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      (1.2%)  (1.2%) 
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  $32,825  
Cash  $1  
Equity  $1  
Cumulative $  $30,665  
Total System Equity  $32,825  
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)400.63

Age13 months ago

What it tradesStocks, Options

# Trades104

# Profitable57

% Profitable54.80%

Avg trade duration6.4 days

Max peaktovalley drawdown23.9%

drawdown periodJuly 26, 2017  Dec 01, 2017

Annual Return (Compounded)994.6%

Avg win$871.53

Avg loss$404.51
 Model Account Values (Raw)

Cash$32,825

Margin Used$0

Buying Power$32,825
 Ratios

W:L ratio2.61:1

Sharpe Ratio3.337

Sortino Ratio17.042

Calmar Ratio58.545
 CORRELATION STATISTICS

Correlation to SP5000.06800
 Return Statistics

Ann Return (w trading costs)994.6%

Ann Return (Compnd, No Fees)1085.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss9.50%

Chance of 20% account loss0.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)817

Popularity (Last 6 weeks)968

C2 Score98.3
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$405

Avg Win$872

# Winners57

# Losers47

% Winners54.8%
 Frequency

Avg Position Time (mins)9226.00

Avg Position Time (hrs)153.77

Avg Trade Length6.4 days

Last Trade Ago7
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean9.39609

SD9.38654

Sharpe ratio (Glass type estimate)1.00102

Sharpe ratio (Hedges UMVUE)0.93689

df12.00000

t1.04189

p0.35599

Lowerbound of 95% confidence interval for Sharpe Ratio0.94299

Upperbound of 95% confidence interval for Sharpe Ratio2.90559

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.98312

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.85691
 Statistics related to Sortino ratio

Sortino ratio55.28990

Upside Potential Ratio56.97190

Upside part of mean9.68193

Downside part of mean0.28584

Upside SD9.41584

Downside SD0.16994

N nonnegative terms9.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations13.00000

Mean of predictor0.06794

Mean of criterion9.39609

SD of predictor0.10711

SD of criterion9.38654

Covariance0.20868

r0.20756

b (slope, estimate of beta)18.19030

a (intercept, estimate of alpha)10.63190

Mean Square Error91.97590

DF error11.00000

t(b)0.70374

p(b)0.75189

t(a)1.13346

p(a)0.14056

Lowerbound of 95% confidence interval for beta75.08150

Upperbound of 95% confidence interval for beta38.70090

Lowerbound of 95% confidence interval for alpha10.01340

Upperbound of 95% confidence interval for alpha31.27710

Treynor index (mean / b)0.51654

Jensen alpha (a)10.63190
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean2.48948

SD2.28310

Sharpe ratio (Glass type estimate)1.09040

Sharpe ratio (Hedges UMVUE)1.02055

df12.00000

t1.13492

p0.34433

Lowerbound of 95% confidence interval for Sharpe Ratio0.86278

Upperbound of 95% confidence interval for Sharpe Ratio3.00097

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90628

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.94738
 Statistics related to Sortino ratio

Sortino ratio13.91220

Upside Potential Ratio15.59220

Upside part of mean2.79010

Downside part of mean0.30062

Upside SD2.30131

Downside SD0.17894

N nonnegative terms9.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations13.00000

Mean of predictor0.06233

Mean of criterion2.48948

SD of predictor0.10701

SD of criterion2.28310

Covariance0.03818

r0.15629

b (slope, estimate of beta)3.33474

a (intercept, estimate of alpha)2.69733

Mean Square Error5.54750

DF error11.00000

t(b)0.52482

p(b)0.69494

t(a)1.17413

p(a)0.13257

Lowerbound of 95% confidence interval for beta17.32010

Upperbound of 95% confidence interval for beta10.65060

Lowerbound of 95% confidence interval for alpha2.35901

Upperbound of 95% confidence interval for alpha7.75366

Treynor index (mean / b)0.74653

Jensen alpha (a)2.69733
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.58381

Expected Shortfall on VaR0.67543
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03941

Expected Shortfall on VaR0.08406
 ORDER STATISTICS
 Quartiles of return rates

Number of observations13.00000

Minimum0.89343

Quartile 10.99758

Median1.05682

Quartile 31.08247

Maximum10.79720

Mean of quarter 10.92491

Mean of quarter 21.03394

Mean of quarter 31.07680

Mean of quarter 44.39249

Inter Quartile Range0.08489

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.15385

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

Extreme Value Index (moments method)686.88700

VaR(95%) (moments method)0.01140

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)5.01868

VaR(95%) (regression method)0.22943

Expected Shortfall (regression method)0.22946
 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)13.19040

