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Quant Models Volatility
(109610406)

Started: 02/2017
Stocks, Options
Last trade: Yesterday

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 $77.00 per month.

588.6%
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.

23.9%
Max Drawdown
110
Num Trades
52.7%
Win Trades
2.5 : 1
Profit Factor
41.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
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.

System developer has asked us to delay this information by 10 hours.

Trading Record

This strategy has placed 153 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/15/18 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,500 13.93 6/19 15:59 13.68 n/a ($377)
Includes Typical Broker Commissions trade costs of $5.00
5/14/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 800 13.47 5/15 15:57 12.97 1.42%
Trade id #117926901
Max drawdown($455)
Time5/15/18 15:25
Quant open800
Worst price12.90
Drawdown as % of equity-1.42%
($404)
Includes Typical Broker Commissions trade costs of $5.00
5/4/18 15:54 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 700 12.50 5/7 15:59 12.57 0.02%
Trade id #117806750
Max drawdown($7)
Time5/4/18 15:56
Quant open700
Worst price12.49
Drawdown as % of equity-0.02%
$44
Includes Typical Broker Commissions trade costs of $5.00
4/27/18 13:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,100 12.37 5/3 9:36 12.30 0.22%
Trade id #117699576
Max drawdown($73)
Time5/3/18 9:36
Quant open0
Worst price12.30
Drawdown as % of equity-0.22%
($83)
Includes Typical Broker Commissions trade costs of $10.00
3/27/18 10:17 VXX1820D75 VXX Apr20'18 75 call LONG 1 0.64 4/21 9:35 0.00 0.2%
Trade id #117253353
Max drawdown($64)
Time4/21/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.20%
($65)
Includes Typical Broker Commissions trade costs of $1.00
3/26/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 700 11.82 3/27 15:51 11.41 1.12%
Trade id #117240286
Max drawdown($364)
Time3/27/18 15:46
Quant open700
Worst price11.30
Drawdown as % of equity-1.12%
($292)
Includes Typical Broker Commissions trade costs of $5.00
3/8/18 11:31 VXX1816C60 VXX Mar16'18 60 call LONG 2 0.13 3/17 9:35 0.00 0.08%
Trade id #116932596
Max drawdown($26)
Time3/17/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.08%
($27)
Includes Typical Broker Commissions trade costs of $1.40
3/7/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,400 12.79 3/13 15:53 12.83 0.11%
Trade id #116914464
Max drawdown($37)
Time3/7/18 18:27
Quant open700
Worst price12.36
Drawdown as % of equity-0.11%
$46
Includes Typical Broker Commissions trade costs of $10.00
2/20/18 14:37 VXX1802C75 VXX Mar2'18 75 call LONG 3 0.18 3/3 9:35 0.00 0.16%
Trade id #116621660
Max drawdown($54)
Time3/3/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.16%
