costs of $6.00
2/24/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 61.64 2/24 15:39 64.49 0.45%
Trade id #109827926
Max drawdown($124)
Time2/24/17 9:36
Quant open300
Worst price61.23
Drawdown as % of equity-0.45%
$849
Includes Typical Commission and AutoTrade Fees trade costs of $6.00
2/23/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 65.39 2/23 15:44 63.34 2.25%
Trade id #109781865
Max drawdown($616)
Time2/23/17 15:44
Quant open150
Worst price63.76
Drawdown as % of equity-2.25%
($622)
Includes Typical Commission and AutoTrade Fees trade costs of $6.00
2/22/17 10:10 XIV VELOCITYSHARES DAILY INVERSE V LONG 100 64.99 2/22 13:45 65.63 0.19%
Trade id #109745752
Max drawdown($51)
Time2/22/17 11:39
Quant open100
Worst price64.47
Drawdown as % of equity-0.19%
$62
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/17/17 10:22 VXX IPATH S&P 500 VIX ST FUTURES E LONG 600 17.79 2/17 15:45 17.54 0.7%
Trade id #109636381
Max drawdown($194)
Time2/17/17 13:36
Quant open600
Worst price17.47
Drawdown as % of equity-0.70%
($162)
Includes Typical Commission and AutoTrade Fees trade costs of $12.00
2/15/17 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 69.77 2/15 15:48 67.58 1.65%
Trade id #109559360
Max drawdown($464)
Time2/15/17 11:15
Quant open200
Worst price67.45
Drawdown as % of equity-1.65%
($443)
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
2/14/17 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 66.95 2/14 15:44 69.33 0.1%
Trade id #109525606
Max drawdown($27)
Time2/14/17 9:46
Quant open200
Worst price66.82
Drawdown as % of equity-0.10%
$471
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
2/10/17 9:55 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 64.50 2/10 15:42 64.96 0.1%
Trade id #109462007
Max drawdown($27)
Time2/10/17 10:18
Quant open200
Worst price64.36
Drawdown as % of equity-0.10%
$88
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
2/8/17 10:21 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 61.75 2/8 15:33 62.60 0.09%
Trade id #109388772
Max drawdown($24)
Time2/8/17 10:42
Quant open200
Worst price61.62
Drawdown as % of equity-0.09%
$167
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
2/6/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 61.94 2/6 15:41 62.63 0.17%
Trade id #109305411
Max drawdown($46)
Time2/6/17 9:34
Quant open250
Worst price61.75
Drawdown as % of equity-0.17%
$170
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
2/2/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 61.38 2/2 15:48 61.42 0.54%
Trade id #109232549
Max drawdown($149)
Time2/2/17 14:52
Quant open250
Worst price60.78
Drawdown as % of equity-0.54%
$4
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
2/1/17 10:07 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 62.11 2/1 15:51 62.17 0.77%
Trade id #109204090
Max drawdown($210)
Time2/1/17 11:51
Quant open200
Worst price61.06
Drawdown as % of equity-0.77%
$7
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
1/31/17 9:51 VXX IPATH S&P 500 VIX ST FUTURES E LONG 400 19.68 1/31 15:54 19.45 0.35%
Trade id #109169899
Max drawdown($97)
Time1/31/17 15:42
Quant open400
Worst price19.44
Drawdown as % of equity-0.35%
($101)
Includes Typical Commission and AutoTrade Fees trade costs of $8.00

Statistics

  • Strategy began
    11/17/2015
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    496.87
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    364
  • # Profitable
    216
  • % Profitable
    59.30%
  • Avg trade duration
    5.5 hours
  • Max peak-to-valley drawdown
    16.96%
  • drawdown period
    Dec 07, 2016 - Feb 23, 2017
  • Annual Return (Compounded)
    73.1%
  • Avg win
    $242.58
  • Avg loss
    $233.24
  • Model Account Values (Raw)
  • Cash
    $27,874
  • Margin Used
    $0
  • Buying Power
    $27,874
  • Ratios
  • W:L ratio
    1.52:1
  • Sharpe Ratio
    3.387
  • Sortino Ratio
    6.369
  • Calmar Ratio
    10.1
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05700
  • Return Statistics
  • Ann Return (w trading costs)
    73.1%
  • Ann Return (Compnd, No Fees)
    112.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    982
  • Popularity (Last 6 weeks)
    992
  • C2 Score
    92.4
  • 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
    $233
  • Avg Win
    $243
  • # Winners
    216
  • # Losers
    148
  • % Winners
    59.3%
  • Frequency
  • Avg Position Time (mins)
    328.82
  • Avg Position Time (hrs)
    5.48
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84870
  • SD
    0.34426
  • Sharpe ratio (Glass type estimate)
    2.46531
  • Sharpe ratio (Hedges UMVUE)
    2.33960
  • df
    15.00000
  • t
    2.84670
