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VIXTrader Professional
(106600099)

Created by: RobertPetersonAlgoin RobertPetersonAlgoin
Started: 10/2016
Stocks
Last trade: 3 days ago

Subscriptions not available

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 $199.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

29.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(26.2%)
Max Drawdown
277
Num Trades
46.2%
Win Trades
1.6 : 1
Profit Factor
65.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               (3.2%)+15.4%+4.5%+16.8%
2017+15.6%+1.8%+15.8%(2.5%)+11.1%+7.7%+11.5%(0.9%)+13.1%+10.2%+0.5%+13.6%+149.7%
2018(4.7%)+5.6%(10.2%)+14.5%+1.8%(6.5%)(14.4%)+12.6%(1%)(2%)(1.4%)+0.4%(8.8%)
2019+4.1%+1.0%(1.4%)+4.2%+3.4%+0.6%+2.1%+0.9%(2.4%)+2.8%+7.1%+1.8%+26.7%
2020(6.5%)+0.4%(4.5%)+5.7%(1.4%)+8.0%+5.1%+3.4%+1.0%(3.4%)+2.2%(2.6%)+6.2%
2021(4%)+1.9%+5.8%+5.1%(10.6%)(2.6%)+1.0%                              (4.3%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 1,289 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/8/21 11:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,286 29.68 7/16 15:08 29.94 1.41%
Trade id #136382876
Max drawdown($1,187)
Time7/8/21 15:50
Quant open1,176
Worst price32.32
Drawdown as % of equity-1.41%
($859)
Includes Typical Broker Commissions trade costs of $26.12
6/30/21 13:38 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,036 29.18 7/6 10:06 28.74 0.22%
Trade id #136272236
Max drawdown($182)
Time6/30/21 15:50
Quant open416
Worst price29.71
Drawdown as % of equity-0.22%
$433
Includes Typical Broker Commissions trade costs of $17.02
6/29/21 10:56 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 63 29.30 6/29 13:40 29.63 0.03%
Trade id #136251575
Max drawdown($21)
Time6/29/21 13:40
Quant open61
Worst price29.66
Drawdown as % of equity-0.03%
($21)
Includes Typical Broker Commissions trade costs of $1.26
6/16/21 10:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,709 30.94 6/29 10:56 31.56 7.6%
Trade id #136077785
Max drawdown($6,502)
Time6/18/21 0:00
Quant open1,693
Worst price34.88
Drawdown as % of equity-7.60%
($2,358)
Includes Typical Broker Commissions trade costs of $57.73
5/20/21 10:03 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 5,113 34.35 6/14 9:33 33.63 0.13%
Trade id #135700487
Max drawdown($110)
Time5/20/21 12:38
Quant open292
Worst price41.39
Drawdown as % of equity-0.13%
$3,619
Includes Typical Broker Commissions trade costs of $79.40
5/18/21 13:14 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,258 38.62 5/19 9:50 42.25 6.52%
Trade id #135668245
Max drawdown($6,025)
Time5/19/21 9:41
Quant open944
Worst price45.00
Drawdown as % of equity-6.52%
($8,228)
Includes Typical Broker Commissions trade costs of $15.01
5/17/21 14:32 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,251 38.76 5/18 13:14 38.70 0.26%
Trade id #135652395
Max drawdown($240)
Time5/17/21 14:46
Quant open267
Worst price41.24
Drawdown as % of equity-0.26%
$110
Includes Typical Broker Commissions trade costs of $16.73
5/13/21 10:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,841 41.36 5/17 13:33 40.16 1.27%
Trade id #135596938
Max drawdown($1,140)
Time5/13/21 13:38
Quant open725
Worst price45.68
Drawdown as % of equity-1.27%
$2,185
Includes Typical Broker Commissions trade costs of $29.30
5/5/21 11:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,987 38.65 5/11 10:30 40.38 4.39%
Trade id #135463203
Max drawdown($4,186)
Time5/11/21 9:30
Quant open2,043
Worst price40.70
Drawdown as % of equity-4.39%
($5,198)
Includes Typical Broker Commissions trade costs of $25.23
5/3/21 14:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,064 38.75 5/4 9:57 40.79 2.09%
Trade id #135426694
Max drawdown($2,031)
Time5/4/21 9:49
Quant open1,064
Worst price40.66
Drawdown as % of equity-2.09%
($2,183)
Includes Typical Broker Commissions trade costs of $12.66
4/23/21 9:36 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,118 39.92 4/30 11:30 39.37 0.26%
Trade id #135287017
Max drawdown($247)
Time4/23/21 9:47
Quant open571
Worst price41.58
Drawdown as % of equity-0.26%
$1,162
Includes Typical Broker Commissions trade costs of $13.60
4/20/21 15:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,029 41.15 4/23 9:35 41.00 0.02%
Trade id #135238010
Max drawdown($21)
Time4/23/21 9:35
Quant open-1,983
Worst price41.16
Drawdown as % of equity-0.02%
$427
Includes Typical Broker Commissions trade costs of $18.94
3/30/21 11:37 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 14,179 10.82 4/20 13:38 10.43 0.42%