($56)
Includes Typical Broker Commissions trade costs of $2.10
2/28/18 15:59 VMIN REX INVERSE VIX WEEKLY FUT STRAT LONG 1,500 2.82 3/1 10:02 2.66 0.75%
Trade id #116785423
Max drawdown($249)
Time2/28/18 17:05
Quant open1,500
Worst price2.65
Drawdown as % of equity-0.75%
($240)
Includes Typical Broker Commissions trade costs of $5.00
2/28/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 600 12.30 3/1 10:01 12.17 0.4%
Trade id #116785387
Max drawdown($132)
Time3/1/18 6:52
Quant open600
Worst price12.08
Drawdown as % of equity-0.40%
($83)
Includes Typical Broker Commissions trade costs of $5.00
12/20/17 12:00 VIX1816E25 VIX May16'18 25 call LONG 8 1.05 2/28/18 10:36 2.02 0.57%
Trade id #115446477
Max drawdown($200)
Time1/12/18 9:39
Quant open8
Worst price0.80
Drawdown as % of equity-0.57%
$767
Includes Typical Broker Commissions trade costs of $11.20
2/20/18 14:01 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,100 12.48 2/26 15:58 13.65 0.74%
Trade id #116620693
Max drawdown($236)
Time2/22/18 4:02
Quant open700
Worst price11.75
Drawdown as % of equity-0.74%
$1,280
Includes Typical Broker Commissions trade costs of $10.00
2/9/18 10:49 VXX IPATH S&P 500 VIX ST FUTURES E LONG 36 53.03 2/12 9:35 48.26 0.67%
Trade id #116417759
Max drawdown($219)
Time2/12/18 4:07
Quant open36
Worst price46.94
Drawdown as % of equity-0.67%
($173)
Includes Typical Broker Commissions trade costs of $0.72
2/8/18 10:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 48 50.26 2/9 10:04 50.59 0.32%
Trade id #116393313
Max drawdown($105)
Time2/8/18 11:53
Quant open48
Worst price48.07
Drawdown as % of equity-0.32%
$15
Includes Typical Broker Commissions trade costs of $0.96
2/7/18 10:57 AMZN AMAZON.COM LONG 3 1454.49 2/8 10:58 1398.10 0.58%
Trade id #116370284
Max drawdown($190)
Time2/8/18 10:56
Quant open3
Worst price1391.01
Drawdown as % of equity-0.58%
($169)
Includes Typical Broker Commissions trade costs of $0.06
2/6/18 15:42 YINN DIREXION DAILY FTSE CHINA BULL LONG 60 45.92 2/8 9:30 37.10 1.82%
Trade id #116355282
Max drawdown($592)
Time2/7/18 19:06
Quant open60
Worst price36.05
Drawdown as % of equity-1.82%
($530)
Includes Typical Broker Commissions trade costs of $1.20
2/6/18 15:43 BRZU DIREXION DAILY BRAZIL BULL 3X LONG 60 54.96 2/7 10:11 54.42 0.37%
Trade id #116355293
Max drawdown($122)
Time2/7/18 9:32
Quant open60
Worst price52.91
Drawdown as % of equity-0.37%
($34)
Includes Typical Broker Commissions trade costs of $1.20
1/31/18 9:41 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 118.39 2/2 12:16 112.81 4.37%
Trade id #116198080
Max drawdown($1,403)
Time2/2/18 10:06
Quant open200
Worst price111.37
Drawdown as % of equity-4.37%
($1,119)
Includes Typical Broker Commissions trade costs of $4.00
1/25/18 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 137.41 1/29 14:46 130.88 4.42%
