Quant Models Volatility
(109610406)
Subscription terms. Subscriptions to this system cost $77.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2017  (6.9%)  +467.3%  +154.0%  +7.8%    +7.0%  (15.1%)  +3.2%  +2.1%  (6.5%)  +10.3%  +1325.4%  
2018      (2.2%)  (0.3%)  (1.8%)  (1.5%)  (5.8%) 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $2,160  
Buy Power  $31,679  
Cash  $1  
Equity  $1  
Cumulative $  $29,519  
Total System Equity  $31,679  
Margined  $1  
Open P/L  $0  
Data has been delayed by 10 hours for nonsubscribers 
System developer has asked us to delay this information by 10 hours.
Trading Record
Statistics

Strategy began2/16/2017

Suggested Minimum Cap$30,000

Strategy Age (days)488.51

Age16 months ago

What it tradesStocks, Options

# Trades110

# Profitable58

% Profitable52.70%

Avg trade duration6.4 days

Max peaktovalley drawdown23.9%

drawdown periodJuly 26, 2017  Dec 01, 2017

Annual Return (Compounded)588.6%

Avg win$857.34

Avg loss$388.60
 Model Account Values (Raw)

Cash$31,679

Margin Used$0

Buying Power$31,679
 Ratios

W:L ratio2.46:1

Sharpe Ratio2.966

Sortino Ratio15.131

Calmar Ratio34.123
 CORRELATION STATISTICS

Correlation to SP5000.05500
 Return Statistics

Ann Return (w trading costs)588.6%

Ann Return (Compnd, No Fees)640.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss9.50%

Chance of 20% account loss1.00%

Chance of 30% account loss0.50%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)866

Popularity (Last 6 weeks)956

C2 Score97.5
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$389

Avg Win$857

# Winners58

# Losers52

% Winners52.7%
 Frequency

Avg Position Time (mins)9243.87

Avg Position Time (hrs)154.06

Avg Trade Length6.4 days

Last Trade Ago1
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean8.12057

SD8.74440

Sharpe ratio (Glass type estimate)0.92866

Sharpe ratio (Hedges UMVUE)0.87785

df14.00000

t1.03827

p0.36631

Lowerbound of 95% confidence interval for Sharpe Ratio0.87298

Upperbound of 95% confidence interval for Sharpe Ratio2.69870

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90509

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.66079
 Statistics related to Sortino ratio

Sortino ratio50.99940

Upside Potential Ratio52.69770

Upside part of mean8.39100

Downside part of mean0.27043

Upside SD8.76567

Downside SD0.15923

N nonnegative terms9.00000

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

N of observations15.00000

Mean of predictor0.09776

Mean of criterion8.12057

SD of predictor0.10237

SD of criterion8.74440

Covariance0.20097

r0.22449

b (slope, estimate of beta)19.17510

a (intercept, estimate of alpha)9.99521

Mean Square Error78.19660

DF error13.00000

t(b)0.83061

p(b)0.64171

t(a)1.21522

p(a)0.30018

Lowerbound of 95% confidence interval for beta69.04820

Upperbound of 95% confidence interval for beta30.69800

Lowerbound of 95% confidence interval for alpha7.77387

Upperbound of 95% confidence interval for alpha27.76430

Treynor index (mean / b)0.42350

Jensen alpha (a)9.99521
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean2.13474

SD2.13094

Sharpe ratio (Glass type estimate)1.00178

Sharpe ratio (Hedges UMVUE)0.94697

df14.00000

t1.12003

p0.35662

Lowerbound of 95% confidence interval for Sharpe Ratio0.80636

Upperbound of 95% confidence interval for Sharpe Ratio2.77603

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.84082

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.73476
 Statistics related to Sortino ratio

Sortino ratio12.73970

Upside Potential Ratio14.43070

Upside part of mean2.41809

Downside part of mean0.28335

Upside SD2.14240

Downside SD0.16757

N nonnegative terms9.00000

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

N of observations15.00000

Mean of predictor0.09229

Mean of criterion2.13474

SD of predictor0.10227

SD of criterion2.13094

Covariance0.03891

r0.17856

b (slope, estimate of beta)3.72040

a (intercept, estimate of alpha)2.47810

Mean Square Error4.73431

DF error13.00000

t(b)0.65431

p(b)0.61307

t(a)1.22943

p(a)0.29816

Lowerbound of 95% confidence interval for beta16.00420

Upperbound of 95% confidence interval for beta8.56339

Lowerbound of 95% confidence interval for alpha1.87644

Upperbound of 95% confidence interval for alpha6.83265

Treynor index (mean / b)0.57379

Jensen alpha (a)2.47810
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.56566

Expected Shortfall on VaR0.65613
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04494

Expected Shortfall on VaR0.09081
 ORDER STATISTICS
 Quartiles of return rates

Number of observations15.00000

Minimum0.89343

Quartile 10.98814

Median1.02668

Quartile 31.07989

Maximum10.79720

Mean of quarter 10.92226

Mean of quarter 21.00798

Mean of quarter 31.06825

Mean of quarter 43.56499

Inter Quartile Range0.09175

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.13333

Mean of outliers high6.03816
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)203.52900