Compounded annual return (geometric extrapolation)11.39620

Calmar ratio (compounded annual return / max draw down)83.16040

Compounded annual return / average of 25% largest draw downs83.16040

Compounded annual return / Expected Shortfall lognormal16.87240

0.00000

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

Mean2.78832

SD0.83327

Sharpe ratio (Glass type estimate)3.34621

Sharpe ratio (Hedges UMVUE)3.33734

df283.00000

t3.48387

p0.00029

Lowerbound of 95% confidence interval for Sharpe Ratio1.44075

Upperbound of 95% confidence interval for Sharpe Ratio5.24594

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.43485

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.23983
 Statistics related to Sortino ratio

Sortino ratio17.04150

Upside Potential Ratio23.26330

Upside part of mean3.80631

Downside part of mean1.01800

Upside SD0.83355

Downside SD0.16362

N nonnegative terms142.00000

N negative terms142.00000
 Statistics related to linear regression on benchmark

N of observations284.00000

Mean of predictor0.06795

Mean of criterion2.78832

SD of predictor0.10612

SD of criterion0.83327

Covariance0.00529

r0.05985

b (slope, estimate of beta)0.46994

a (intercept, estimate of alpha)2.75600

Mean Square Error0.69431

DF error282.00000

t(b)1.00685

p(b)0.15744

t(a)3.44136

p(a)0.00033

Lowerbound of 95% confidence interval for beta0.44881

Upperbound of 95% confidence interval for beta1.38868

Lowerbound of 95% confidence interval for alpha1.17977

Upperbound of 95% confidence interval for alpha4.33300

Treynor index (mean / b)5.93336

Jensen alpha (a)2.75638
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean2.48800

SD0.72633

Sharpe ratio (Glass type estimate)3.42546

Sharpe ratio (Hedges UMVUE)3.41638

df283.00000

t3.56638

p0.00021

Lowerbound of 95% confidence interval for Sharpe Ratio1.51898

Upperbound of 95% confidence interval for Sharpe Ratio5.32609

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.51293

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.31982
 Statistics related to Sortino ratio

Sortino ratio14.88170

Upside Potential Ratio21.05240

Upside part of mean3.51967

Downside part of mean1.03166

Upside SD0.72206

Downside SD0.16719

N nonnegative terms142.00000

N negative terms142.00000
 Statistics related to linear regression on benchmark

N of observations284.00000

Mean of predictor0.06227

Mean of criterion2.48800

SD of predictor0.10676

SD of criterion0.72633

Covariance0.00575

r0.07419

b (slope, estimate of beta)0.50473

a (intercept, estimate of alpha)2.45657

Mean Square Error0.52651

DF error282.00000

t(b)1.24924

p(b)0.10631

t(a)3.52252

p(a)0.00025

Lowerbound of 95% confidence interval for beta0.29057

Upperbound of 95% confidence interval for beta1.30002

Lowerbound of 95% confidence interval for alpha1.08382

Upperbound of 95% confidence interval for alpha3.82933

Treynor index (mean / b)4.92938

Jensen alpha (a)2.45657
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06229

Expected Shortfall on VaR0.07958
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00877

Expected Shortfall on VaR0.01883
 ORDER STATISTICS
 Quartiles of return rates

Number of observations284.00000

Minimum0.92020

Quartile 10.99735

Median1.00012

Quartile 31.00767

Maximum1.54709

Mean of quarter 10.98548

Mean of quarter 20.99919

Mean of quarter 31.00320

Mean of quarter 41.05512

Inter Quartile Range0.01031

Number outliers low19.00000

Percentage of outliers low0.06690

Mean of outliers low0.96646

Number of outliers high33.00000

Percentage of outliers high0.11620

Mean of outliers high1.10142
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.53257

VaR(95%) (moments method)0.01183

Expected Shortfall (moments method)0.02993

Extreme Value Index (regression method)0.37697

VaR(95%) (regression method)0.01296

Expected Shortfall (regression method)0.02658
 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)13.18260