Trade id #134930653
Max drawdown($378)
Time3/30/21 12:20
Quant open4,323
Worst price11.98
Drawdown as % of equity-0.42%
$5,459
Includes Typical Broker Commissions trade costs of $68.32
3/25/21 14:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,585 12.14 3/29 11:18 12.33 0.38%
Trade id #134867384
Max drawdown($345)
Time3/26/21 0:00
Quant open1,690
Worst price12.49
Drawdown as % of equity-0.38%
($510)
Includes Typical Broker Commissions trade costs of $31.65
3/24/21 11:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 4,722 12.00 3/24 15:57 12.57 2.75%
Trade id #134836663
Max drawdown($2,539)
Time3/24/21 15:31
Quant open4,722
Worst price12.54
Drawdown as % of equity-2.75%
($2,715)
Includes Typical Broker Commissions trade costs of $13.96
3/5/21 12:31 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 15,704 13.68 3/23 15:35 13.24 0.03%
Trade id #134452918
Max drawdown($28)
Time3/5/21 12:35
Quant open322
Worst price15.98
Drawdown as % of equity-0.03%
$6,763
Includes Typical Broker Commissions trade costs of $93.43
2/26/21 12:08 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,735 14.95 3/3 12:40 14.98 0.22%
Trade id #134312906
Max drawdown($188)
Time2/26/21 14:22
Quant open321
Worst price16.54
Drawdown as % of equity-0.22%
($112)
Includes Typical Broker Commissions trade costs of $30.70
2/16/21 12:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 8,942 15.37 2/25 12:32 15.43 0.87%
Trade id #134090038
Max drawdown($776)
Time2/18/21 0:00
Quant open2,204
Worst price16.22
Drawdown as % of equity-0.87%
($609)
Includes Typical Broker Commissions trade costs of $69.33
2/11/21 15:32 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,316 16.32 2/16 11:31 16.03 0.11%
Trade id #134018534
Max drawdown($96)
Time2/11/21 15:42
Quant open1,935
Worst price16.54
Drawdown as % of equity-0.11%
$925
Includes Typical Broker Commissions trade costs of $17.05
2/3/21 11:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,625 17.41 2/8 12:02 16.59 n/a $1,333
Includes Typical Broker Commissions trade costs of $12.25
1/19/21 12:53 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,698 16.38 1/22 10:39 16.64 0.59%
Trade id #133461090
Max drawdown($508)
Time1/22/21 10:37
Quant open1,698
Worst price16.68
Drawdown as % of equity-0.59%
($457)
Includes Typical Broker Commissions trade costs of $7.50
1/8/21 12:23 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 7,985 16.41 1/11 13:49 16.55 1.85%
Trade id #133277179
Max drawdown($1,616)
Time1/8/21 13:37
Quant open2,740
Worst price16.94
Drawdown as % of equity-1.85%
($1,158)
Includes Typical Broker Commissions trade costs of $57.66
1/6/21 10:41 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 417 16.70 1/6 14:38 17.19 0.28%
Trade id #133212317
Max drawdown($244)
Time1/6/21 14:38
Quant open417
Worst price17.29
Drawdown as % of equity-0.28%
($210)
Includes Typical Broker Commissions trade costs of $8.34
12/31/20 9:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,097 16.73 1/4/21 10:39 17.50 1.63%
Trade id #133108641
Max drawdown($1,454)
Time1/4/21 10:33
Quant open2,097
Worst price17.43
Drawdown as % of equity-1.63%
($1,612)
Includes Typical Broker Commissions trade costs of $11.60
12/22/20 13:41 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,983 17.59 12/29 11:16 16.97 0.06%
Trade id #132968219
Max drawdown($49)
Time12/22/20 15:31
Quant open383
Worst price18.30
Drawdown as % of equity-0.06%
$1,209
Includes Typical Broker Commissions trade costs of $11.33
12/16/20 9:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,854 17.45 12/21 10:03 18.96 3.26%
Trade id #132848352
Max drawdown($2,900)
Time12/21/20 10:03
Quant open1,854
Worst price19.02
Drawdown as % of equity-3.26%
($2,803)
Includes Typical Broker Commissions trade costs of $5.00
12/11/20 14:43 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,854 17.72 12/14 12:39 17.89 0.67%
Trade id #132772940
Max drawdown($609)
Time12/11/20 15:57
Quant open1,854
Worst price18.05
Drawdown as % of equity-0.67%
($309)
Includes Typical Broker Commissions trade costs of $5.00
12/9/20 13:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 650 17.06 12/9 13:34 17.09 0.02%
Trade id #132725964
Max drawdown($17)
Time12/9/20 13:34
Quant open650
Worst price17.09
Drawdown as % of equity-0.02%
($22)
Includes Typical Broker Commissions trade costs of $5.00
12/9/20 13:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,302 17.06 12/9 13:34 17.04 0.06%
Trade id #132725936
Max drawdown($56)
Time12/9/20 13:34
Quant open2,302