VaR(95%) (moments method)0.03955

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)4.90818

VaR(95%) (regression method)0.21629

Expected Shortfall (regression method)0.21636
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.08583

Quartile 10.09863

Median0.11143

Quartile 30.12424

Maximum0.13704

Mean of quarter 10.08583

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.13704

Inter Quartile Range0.02561

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)11.14320

Compounded annual return (geometric extrapolation)7.69412

Calmar ratio (compounded annual return / max draw down)56.14570

Compounded annual return / average of 25% largest draw downs56.14570

Compounded annual return / Expected Shortfall lognormal11.72640

0.00000

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

Mean2.25029

SD0.75704

Sharpe ratio (Glass type estimate)2.97247

Sharpe ratio (Hedges UMVUE)2.96602

df346.00000

t3.42083

p0.00035

Lowerbound of 95% confidence interval for Sharpe Ratio1.25299

Upperbound of 95% confidence interval for Sharpe Ratio4.68777

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.24867

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.68337
 Statistics related to Sortino ratio

Sortino ratio15.13150

Upside Potential Ratio20.99520

Upside part of mean3.12232

Downside part of mean0.87203

Upside SD0.75411

Downside SD0.14872

N nonnegative terms149.00000

N negative terms198.00000
 Statistics related to linear regression on benchmark

N of observations347.00000

Mean of predictor0.10156

Mean of criterion2.25029

SD of predictor0.11315

SD of criterion0.75704

Covariance0.00407

r0.04750

b (slope, estimate of beta)0.31784

a (intercept, estimate of alpha)2.21800

Mean Square Error0.57348

DF error345.00000

t(b)0.88336

p(b)0.18883

t(a)3.36550

p(a)0.00043

Lowerbound of 95% confidence interval for beta0.38985

Upperbound of 95% confidence interval for beta1.02552

Lowerbound of 95% confidence interval for alpha0.92176

Upperbound of 95% confidence interval for alpha3.51426

Treynor index (mean / b)7.08000

Jensen alpha (a)2.21801
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean2.00439

SD0.66010

Sharpe ratio (Glass type estimate)3.03650

Sharpe ratio (Hedges UMVUE)3.02992

df346.00000

t3.49452

p0.00027

Lowerbound of 95% confidence interval for Sharpe Ratio1.31635

Upperbound of 95% confidence interval for Sharpe Ratio4.75243

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.31195

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.74789
 Statistics related to Sortino ratio

Sortino ratio13.19260

Upside Potential Ratio19.00650

Upside part of mean2.88771

Downside part of mean0.88332

Upside SD0.65324

Downside SD0.15193

N nonnegative terms149.00000

N negative terms198.00000
 Statistics related to linear regression on benchmark

N of observations347.00000

Mean of predictor0.09511

Mean of criterion2.00439

SD of predictor0.11362

SD of criterion0.66010

Covariance0.00448

r0.05978

b (slope, estimate of beta)0.34730

a (intercept, estimate of alpha)1.97136

Mean Square Error0.43543

DF error345.00000

t(b)1.11238

p(b)0.13337

t(a)3.43351

p(a)0.00033

Lowerbound of 95% confidence interval for beta0.26678

Upperbound of 95% confidence interval for beta0.96139

Lowerbound of 95% confidence interval for alpha0.84208

Upperbound of 95% confidence interval for alpha3.10064

Treynor index (mean / b)5.77130

Jensen alpha (a)1.97136
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05770

Expected Shortfall on VaR0.07351
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00817

Expected Shortfall on VaR0.01753
 ORDER STATISTICS
 Quartiles of return rates

Number of observations347.00000

Minimum0.92020

Quartile 10.99803

Median1.00000

Quartile 31.00511

Maximum1.54709

Mean of quarter 10.98747

Mean of quarter 20.99949

Mean of quarter 31.00164

Mean of quarter 41.04610

Inter Quartile Range0.00708

Number outliers low26.00000

Percentage of outliers low0.07493

Mean of outliers low0.97141

Number of outliers high51.00000

Percentage of outliers high0.14697

Mean of outliers high1.07250
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.63135

VaR(95%) (moments method)0.00983

Expected Shortfall (moments method)0.03098

Extreme Value Index (regression method)0.35340

VaR(95%) (regression method)0.01145

Expected Shortfall (regression method)0.02338
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00056

Quartile 10.01291

Median0.02480

Quartile 30.02620

Maximum0.19434

Mean of quarter 10.00714

Mean of quarter 20.02437

Mean of quarter 30.02612

Mean of quarter 40.14866

Inter Quartile Range0.01329

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.22222

Mean of outliers high0.14866
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)11.90960

VaR(95%) (moments method)0.07409

Expected Shortfall (moments method)0.07409

Extreme Value Index (regression method)0.74884

VaR(95%) (regression method)0.23137

Expected Shortfall (regression method)0.26247
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)10.38620