Trade id #116106015
Max drawdown($1,472)
Time1/29/18 14:42
Quant open200
Worst price130.05
Drawdown as % of equity-4.42%
($1,311)
Includes Typical Broker Commissions trade costs of $4.00
1/26/18 13:03 CWEB DIREXION DAILY CSI CHINA INTERNET INDEX BULL 2X LONG 70 68.80 1/29 9:30 67.86 0.19%
Trade id #116124164
Max drawdown($66)
Time1/29/18 9:30
Quant open0
Worst price67.86
Drawdown as % of equity-0.19%
($67)
Includes Typical Broker Commissions trade costs of $1.40
1/25/18 15:58 SOXL DIREXION DAILY SEMICONDCT BULL LONG 20 165.86 1/26 9:39 173.35 0.03%
Trade id #116105962
Max drawdown($8)
Time1/25/18 16:00
Quant open20
Worst price165.43
Drawdown as % of equity-0.03%
$150
Includes Typical Broker Commissions trade costs of $0.40
1/25/18 15:58 FINU PROSHARES ULTRAPRO FINANCIAL SELECT SECT LONG 24 129.70 1/26 9:39 130.35 n/a $16
Includes Typical Broker Commissions trade costs of $0.48
1/22/18 13:44 TNA DIREXION DAILY SMALL CAP BULL LONG 60 79.19 1/24 11:37 78.98 0.06%
Trade id #116031124
Max drawdown($19)
Time1/23/18 10:24
Quant open60
Worst price78.86
Drawdown as % of equity-0.06%
($14)
Includes Typical Broker Commissions trade costs of $1.20
1/22/18 13:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 140 144.64 1/24 11:36 137.51 3.09%
Trade id #116030786
Max drawdown($1,075)
Time1/24/18 11:35
Quant open140
Worst price136.96
Drawdown as % of equity-3.09%
($1,002)
Includes Typical Broker Commissions trade costs of $2.80
1/23/18 15:19 INDL DIREXION DAILY MSCI INDIA BULL 3X SHARES LONG 40 118.91 1/24 9:45 119.69 0.63%
Trade id #116055142
Max drawdown($220)
Time1/24/18 7:07
Quant open40
Worst price113.39
Drawdown as % of equity-0.63%
$30
Includes Typical Broker Commissions trade costs of $0.80
1/22/18 13:41 YINN DIREXION DAILY FTSE CHINA BULL LONG 100 48.50 1/23 9:36 50.17 0.04%
Trade id #116030799
Max drawdown($15)
Time1/22/18 14:25
Quant open100
Worst price48.34
Drawdown as % of equity-0.04%
$165
Includes Typical Broker Commissions trade costs of $2.00
1/16/18 15:55 XIV VELOCITYSHARES DAILY INVERSE V LONG 200 138.10 1/18 13:06 138.83 1.57%
Trade id #115914939
Max drawdown($549)
Time1/17/18 9:51
Quant open200
Worst price135.36
Drawdown as % of equity-1.57%
$141
Includes Typical Broker Commissions trade costs of $4.00
12/15/17 13:41 VXX1819M28 VXX Jan19'18 28 put LONG 16 1.88 1/16/18 14:46 1.67 0.95%
Trade id #115378910
Max drawdown($332)
Time1/16/18 14:46
Quant open12
Worst price1.13
Drawdown as % of equity-0.95%
($354)
Includes Typical Broker Commissions trade costs of $22.40
12/22/17 15:57 XIV VELOCITYSHARES DAILY INVERSE V LONG 920 138.60 1/16/18 14:31 140.83 2.27%
Trade id #115492771
Max drawdown($745)
Time12/29/17 16:07
Quant open300
Worst price132.66
Drawdown as % of equity-2.27%
$2,032
Includes Typical Broker Commissions trade costs of $18.40