Compounded annual return (geometric extrapolation)11.37790

Calmar ratio (compounded annual return / max draw down)58.54490

Compounded annual return / average of 25% largest draw downs76.53680

Compounded annual return / Expected Shortfall lognormal142.97400

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

Mean0.10402

SD0.20086

Sharpe ratio (Glass type estimate)0.51785

Sharpe ratio (Hedges UMVUE)0.51486

df130.00000

t0.36618

p0.48395

Lowerbound of 95% confidence interval for Sharpe Ratio2.25564

Upperbound of 95% confidence interval for Sharpe Ratio3.28941

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.25765

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.28737
 Statistics related to Sortino ratio

Sortino ratio0.75208

Upside Potential Ratio7.56030

Upside part of mean1.04562

Downside part of mean0.94160

Upside SD0.14474

Downside SD0.13830

N nonnegative terms55.00000

N negative terms76.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.04527

Mean of criterion0.10402

SD of predictor0.13470

SD of criterion0.20086

Covariance0.00705

r0.26071

b (slope, estimate of beta)0.38877

a (intercept, estimate of alpha)0.08642

Mean Square Error0.03789

DF error129.00000

t(b)3.06719

p(b)0.33593

t(a)0.31383

p(a)0.48242

Lowerbound of 95% confidence interval for beta0.13799

Upperbound of 95% confidence interval for beta0.63954

Lowerbound of 95% confidence interval for alpha0.45839

Upperbound of 95% confidence interval for alpha0.63122

Treynor index (mean / b)0.26755

Jensen alpha (a)0.08642
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.08395

SD0.20106

Sharpe ratio (Glass type estimate)0.41753

Sharpe ratio (Hedges UMVUE)0.41511

df130.00000

t0.29524

p0.48706

Lowerbound of 95% confidence interval for Sharpe Ratio2.35547

Upperbound of 95% confidence interval for Sharpe Ratio3.18908

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.35715

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.18738
 Statistics related to Sortino ratio

Sortino ratio0.59735

Upside Potential Ratio7.36632

Upside part of mean1.03522

Downside part of mean0.95127

Upside SD0.14281

Downside SD0.14053

N nonnegative terms55.00000

N negative terms76.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.03617

Mean of criterion0.08395

SD of predictor0.13574

SD of criterion0.20106

Covariance0.00707

r0.25902

b (slope, estimate of beta)0.38368

a (intercept, estimate of alpha)0.07007

Mean Square Error0.03801

DF error129.00000

t(b)3.04586

p(b)0.33697

t(a)0.25412

p(a)0.48576

Lowerbound of 95% confidence interval for beta0.13445

Upperbound of 95% confidence interval for beta0.63290

Lowerbound of 95% confidence interval for alpha0.47548

Upperbound of 95% confidence interval for alpha0.61562

Treynor index (mean / b)0.21880

Jensen alpha (a)0.07007
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01991

Expected Shortfall on VaR0.02497
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00900

Expected Shortfall on VaR0.01840
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95354

Quartile 10.99682

Median0.99994

Quartile 31.00385

Maximum1.04813

Mean of quarter 10.98715

Mean of quarter 20.99883

Mean of quarter 31.00119

Mean of quarter 41.01486

Inter Quartile Range0.00703

Number outliers low10.00000

Percentage of outliers low0.07634

Mean of outliers low0.97419

Number of outliers high15.00000

Percentage of outliers high0.11450

Mean of outliers high1.02382
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.25423

VaR(95%) (moments method)0.01042

Expected Shortfall (moments method)0.01783

Extreme Value Index (regression method)0.19267

VaR(95%) (regression method)0.01330

Expected Shortfall (regression method)0.02233
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00048

Quartile 10.00213

Median0.00349

Quartile 30.05773

Maximum0.14775

Mean of quarter 10.00112

Mean of quarter 20.00300

Mean of quarter 30.01363

Mean of quarter 40.12479

Inter Quartile Range0.05560

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.14286

Mean of outliers high0.14775
 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)0.11504

Compounded annual return (geometric extrapolation)0.11835

Calmar ratio (compounded annual return / max draw down)0.80103

Compounded annual return / average of 25% largest draw downs0.94842

Compounded annual return / Expected Shortfall lognormal4.73898
Strategy Description
1. Quant Models Volatility trades volatility ETPs & options. Most of its future returns are expected to be from holding ETN positions, not from options trading. Instead of holding cash, sometimes ordinary stocks or ETFs (not based on volatility) will be purchased and held.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.