Worst price17.04
Drawdown as % of equity-0.06%
($61)
Includes Typical Broker Commissions trade costs of $5.00
12/7/20 15:41 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,878 17.19 12/9 13:33 17.04 0.5%
Trade id #132681267
Max drawdown($452)
Time12/8/20 0:00
Quant open2,878
Worst price17.34
Drawdown as % of equity-0.50%
$426
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    10/22/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1738.19
  • Age
    58 months ago
  • What it trades
    Stocks
  • # Trades
    277
  • # Profitable
    128
  • % Profitable
    46.20%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    26.23%
  • drawdown period
    April 23, 2021 - June 18, 2021
  • Annual Return (Compounded)
    29.4%
  • Avg win
    $1,696
  • Avg loss
    $939.83
  • Model Account Values (Raw)
  • Cash
    $147,811
  • Margin Used
    $88,390
  • Buying Power
    $60,645
  • Ratios
  • W:L ratio
    1.55:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.52
  • Calmar Ratio
    2.046
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    135.80%
  • Correlation to SP500
    0.20680
  • Return Percent SP500 (cumu) during strategy life
    106.16%
  • Return Statistics
  • Ann Return (w trading costs)
    29.4%
  • Slump
  • Current Slump as Pcnt Equity
    30.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Return Statistics
  • Return Pcnt Since TOS Status
    26.930%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.294%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    34.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.00%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    24.56%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    824
  • Popularity (Last 6 weeks)
    952
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    819
  • Popularity (7 days, Percentile 1000 scale)
    855
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $940
  • Avg Win
    $1,699
  • Sum Trade PL (losers)
    $140,035.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    58
  • Win / Loss
  • Sum Trade PL (winners)
    $217,444.000
  • # Winners
    128
  • Num Months Winners
    38
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    752462
  • Win / Loss
  • # Losers
    149
  • % Winners
    46.2%
  • Frequency
  • Avg Position Time (mins)
    5305.12
  • Avg Position Time (hrs)
    88.42
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.62
  • Daily leverage (max)
    2.44
  • Regression
  • Alpha
    0.06
  • Beta
    0.24
  • Treynor Index
    0.30
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.21
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.17
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.55
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.922
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.249
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.175
  • Hold-and-Hope Ratio
    0.349
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29707
  • SD
    0.20375
  • Sharpe ratio (Glass type estimate)
    1.45796
  • Sharpe ratio (Hedges UMVUE)
    1.43799
  • df
    55.00000
  • t
    3.14955
  • p
    0.00132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49174
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38423
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15349
  • Upside Potential Ratio
    4.71997
  • Upside part of mean
    0.44463
  • Downside part of mean
    -0.14757
  • Upside SD
    0.19813
  • Downside SD
    0.09420
  • N nonnegative terms
    36.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.13950
  • Mean of criterion
    0.29707
  • SD of predictor
    0.16469
  • SD of criterion
    0.20375
  • Covariance
    0.00660
  • r
    0.19680
  • b (slope, estimate of beta)
    0.24347
  • a (intercept, estimate of alpha)
    0.26310
  • Mean Square Error
    0.04065
  • DF error
    54.00000
  • t(b)
    1.47500
  • p(b)
    0.07301
  • t(a)
    2.73702
  • p(a)
    0.00419
  • Lowerbound of 95% confidence interval for beta
    -0.08747
  • Upperbound of 95% confidence interval for beta
    0.57441
  • Lowerbound of 95% confidence interval for alpha
    0.07038
  • Upperbound of 95% confidence interval for alpha
    0.45582
  • Treynor index (mean / b)
    1.22012
  • Jensen alpha (a)
    0.26310
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27350
  • SD
    0.19809
  • Sharpe ratio (Glass type estimate)
    1.38067
  • Sharpe ratio (Hedges UMVUE)
    1.36175
  • df
    55.00000
  • t
    2.98258
  • p