  • p
    0.14634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34245
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44698
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23221
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.59880
  • Upside Potential Ratio
    14.31360
  • Upside part of mean
    0.96422
  • Downside part of mean
    -0.11552
  • Upside SD
    0.40816
  • Downside SD
    0.06736
  • N nonnegative terms
    12.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.10483
  • Mean of criterion
    0.84870
  • SD of predictor
    0.10835
  • SD of criterion
    0.34426
  • Covariance
    -0.00012
  • r
    -0.00328
  • b (slope, estimate of beta)
    -0.01043
  • a (intercept, estimate of alpha)
    0.84980
  • Mean Square Error
    0.12698
  • DF error
    14.00000
  • t(b)
    -0.01228
  • p(b)
    0.50164
  • t(a)
    2.64585
  • p(a)
    0.21132
  • Lowerbound of 95% confidence interval for beta
    -1.83162
  • Upperbound of 95% confidence interval for beta
    1.81076
  • Lowerbound of 95% confidence interval for alpha
    0.16093
  • Upperbound of 95% confidence interval for alpha
    1.53866
  • Treynor index (mean / b)
    -81.39240
  • Jensen alpha (a)
    0.84980
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77399
  • SD
    0.30667
  • Sharpe ratio (Glass type estimate)
    2.52386
  • Sharpe ratio (Hedges UMVUE)
    2.39516
  • df
    15.00000
  • t
    2.91430
  • p
    0.14174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.29665
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.26740
  • Upside Potential Ratio
    12.98150
  • Upside part of mean
    0.89173
  • Downside part of mean
    -0.11775
  • Upside SD
    0.36520
  • Downside SD
    0.06869
  • N nonnegative terms
    12.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.09884
  • Mean of criterion
    0.77399
  • SD of predictor
    0.10816
  • SD of criterion
    0.30667
  • Covariance
    0.00087
  • r
    0.02629
  • b (slope, estimate of beta)
    0.07454
  • a (intercept, estimate of alpha)
    0.76662
  • Mean Square Error
    0.10069
  • DF error
    14.00000
  • t(b)
    0.09840
  • p(b)
    0.48685
  • t(a)
    2.69154
  • p(a)
    0.20802
  • Lowerbound of 95% confidence interval for beta
    -1.55017
  • Upperbound of 95% confidence interval for beta
    1.69926
  • Lowerbound of 95% confidence interval for alpha
    0.15573
  • Upperbound of 95% confidence interval for alpha
    1.37751
  • Treynor index (mean / b)
    10.38300
  • Jensen alpha (a)
    0.76662
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07791
  • Expected Shortfall on VaR
    0.11093
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01363
  • Expected Shortfall on VaR
    0.03021
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.95494
  • Quartile 1
    0.99860
  • Median
    1.08243
  • Quartile 3
    1.10667
  • Maximum
    1.36120
  • Mean of quarter 1
    0.96232
  • Mean of quarter 2
    1.04479
  • Mean of quarter 3
    1.09790
  • Mean of quarter 4
    1.18120
  • Inter Quartile Range
    0.10807
  • 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
    0.06250
  • Mean of outliers high
    1.36120
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.56113
  • VaR(95%) (moments method)
    0.04192
  • Expected Shortfall (moments method)
    0.04289
  • Extreme Value Index (regression method)
    -0.74994
  • VaR(95%) (regression method)
    0.04452
  • Expected Shortfall (regression method)
    0.04716
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03100
  • Quartile 1
    0.03576
  • Median
    0.04052
  • Quartile 3
    0.05908
  • Maximum
    0.07765
  • Mean of quarter 1
    0.03100
  • Mean of quarter 2
    0.04052
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07765
  • Inter Quartile Range
    0.02332
  • 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)
    1.38307
  • Compounded annual return (geometric extrapolation)
    1.19007
  • Calmar ratio (compounded annual return / max draw down)
    15.32650
  • Compounded annual return / average of 25% largest draw downs
    15.32650
  • Compounded annual return / Expected Shortfall lognormal
    10.72850
  • 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
    0.74911
  • SD
    0.21570
  • Sharpe ratio (Glass type estimate)
    3.47298
  • Sharpe ratio (Hedges UMVUE)
    3.46762
  • df
    486.00000
  • t
    4.13226
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.80958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.13292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.12924
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.65174
