Quant Models Volatility
(109610406)
Subscription terms. Subscriptions to this system cost $77.00 per month.
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  +8.3%  +8.3% 
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.
Started  $2,160  
Buy Power  $29,307  
Cash  $1  
Equity  $1  
Cumulative $  $33,370  
Total System Equity  $35,530  
Margined  $1  
Open P/L  $2,037  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began2/16/2017

Suggested Minimum Cap$35,000

Strategy Age (days)333.51

Age11 months ago

What it tradesStocks, Options

# Trades83

# Profitable49

% Profitable59.00%

Avg trade duration6.8 days

Max peaktovalley drawdown23.9%

drawdown periodJuly 26, 2017  Dec 01, 2017

Cumul. Return1446.1%

Avg win$920.65

Avg loss$413.06
 Model Account Values (Raw)

Cash$28,892

Margin Used$0

Buying Power$29,307
 Ratios

W:L ratio3.21:1

Sharpe Ratio3.804

Sortino Ratio21.056

Calmar Ratio112.41
 CORRELATION STATISTICS

Correlation to SP5000.06100
 Return Statistics

Ann Return (w trading costs)1846.9%

Ann Return (Compnd, No Fees)2023.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss11.00%

Chance of 20% account loss1.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)911

Popularity (Last 6 weeks)979

C2 Score97.2
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$413

Avg Win$968

# Winners49

# Losers34

% Winners59.0%
 Frequency

Avg Position Time (mins)9782.27

Avg Position Time (hrs)163.04

Avg Trade Length6.8 days

Last Trade Ago4
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean12.22610

SD10.68870

Sharpe ratio (Glass type estimate)1.14384

Sharpe ratio (Hedges UMVUE)1.04532

df9.00000

t1.04417

p0.16182

Lowerbound of 95% confidence interval for Sharpe Ratio1.09488

Upperbound of 95% confidence interval for Sharpe Ratio3.32358

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.15535

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.24599
 Statistics related to Sortino ratio

Sortino ratio72.78100

Upside Potential Ratio74.36330

Upside part of mean12.49190

Downside part of mean0.26581

Upside SD10.73550

Downside SD0.16798

N nonnegative terms7.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations10.00000

Mean of predictor0.13489

Mean of criterion12.22610

SD of predictor0.06691

SD of criterion10.68870

Covariance0.36234

r0.50667

b (slope, estimate of beta)80.94500

a (intercept, estimate of alpha)23.14470

Mean Square Error95.53300

DF error8.00000

t(b)1.66225

p(b)0.93248

t(a)1.84254

p(a)0.05132

Lowerbound of 95% confidence interval for beta193.23900

Upperbound of 95% confidence interval for beta31.34840

Lowerbound of 95% confidence interval for alpha5.82172

Upperbound of 95% confidence interval for alpha52.11110

Treynor index (mean / b)0.15104

Jensen alpha (a)23.14470
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean3.25447

SD2.58835

Sharpe ratio (Glass type estimate)1.25735

Sharpe ratio (Hedges UMVUE)1.14906

df9.00000

t1.14780

p0.14032

Lowerbound of 95% confidence interval for Sharpe Ratio0.99665

Upperbound of 95% confidence interval for Sharpe Ratio3.44732

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.06262

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.36074
 Statistics related to Sortino ratio

Sortino ratio18.34970

Upside Potential Ratio19.93030

Upside part of mean3.53480

Downside part of mean0.28033

Upside SD2.62312

Downside SD0.17736

N nonnegative terms7.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations10.00000

Mean of predictor0.13185

Mean of criterion3.25447

SD of predictor0.06633

SD of criterion2.58835

Covariance0.08036

r0.46809

b (slope, estimate of beta)18.26630

a (intercept, estimate of alpha)5.66294

Mean Square Error5.88554

DF error8.00000

t(b)1.49825

p(b)0.91378

t(a)1.82327

p(a)0.05286

Lowerbound of 95% confidence interval for beta46.38070

Upperbound of 95% confidence interval for beta9.84804

Lowerbound of 95% confidence interval for alpha1.49935

Upperbound of 95% confidence interval for alpha12.82520

Treynor index (mean / b)0.17817

Jensen alpha (a)5.66294
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.61627

Expected Shortfall on VaR0.70949
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03551