    0.00213
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43178
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30405
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.79324
  • Upside Potential Ratio
    4.34446
  • Upside part of mean
    0.42538
  • Downside part of mean
    -0.15189
  • Upside SD
    0.18758
  • Downside SD
    0.09791
  • N nonnegative terms
    36.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.12383
  • Mean of criterion
    0.27350
  • SD of predictor
    0.17748
  • SD of criterion
    0.19809
  • Covariance
    0.00701
  • r
    0.19941
  • b (slope, estimate of beta)
    0.22257
  • a (intercept, estimate of alpha)
    0.24594
  • Mean Square Error
    0.03838
  • DF error
    54.00000
  • t(b)
    1.49538
  • p(b)
    0.07032
  • t(a)
    2.65767
  • p(a)
    0.00516
  • Lowerbound of 95% confidence interval for beta
    -0.07583
  • Upperbound of 95% confidence interval for beta
    0.52097
  • Lowerbound of 95% confidence interval for alpha
    0.06041
  • Upperbound of 95% confidence interval for alpha
    0.43146
  • Treynor index (mean / b)
    1.22883
  • Jensen alpha (a)
    0.24594
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06879
  • Expected Shortfall on VaR
    0.09057
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02238
  • Expected Shortfall on VaR
    0.04791
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    56.00000
  • Minimum
    0.89077
  • Quartile 1
    0.98366
  • Median
    1.02206
  • Quartile 3
    1.06369
  • Maximum
    1.15599
  • Mean of quarter 1
    0.95593
  • Mean of quarter 2
    1.00837
  • Mean of quarter 3
    1.03940
  • Mean of quarter 4
    1.10464
  • Inter Quartile Range
    0.08003
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17841
  • VaR(95%) (moments method)
    0.04169
  • Expected Shortfall (moments method)
    0.06460
  • Extreme Value Index (regression method)
    0.23696
  • VaR(95%) (regression method)
    0.04789
  • Expected Shortfall (regression method)
    0.07899
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00464
  • Quartile 1
    0.02726
  • Median
    0.04765
  • Quartile 3
    0.09189
  • Maximum
    0.11553
  • Mean of quarter 1
    0.01751
  • Mean of quarter 2
    0.03246
  • Mean of quarter 3
    0.06951
  • Mean of quarter 4
    0.10375
  • Inter Quartile Range
    0.06464
  • 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)
    -0.79854
  • VaR(95%) (moments method)
    0.11270
  • Expected Shortfall (moments method)
    0.11647
  • Extreme Value Index (regression method)
    0.68624
  • VaR(95%) (regression method)
    0.11858
  • Expected Shortfall (regression method)
    0.19202
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66040
  • Compounded annual return (geometric extrapolation)
    0.35175
  • Calmar ratio (compounded annual return / max draw down)
    3.04480
  • Compounded annual return / average of 25% largest draw downs
    3.39038
  • Compounded annual return / Expected Shortfall lognormal
    3.88373
  • 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
    0.29172
  • SD
    0.19569
  • Sharpe ratio (Glass type estimate)
    1.49072
  • Sharpe ratio (Hedges UMVUE)
    1.48980
  • df
    1224.00000
  • t
    3.22339
  • p
    0.45413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39878
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39814
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30790
  • Upside Potential Ratio
    8.33945
  • Upside part of mean
    1.05412
  • Downside part of mean
    -0.76240
  • Upside SD
    0.15037
  • Downside SD
    0.12640
  • N nonnegative terms
    523.00000
  • N negative terms
    702.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1225.00000
  • Mean of predictor
    0.14552
  • Mean of criterion
    0.29172
  • SD of predictor
    0.19571
  • SD of criterion
    0.19569
  • Covariance
    0.00821
  • r
    0.21437
  • b (slope, estimate of beta)
    0.21434
  • a (intercept, estimate of alpha)
    0.26100
  • Mean Square Error
    0.03657
  • DF error
    1223.00000
  • t(b)
    7.67511
  • p(b)
    0.36458
  • t(a)
    2.94293
  • p(a)
    0.44668
  • Lowerbound of 95% confidence interval for beta
    0.15955
  • Upperbound of 95% confidence interval for beta
    0.26914
  • Lowerbound of 95% confidence interval for alpha
    0.08685
  • Upperbound of 95% confidence interval for alpha
    0.43421
  • Treynor index (mean / b)
    1.36099
  • Jensen alpha (a)
    0.26053
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27242