Statistics

  • Strategy began
    2/16/2017
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    488.51
  • Age
    16 months ago
  • What it trades
    Stocks, Options
  • # Trades
    110
  • # Profitable
    58
  • % Profitable
    52.70%
  • Avg trade duration
    6.4 days
  • Max peak-to-valley drawdown
    23.9%
  • drawdown period
    July 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 ratio
    2.46:1
  • Sharpe Ratio
    2.966
  • Sortino Ratio
    15.131
  • Calmar Ratio
    34.123
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05500
  • Return Statistics
  • Ann Return (w trading costs)
    588.6%
  • Ann Return (Compnd, No Fees)
    640.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    866
  • Popularity (Last 6 weeks)
    956
  • C2 Score
    97.5
  • 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
    $389
  • Avg Win
    $857
  • # Winners
    58
  • # Losers
    52
  • % Winners
    52.7%
  • Frequency
  • Avg Position Time (mins)
    9243.87
  • Avg Position Time (hrs)
    154.06
  • Avg Trade Length
    6.4 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
    8.12057
  • SD
    8.74440
  • Sharpe ratio (Glass type estimate)
    0.92866
  • Sharpe ratio (Hedges UMVUE)
    0.87785
  • df
    14.00000
  • t
    1.03827
  • p
    0.36631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69870
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66079
  • Statistics related to Sortino ratio
  • Sortino ratio
    50.99940
  • Upside Potential Ratio
    52.69770
  • Upside part of mean
    8.39100
  • Downside part of mean
    -0.27043
  • Upside SD
    8.76567
  • Downside SD
    0.15923
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.09776
  • Mean of criterion
    8.12057
  • SD of predictor
    0.10237
  • SD of criterion
    8.74440
  • Covariance
    -0.20097
  • r
    -0.22449
  • b (slope, estimate of beta)
    -19.17510
  • a (intercept, estimate of alpha)
    9.99521
  • Mean Square Error
    78.19660
  • DF error
    13.00000
  • t(b)
    -0.83061
  • p(b)
    0.64171
  • t(a)
    1.21522
  • p(a)
    0.30018
  • Lowerbound of 95% confidence interval for beta
    -69.04820
  • Upperbound of 95% confidence interval for beta
    30.69800
  • Lowerbound of 95% confidence interval for alpha
    -7.77387
  • Upperbound of 95% confidence interval for alpha
    27.76430
  • Treynor index (mean / b)
    -0.42350
  • Jensen alpha (a)
    9.99521
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.13474
  • SD
    2.13094
  • Sharpe ratio (Glass type estimate)
    1.00178
  • Sharpe ratio (Hedges UMVUE)
    0.94697
  • df
    14.00000
  • t
    1.12003
  • p
    0.35662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73476
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.73970
  • Upside Potential Ratio
    14.43070
  • Upside part of mean
    2.41809
  • Downside part of mean
    -0.28335
  • Upside SD
    2.14240
  • Downside SD
    0.16757
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.09229
  • Mean of criterion
    2.13474
  • SD of predictor
    0.10227
  • SD of criterion
    2.13094
  • Covariance
    -0.03891
  • r
    -0.17856
  • b (slope, estimate of beta)
    -3.72040
  • a (intercept, estimate of alpha)
    2.47810
  • Mean Square Error
    4.73431
  • DF error
    13.00000
  • t(b)
    -0.65431
  • p(b)
    0.61307
  • t(a)
    1.22943
  • p(a)
    0.29816
  • Lowerbound of 95% confidence interval for beta
    -16.00420
  • Upperbound of 95% confidence interval for beta
    8.56339
  • Lowerbound of 95% confidence interval for alpha
    -1.87644
  • Upperbound of 95% confidence interval for alpha
    6.83265
  • Treynor index (mean / b)
    -0.57379
  • Jensen alpha (a)
    2.47810
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.56566
  • Expected Shortfall on VaR
    0.65613
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04494
  • Expected Shortfall on VaR
    0.09081
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.89343
  • Quartile 1
    0.98814
  • Median
    1.02668
  • Quartile 3
    1.07989
  • Maximum
    10.79720
  • Mean of quarter 1
    0.92226
  • Mean of quarter 2
    1.00798
  • Mean of quarter 3
    1.06825
  • Mean of quarter 4
    3.56499
  • Inter Quartile Range
    0.09175
  • 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
    0.13333
  • Mean of outliers high
    6.03816
  • Risk estimates for a one-period 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 observations
    2.00000
  • Minimum
    0.08583
  • Quartile 1
    0.09863
  • Median
    0.11143
  • Quartile 3
    0.12424
  • Maximum
    0.13704
  • Mean of quarter 1
    0.08583
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13704