  • Upside Potential Ratio
    14.19970
  • Upside part of mean
    1.59915
  • Downside part of mean
    -0.85004
  • Upside SD
    0.18809
  • Downside SD
    0.11262
  • N nonnegative terms
    235.00000
  • N negative terms
    252.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    487.00000
  • Mean of predictor
    0.09158
  • Mean of criterion
    0.74911
  • SD of predictor
    0.12213
  • SD of criterion
    0.21570
  • Covariance
    0.00213
  • r
    0.08093
  • b (slope, estimate of beta)
    0.14293
  • a (intercept, estimate of alpha)
    0.73600
  • Mean Square Error
    0.04632
  • DF error
    485.00000
  • t(b)
    1.78819
  • p(b)
    0.03718
  • t(a)
    4.06589
  • p(a)
    0.00003
  • Lowerbound of 95% confidence interval for beta
    -0.01412
  • Upperbound of 95% confidence interval for beta
    0.29999
  • Lowerbound of 95% confidence interval for alpha
    0.38033
  • Upperbound of 95% confidence interval for alpha
    1.09171
  • Treynor index (mean / b)
    5.24097
  • Jensen alpha (a)
    0.73602
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72536
  • SD
    0.21384
  • Sharpe ratio (Glass type estimate)
    3.39214
  • Sharpe ratio (Hedges UMVUE)
    3.38690
  • df
    486.00000
  • t
    4.03607
  • p
    0.00003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.72948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72594
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04787
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.36945
  • Upside Potential Ratio
    13.89000
  • Upside part of mean
    1.58181
  • Downside part of mean
    -0.85645
  • Upside SD
    0.18491
  • Downside SD
    0.11388
  • N nonnegative terms
    235.00000
  • N negative terms
    252.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    487.00000
  • Mean of predictor
    0.08411
  • Mean of criterion
    0.72536
  • SD of predictor
    0.12225
  • SD of criterion
    0.21384
  • Covariance
    0.00209
  • r
    0.07984
  • b (slope, estimate of beta)
    0.13966
  • a (intercept, estimate of alpha)
    0.71362
  • Mean Square Error
    0.04553
  • DF error
    485.00000
  • t(b)
    1.76396
  • p(b)
    0.03918
  • t(a)
    3.97659
  • p(a)
    0.00004
  • Lowerbound of 95% confidence interval for beta
    -0.01591
  • Upperbound of 95% confidence interval for beta
    0.29522
  • Lowerbound of 95% confidence interval for alpha
    0.36101
  • Upperbound of 95% confidence interval for alpha
    1.06622
  • Treynor index (mean / b)
    5.19395
  • Jensen alpha (a)
    0.71362
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01671
  • Expected Shortfall on VaR
    0.02143
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00573
  • Expected Shortfall on VaR
    0.01204
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    487.00000
  • Minimum
    0.95512
  • Quartile 1
    0.99825
  • Median
    1.00000
  • Quartile 3
    1.00547
  • Maximum
    1.06990
  • Mean of quarter 1
    0.99037
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00218
  • Mean of quarter 4
    1.01645
  • Inter Quartile Range
    0.00722
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.05749
  • Mean of outliers low
    0.97994
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.09035
  • Mean of outliers high
    1.02813
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17561
  • VaR(95%) (moments method)
    0.00605
  • Expected Shortfall (moments method)
    0.00800
  • Extreme Value Index (regression method)
    0.00421
  • VaR(95%) (regression method)
    0.00892
  • Expected Shortfall (regression method)
    0.01339
  • 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
    0.08159
  • 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
    2.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    0.10402
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.89019
  • VaR(95%) (moments method)
    0.08450
  • Expected Shortfall (moments method)
    0.09083
  • Extreme Value Index (regression method)
    -0.84996
  • VaR(95%) (regression method)
    0.08813
  • Expected Shortfall (regression method)
    0.09455
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.29406
  • Compounded annual return (geometric extrapolation)
    1.08614
  • Calmar ratio (compounded annual return / max draw down)
    10.10040
  • Compounded annual return / average of 25% largest draw downs
    13.31240
  • Compounded annual return / Expected Shortfall lognormal
    50.68090
  • 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
    0.27972
  • SD
    0.12890
  • Sharpe ratio (Glass type estimate)
    2.17000
  • Sharpe ratio (Hedges UMVUE)
    2.16047
  • df