  • SD
    0.19566
  • Sharpe ratio (Glass type estimate)
    1.39232
  • Sharpe ratio (Hedges UMVUE)
    1.39147
  • df
    1224.00000
  • t
    3.01063
  • p
    0.45713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48397
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29957
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11131
  • Upside Potential Ratio
    8.08306
  • Upside part of mean
    1.04294
  • Downside part of mean
    -0.77052
  • Upside SD
    0.14794
  • Downside SD
    0.12903
  • N nonnegative terms
    523.00000
  • N negative terms
    702.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1225.00000
  • Mean of predictor
    0.12621
  • Mean of criterion
    0.27242
  • SD of predictor
    0.19679
  • SD of criterion
    0.19566
  • Covariance
    0.00823
  • r
    0.21371
  • b (slope, estimate of beta)
    0.21248
  • a (intercept, estimate of alpha)
    0.24560
  • Mean Square Error
    0.03656
  • DF error
    1223.00000
  • t(b)
    7.65057
  • p(b)
    0.36499
  • t(a)
    2.77514
  • p(a)
    0.44969
  • Lowerbound of 95% confidence interval for beta
    0.15799
  • Upperbound of 95% confidence interval for beta
    0.26697
  • Lowerbound of 95% confidence interval for alpha
    0.07197
  • Upperbound of 95% confidence interval for alpha
    0.41923
  • Treynor index (mean / b)
    1.28207
  • Jensen alpha (a)
    0.24560
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01867
  • Expected Shortfall on VaR
    0.02360
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00718
  • Expected Shortfall on VaR
    0.01527
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1225.00000
  • Minimum
    0.91642
  • Quartile 1
    0.99761
  • Median
    1.00000
  • Quartile 3
    1.00446
  • Maximum
    1.07200
  • Mean of quarter 1
    0.98928
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00140
  • Mean of quarter 4
    1.01489
  • Inter Quartile Range
    0.00685
  • Number outliers low
    67.00000
  • Percentage of outliers low
    0.05469
  • Mean of outliers low
    0.97366
  • Number of outliers high
    110.00000
  • Percentage of outliers high
    0.08980
  • Mean of outliers high
    1.02618
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41213
  • VaR(95%) (moments method)
    0.00884
  • Expected Shortfall (moments method)
    0.01817
  • Extreme Value Index (regression method)
    0.16006
  • VaR(95%) (regression method)
    0.00976
  • Expected Shortfall (regression method)
    0.01594
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00469
  • Median
    0.01096
  • Quartile 3
    0.04370
  • Maximum
    0.17122
  • Mean of quarter 1
    0.00235
  • Mean of quarter 2
    0.00793
  • Mean of quarter 3
    0.02386
  • Mean of quarter 4
    0.09106
  • Inter Quartile Range
    0.03901
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06154
  • Mean of outliers high
    0.13518
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.19096
  • VaR(95%) (moments method)
    0.09040
  • Expected Shortfall (moments method)
    0.09487
  • Extreme Value Index (regression method)
    -0.13901
  • VaR(95%) (regression method)
    0.08567
  • Expected Shortfall (regression method)
    0.10569
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65709
  • Compounded annual return (geometric extrapolation)
    0.35030
  • Calmar ratio (compounded annual return / max draw down)
    2.04591
  • Compounded annual return / average of 25% largest draw downs
    3.84692
  • Compounded annual return / Expected Shortfall lognormal
    14.84260
  • 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
    0.00090
  • SD
    0.18582
  • Sharpe ratio (Glass type estimate)
    0.00482
  • Sharpe ratio (Hedges UMVUE)
    0.00479
  • df
    130.00000
  • t
    0.00341
  • p
    0.49985
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77660
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00604
  • Upside Potential Ratio
    5.90225
  • Upside part of mean
    0.87438
  • Downside part of mean
    -0.87349
  • Upside SD
    0.11100
  • Downside SD
    0.14814
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26304
  • Mean of criterion
    0.00090
  • SD of predictor
    0.13597
  • SD of criterion
    0.18582
  • Covariance
    0.00884
  • r
    0.34967
  • b (slope, estimate of beta)
    0.47786
  • a (intercept, estimate of alpha)
    -0.12480
  • Mean Square Error
    0.03054
  • DF error
    129.00000
  • t(b)
    4.23907
  • p(b)
    0.28202
  • t(a)