Compounded annual return (geometric extrapolation)6.63162

Calmar ratio (compounded annual return / max draw down)34.12300

Compounded annual return / average of 25% largest draw downs44.60960

Compounded annual return / Expected Shortfall lognormal90.21020

0.00000

0.00000
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.08567

SD0.14091

Sharpe ratio (Glass type estimate)0.60798

Sharpe ratio (Hedges UMVUE)0.60447

df130.00000

t0.42991

p0.51884

Lowerbound of 95% confidence interval for Sharpe Ratio3.37969

Upperbound of 95% confidence interval for Sharpe Ratio2.16590

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.37725

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.16831
 Statistics related to Sortino ratio

Sortino ratio0.82266

Upside Potential Ratio4.99518

Upside part of mean0.52018

Downside part of mean0.60585

Upside SD0.09427

Downside SD0.10414

N nonnegative terms34.00000

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

N of observations131.00000

Mean of predictor0.04901

Mean of criterion0.08567

SD of predictor0.16188

SD of criterion0.14091

Covariance0.00549

r0.24082

b (slope, estimate of beta)0.20961

a (intercept, estimate of alpha)0.09594

Mean Square Error0.01885

DF error129.00000

t(b)2.81810

p(b)0.34819

t(a)0.49406

p(a)0.52766

Lowerbound of 95% confidence interval for beta0.06245

Upperbound of 95% confidence interval for beta0.35678

Lowerbound of 95% confidence interval for alpha0.48015

Upperbound of 95% confidence interval for alpha0.28827

Treynor index (mean / b)0.40870

Jensen alpha (a)0.09594
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09557

SD0.14141

Sharpe ratio (Glass type estimate)0.67585

Sharpe ratio (Hedges UMVUE)0.67194

df130.00000

t0.47790

p0.52094

Lowerbound of 95% confidence interval for Sharpe Ratio3.44767

Upperbound of 95% confidence interval for Sharpe Ratio2.09838

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.44495

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.10107
 Statistics related to Sortino ratio

Sortino ratio0.90352

Upside Potential Ratio4.87571

Upside part of mean0.51575

Downside part of mean0.61132

Upside SD0.09322

Downside SD0.10578

N nonnegative terms34.00000

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

N of observations131.00000

Mean of predictor0.03591

Mean of criterion0.09557

SD of predictor0.16273

SD of criterion0.14141

Covariance0.00551

r0.23960

b (slope, estimate of beta)0.20822

a (intercept, estimate of alpha)0.10305

Mean Square Error0.01900

DF error129.00000

t(b)2.80302

p(b)0.34894

t(a)0.52865

p(a)0.52959

Lowerbound of 95% confidence interval for beta0.06125

Upperbound of 95% confidence interval for beta0.35519

Lowerbound of 95% confidence interval for alpha0.48873

Upperbound of 95% confidence interval for alpha0.28262

Treynor index (mean / b)0.45900

Jensen alpha (a)0.10305
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01463

Expected Shortfall on VaR0.01821
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00671

Expected Shortfall on VaR0.01399
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95354

Quartile 10.99854

Median1.00000

Quartile 31.00044

Maximum1.02945

Mean of quarter 10.99142

Mean of quarter 20.99971

Mean of quarter 31.00001

Mean of quarter 41.00799

Inter Quartile Range0.00190

Number outliers low20.00000

Percentage of outliers low0.15267

Mean of outliers low0.98740

Number of outliers high19.00000

Percentage of outliers high0.14504

Mean of outliers high1.01257
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.61757

VaR(95%) (moments method)0.00706

Expected Shortfall (moments method)0.02139

Extreme Value Index (regression method)0.51517

VaR(95%) (regression method)0.00898

Expected Shortfall (regression method)0.02304
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00250

Quartile 10.00324

Median0.00903

Quartile 30.03843

Maximum0.11006

Mean of quarter 10.00250

Mean of quarter 20.00349

Mean of quarter 30.01456

Mean of quarter 40.11006

Inter Quartile Range0.03519

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high0.11006
 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)0.06653

Compounded annual return (geometric extrapolation)0.06543

Calmar ratio (compounded annual return / max draw down)0.59449

Compounded annual return / average of 25% largest draw downs0.59449

Compounded annual return / Expected Shortfall lognormal3.59246
Strategy Description
2. This strategy uses options to protect partially in case there is an unanticipated catastrophic "black swan" spike in volatility. Accordingly, the portfolio will typically own longterm, outofthemoney VXX (or similar) call options. Nonetheless, volatility systems tend to be riskier than most other trading systems.
3. My basic volatility timing model suggests when to be long VMIN (or in similar positions) and when to be in cash. Other indicators are used to determine the relative size of the position, which can range up to 1.5x the size of the portfolio. To supplement this basic model, other volatility ETPs and options are traded.
4. During part of the period my strategy was private, it was extraordinarily successful in selling UVXY puts whose prices had temporarily spiked upward. I suspended that part of the strategy on April 26, 2017, when I realized how C2 quite reasonably handles limit orders on autotrading. (At C2, once limit orders are filled for anyone, they soon become market orders for everyone else. That importantly ensures that everyone's portfolios match, adjusted by their scaling percentages, but it means that some subscribers are likely to get very different fills in unliquid markets with temporary price spikes.) Thus, I was not able to scale this part of the strategy up with subscribers.
Summary Statistics
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
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.