    171.00000
  • t
    1.53442
  • p
    0.42598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94827
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.94172
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51539
  • Upside Potential Ratio
    11.68320
  • Upside part of mean
    0.92962
  • Downside part of mean
    -0.64991
  • Upside SD
    0.10206
  • Downside SD
    0.07957
  • N nonnegative terms
    83.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.16397
  • Mean of criterion
    0.27972
  • SD of predictor
    0.07527
  • SD of criterion
    0.12890
  • Covariance
    -0.00078
  • r
    -0.08075
  • b (slope, estimate of beta)
    -0.13829
  • a (intercept, estimate of alpha)
    0.30239
  • Mean Square Error
    0.01660
  • DF error
    170.00000
  • t(b)
    -1.05634
  • p(b)
    0.54038
  • t(a)
    1.64798
  • p(a)
    0.43730
  • Lowerbound of 95% confidence interval for beta
    -0.39672
  • Upperbound of 95% confidence interval for beta
    0.12014
  • Lowerbound of 95% confidence interval for alpha
    -0.05982
  • Upperbound of 95% confidence interval for alpha
    0.66461
  • Treynor index (mean / b)
    -2.02267
  • Jensen alpha (a)
    0.30239
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27137
  • SD
    0.12859
  • Sharpe ratio (Glass type estimate)
    2.11036
  • Sharpe ratio (Hedges UMVUE)
    2.10109
  • df
    171.00000
  • t
    1.49225
  • p
    0.42797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.88811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88183
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39122
  • Upside Potential Ratio
    11.55260
  • Upside part of mean
    0.92444
  • Downside part of mean
    -0.65308
  • Upside SD
    0.10124
  • Downside SD
    0.08002
  • N nonnegative terms
    83.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.16112
  • Mean of criterion
    0.27137
  • SD of predictor
    0.07507
  • SD of criterion
    0.12859
  • Covariance
    -0.00076
  • r
    -0.07872
  • b (slope, estimate of beta)
    -0.13483
  • a (intercept, estimate of alpha)
    0.29309
  • Mean Square Error
    0.01653
  • DF error
    170.00000
  • t(b)
    -1.02955
  • p(b)
    0.53936
  • t(a)
    1.60125
  • p(a)
    0.43905
  • Lowerbound of 95% confidence interval for beta
    -0.39335
  • Upperbound of 95% confidence interval for beta
    0.12369
  • Lowerbound of 95% confidence interval for alpha
    -0.06823
  • Upperbound of 95% confidence interval for alpha
    0.65442
  • Treynor index (mean / b)
    -2.01264
  • Jensen alpha (a)
    0.29309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01056
  • Expected Shortfall on VaR
    0.01342
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00441
  • Expected Shortfall on VaR
    0.00900
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.98431
  • Quartile 1
    0.99896
  • Median
    1.00000
  • Quartile 3
    1.00382
  • Maximum
    1.03011
  • Mean of quarter 1
    0.99257
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00149
  • Mean of quarter 4
    1.00938
  • Inter Quartile Range
    0.00487
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.10465
  • Mean of outliers low
    0.98833
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.06977
  • Mean of outliers high
    1.01656
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.44317
  • VaR(95%) (moments method)
    0.00449
  • Expected Shortfall (moments method)
    0.00548
  • Extreme Value Index (regression method)
    -0.52277
  • VaR(95%) (regression method)
    0.00739
  • Expected Shortfall (regression method)
    0.00899
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00558
  • Quartile 1
    0.00605
  • Median
    0.01315
  • Quartile 3
    0.02260
  • Maximum
    0.10051
  • Mean of quarter 1
    0.00574
  • Mean of quarter 2
    0.00654
  • Mean of quarter 3
    0.01975
  • Mean of quarter 4
    0.06203
  • Inter Quartile Range
    0.01655
  • 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
    0.16667
  • Mean of outliers high
    0.10051
  • 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)
    0.30206
  • Compounded annual return (geometric extrapolation)
    0.32488
  • Calmar ratio (compounded annual return / max draw down)
    3.23235
  • Compounded annual return / average of 25% largest draw downs
    5.23734
  • Compounded annual return / Expected Shortfall lognormal
    24.21220

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
364
# Profitable
216
% Profitable
59.3%
Correlation S&P500
0.057
Sharpe Ratio
3.387

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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