    -0.50135
  • p(a)
    0.52807
  • Lowerbound of 95% confidence interval for beta
    0.25483
  • Upperbound of 95% confidence interval for beta
    0.70090
  • Lowerbound of 95% confidence interval for alpha
    -0.61732
  • Upperbound of 95% confidence interval for alpha
    0.36771
  • Treynor index (mean / b)
    0.00187
  • Jensen alpha (a)
    -0.12480
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01648
  • SD
    0.18780
  • Sharpe ratio (Glass type estimate)
    -0.08774
  • Sharpe ratio (Hedges UMVUE)
    -0.08724
  • df
    130.00000
  • t
    -0.06204
  • p
    0.50272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.85945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68420
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.85906
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68459
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10881
  • Upside Potential Ratio
    5.73318
  • Upside part of mean
    0.86821
  • Downside part of mean
    -0.88469
  • Upside SD
    0.10986
  • Downside SD
    0.15144
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25370
  • Mean of criterion
    -0.01648
  • SD of predictor
    0.13607
  • SD of criterion
    0.18780
  • Covariance
    0.00888
  • r
    0.34736
  • b (slope, estimate of beta)
    0.47943
  • a (intercept, estimate of alpha)
    -0.13811
  • Mean Square Error
    0.03125
  • DF error
    129.00000
  • t(b)
    4.20729
  • p(b)
    0.28339
  • t(a)
    -0.54875
  • p(a)
    0.53071
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.25397
  • Upperbound of 95% confidence interval for beta
    0.70489
  • Lowerbound of 95% confidence interval for alpha
    -0.63607
  • Upperbound of 95% confidence interval for alpha
    0.35985
  • Treynor index (mean / b)
    -0.03437
  • Jensen alpha (a)
    -0.13811
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01897
  • Expected Shortfall on VaR
    0.02370
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00738
  • Expected Shortfall on VaR
    0.01613
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93831
  • Quartile 1
    0.99767
  • Median
    1.00019
  • Quartile 3
    1.00501
  • Maximum
    1.03413
  • Mean of quarter 1
    0.98776
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00207
  • Mean of quarter 4
    1.01144
  • Inter Quartile Range
    0.00734
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97122
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02481
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46996
  • VaR(95%) (moments method)
    0.00959
  • Expected Shortfall (moments method)
    0.02180
  • Extreme Value Index (regression method)
    0.30032
  • VaR(95%) (regression method)
    0.01240
  • Expected Shortfall (regression method)
    0.02365
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00311
  • Median
    0.00962
  • Quartile 3
    0.02783
  • Maximum
    0.13578
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00738
  • Mean of quarter 3
    0.01557
  • Mean of quarter 4
    0.06873
  • Inter Quartile Range
    0.02472
  • 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
    0.10000
  • Mean of outliers high
    0.13578
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29365
  • VaR(95%) (moments method)
    0.07641
  • Expected Shortfall (moments method)
    0.13407
  • Extreme Value Index (regression method)
    2.20138
  • VaR(95%) (regression method)
    0.18773
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -299766000
  • Max Equity Drawdown (num days)
    56
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01146
  • Compounded annual return (geometric extrapolation)
    0.01149
  • Calmar ratio (compounded annual return / max draw down)
    0.08465
  • Compounded annual return / average of 25% largest draw downs
    0.16722
  • Compounded annual return / Expected Shortfall lognormal
    0.48496

Strategy Description

Algorithmic volatility strategy for professional investors.
For full details please email to:
Robert Peterson
robertpeterson.p@gmail.com





Summary Statistics

Strategy began
2016-10-22
Suggested Minimum Capital
$35,000
Rank at C2 
#135
# Trades
277
# Profitable
128
% Profitable
46.2%
Correlation S&P500
0.207
Sharpe Ratio
0.98
Sortino Ratio
1.52
Beta
0.24
Alpha
0.06
Leverage
0.62 Average
2.44 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #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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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.