  • Inter Quartile Range
    0.02561
  • 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)
    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 downs
    56.14570
  • Compounded annual return / Expected Shortfall lognormal
    11.72640
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.25029
  • SD
    0.75704
  • Sharpe ratio (Glass type estimate)
    2.97247
  • Sharpe ratio (Hedges UMVUE)
    2.96602
  • df
    346.00000
  • t
    3.42083
  • p
    0.00035
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.25299
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.68777
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68337
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.13150
  • Upside Potential Ratio
    20.99520
  • Upside part of mean
    3.12232
  • Downside part of mean
    -0.87203
  • Upside SD
    0.75411
  • Downside SD
    0.14872
  • N nonnegative terms
    149.00000
  • N negative terms
    198.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    347.00000
  • Mean of predictor
    0.10156
  • Mean of criterion
    2.25029
  • SD of predictor
    0.11315
  • SD of criterion
    0.75704
  • Covariance
    0.00407
  • r
    0.04750
  • b (slope, estimate of beta)
    0.31784
  • a (intercept, estimate of alpha)
    2.21800
  • Mean Square Error
    0.57348
  • DF error
    345.00000
  • t(b)
    0.88336
  • p(b)
    0.18883
  • t(a)
    3.36550
  • p(a)
    0.00043
  • Lowerbound of 95% confidence interval for beta
    -0.38985
  • Upperbound of 95% confidence interval for beta
    1.02552
  • Lowerbound of 95% confidence interval for alpha
    0.92176
  • Upperbound of 95% confidence interval for alpha
    3.51426
  • Treynor index (mean / b)
    7.08000
  • Jensen alpha (a)
    2.21801
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.00439
  • SD
    0.66010
  • Sharpe ratio (Glass type estimate)
    3.03650
  • Sharpe ratio (Hedges UMVUE)
    3.02992
  • df
    346.00000
  • t
    3.49452
  • p
    0.00027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.31635
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.74789
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.19260
  • Upside Potential Ratio
    19.00650
  • Upside part of mean
    2.88771
  • Downside part of mean
    -0.88332
  • Upside SD
    0.65324
  • Downside SD
    0.15193
  • N nonnegative terms
    149.00000
  • N negative terms
    198.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    347.00000
  • Mean of predictor
    0.09511
  • Mean of criterion
    2.00439
  • SD of predictor
    0.11362
  • SD of criterion
    0.66010
  • Covariance
    0.00448
  • r
    0.05978
  • b (slope, estimate of beta)
    0.34730
  • a (intercept, estimate of alpha)
    1.97136
  • Mean Square Error
    0.43543
  • DF error
    345.00000
  • t(b)
    1.11238
  • p(b)
    0.13337
  • t(a)
    3.43351
  • p(a)
    0.00033
  • Lowerbound of 95% confidence interval for beta
    -0.26678
  • Upperbound of 95% confidence interval for beta
    0.96139
  • Lowerbound of 95% confidence interval for alpha
    0.84208
  • Upperbound of 95% confidence interval for alpha
    3.10064
  • Treynor index (mean / b)
    5.77130
  • Jensen alpha (a)
    1.97136
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05770
  • Expected Shortfall on VaR
    0.07351
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00817
  • Expected Shortfall on VaR
    0.01753
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    347.00000
  • Minimum
    0.92020
  • Quartile 1
    0.99803
  • Median
    1.00000
  • Quartile 3
    1.00511
  • Maximum
    1.54709
  • Mean of quarter 1
    0.98747
  • Mean of quarter 2
    0.99949
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.04610
  • Inter Quartile Range
    0.00708
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.07493
  • Mean of outliers low
    0.97141
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.14697
  • Mean of outliers high
    1.07250
  • Risk estimates for a one-period 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 observations
    9.00000
  • Minimum
    0.00056
  • Quartile 1
    0.01291
  • Median
    0.02480
  • Quartile 3
    0.02620
  • Maximum
    0.19434
  • Mean of quarter 1
    0.00714
  • Mean of quarter 2
    0.02437
  • Mean of quarter 3
    0.02612
  • Mean of quarter 4
    0.14866
  • Inter Quartile Range
    0.01329
  • 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
    0.22222
  • Mean of outliers high
    0.14866
  • 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 downs
    44.60960
  • Compounded annual return / Expected Shortfall lognormal
    90.21020
  • 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
  • Mean
    -0.08567
  • SD
    0.14091
  • Sharpe ratio (Glass type estimate)
    -0.60798
  • Sharpe ratio (Hedges UMVUE)
    -0.60447
  • df
    130.00000
  • t
    -0.42991
  • p
    0.51884
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.37969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16590
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37725
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16831
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.82266
  • Upside Potential Ratio
    4.99518
  • Upside part of mean
    0.52018
  • Downside part of mean
    -0.60585
  • Upside SD
    0.09427
  • Downside SD
    0.10414
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04901
  • Mean of criterion
    -0.08567
  • SD of predictor
    0.16188
  • SD of criterion
    0.14091
  • Covariance
    0.00549
  • r
    0.24082
  • b (slope, estimate of beta)
    0.20961
  • a (intercept, estimate of alpha)
    -0.09594
  • Mean Square Error
    0.01885
  • DF error
    129.00000
  • t(b)
    2.81810
  • p(b)
    0.34819
  • t(a)
    -0.49406
  • p(a)
    0.52766
  • Lowerbound of 95% confidence interval for beta
    0.06245
  • Upperbound of 95% confidence interval for beta
    0.35678
  • Lowerbound of 95% confidence interval for alpha
    -0.48015
  • Upperbound of 95% confidence interval for alpha
    0.28827
  • Treynor index (mean / b)
    -0.40870
  • Jensen alpha (a)
    -0.09594
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09557
  • SD
    0.14141
  • Sharpe ratio (Glass type estimate)
    -0.67585
  • Sharpe ratio (Hedges UMVUE)
    -0.67194
  • df
    130.00000
  • t
    -0.47790
  • p
    0.52094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.44767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09838
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.44495
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10107
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90352
  • Upside Potential Ratio
    4.87571
  • Upside part of mean
    0.51575
  • Downside part of mean
    -0.61132
  • Upside SD
    0.09322
  • Downside SD
    0.10578
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03591
  • Mean of criterion
    -0.09557
  • SD of predictor
    0.16273
  • SD of criterion
    0.14141
  • Covariance
    0.00551
  • r
    0.23960
  • b (slope, estimate of beta)
    0.20822
  • a (intercept, estimate of alpha)
    -0.10305
  • Mean Square Error
    0.01900
  • DF error
    129.00000
  • t(b)
    2.80302
  • p(b)
    0.34894
  • t(a)
    -0.52865
  • p(a)
    0.52959
  • Lowerbound of 95% confidence interval for beta
    0.06125
  • Upperbound of 95% confidence interval for beta
    0.35519
  • Lowerbound of 95% confidence interval for alpha
    -0.48873
  • Upperbound of 95% confidence interval for alpha
    0.28262
  • Treynor index (mean / b)
    -0.45900
  • Jensen alpha (a)
    -0.10305
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01463
  • Expected Shortfall on VaR
    0.01821
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00671
  • Expected Shortfall on VaR
    0.01399
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95354
  • Quartile 1
    0.99854
  • Median
    1.00000
  • Quartile 3
    1.00044
  • Maximum
    1.02945
  • Mean of quarter 1
    0.99142
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00799
  • Inter Quartile Range
    0.00190
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.98740
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.01257
  • Risk estimates for a one-period 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 observations
    4.00000
  • Minimum
    0.00250
  • Quartile 1
    0.00324
  • Median
    0.00903
  • Quartile 3
    0.03843
  • Maximum
    0.11006
  • Mean of quarter 1
    0.00250
  • Mean of quarter 2
    0.00349
  • Mean of quarter 3
    0.01456
  • Mean of quarter 4
    0.11006
  • Inter Quartile Range
    0.03519
  • 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
    0.25000
  • Mean of outliers high
    0.11006
  • 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 downs
    -0.59449
  • Compounded annual return / Expected Shortfall lognormal
    -3.59246

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 long-term, out-of-the-money 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

Includes fees & commissions
Strategy began
2017-02-16
Suggested Minimum Capital
$30,000
# Trades
110
# Profitable
58
% Profitable
52.7%
Correlation S&P500
0.055
Sharpe Ratio
2.966

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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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.

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