Expected Shortfall on VaR0.07835
 ORDER STATISTICS
 Quartiles of return rates

Number of observations10.00000

Minimum0.89343

Quartile 11.00277

Median1.07397

Quartile 31.09647

Maximum10.79720

Mean of quarter 10.92849

Mean of quarter 21.04448

Mean of quarter 31.07989

Mean of quarter 44.39249

Inter Quartile Range0.09370

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.20000

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

Extreme Value Index (moments method)297693.00000

VaR(95%) (moments method)0.01155

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)7.63220

VaR(95%) (regression method)0.59900

Expected Shortfall (regression method)0.59900
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.13704

Quartile 10.13704

Median0.13704

Quartile 30.13704

Maximum0.13704

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)17.29750

Compounded annual return (geometric extrapolation)25.63900

Calmar ratio (compounded annual return / max draw down)187.09300

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal36.13700

0.00000

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

Mean3.45990

SD0.90669

Sharpe ratio (Glass type estimate)3.81596

Sharpe ratio (Hedges UMVUE)3.80372

df234.00000

t3.61400

p0.00018

Lowerbound of 95% confidence interval for Sharpe Ratio1.71390

Upperbound of 95% confidence interval for Sharpe Ratio5.91019

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70573

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.90171
 Statistics related to Sortino ratio

Sortino ratio21.05640

Upside Potential Ratio27.11310

Upside part of mean4.45511

Downside part of mean0.99521

Upside SD0.91503

Downside SD0.16432

N nonnegative terms126.00000

N negative terms109.00000
 Statistics related to linear regression on benchmark

N of observations235.00000

Mean of predictor0.16567

Mean of criterion3.45990

SD of predictor0.06859

SD of criterion0.90669

Covariance0.00268

r0.04307

b (slope, estimate of beta)0.56931

a (intercept, estimate of alpha)3.36600

Mean Square Error0.82409

DF error233.00000

t(b)0.65802

p(b)0.25559

t(a)3.47261

p(a)0.00031

Lowerbound of 95% confidence interval for beta1.13526

Upperbound of 95% confidence interval for beta2.27387

Lowerbound of 95% confidence interval for alpha1.45611

Upperbound of 95% confidence interval for alpha5.27507

Treynor index (mean / b)6.07741

Jensen alpha (a)3.36559
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean3.10088

SD0.78862

Sharpe ratio (Glass type estimate)3.93204

Sharpe ratio (Hedges UMVUE)3.91943

df234.00000

t3.72393

p0.00012

Lowerbound of 95% confidence interval for Sharpe Ratio1.82808

Upperbound of 95% confidence interval for Sharpe Ratio6.02788

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.81969

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.01917
 Statistics related to Sortino ratio

Sortino ratio18.45240

Upside Potential Ratio24.45670

Upside part of mean4.10989

Downside part of mean1.00901

Upside SD0.79230

Downside SD0.16805

N nonnegative terms126.00000

N negative terms109.00000
 Statistics related to linear regression on benchmark

N of observations235.00000

Mean of predictor0.16325

Mean of criterion3.10088

SD of predictor0.06861

SD of criterion0.78862

Covariance0.00331

r0.06122

b (slope, estimate of beta)0.70364

a (intercept, estimate of alpha)2.98601

Mean Square Error0.62225

DF error233.00000

t(b)0.93623

p(b)0.17506

t(a)3.54675

p(a)0.00024

Lowerbound of 95% confidence interval for beta0.77710

Upperbound of 95% confidence interval for beta2.18437

Lowerbound of 95% confidence interval for alpha1.32730

Upperbound of 95% confidence interval for alpha4.64472

Treynor index (mean / b)4.40694

Jensen alpha (a)2.98601
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06602

Expected Shortfall on VaR0.08470
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00813

Expected Shortfall on VaR0.01778
 ORDER STATISTICS
 Quartiles of return rates

Number of observations235.00000

Minimum0.92020

Quartile 10.99740

Median1.00093

Quartile 31.00978

Maximum1.54709

Mean of quarter 10.98578

Mean of quarter 20.99937

Mean of quarter 31.00416

Mean of quarter 41.06379

Inter Quartile Range0.01238

Number outliers low15.00000

Percentage of outliers low0.06383

Mean of outliers low0.96566

Number of outliers high25.00000

Percentage of outliers high0.10638

Mean of outliers high1.12576
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.65714

VaR(95%) (moments method)0.01233

Expected Shortfall (moments method)0.04096

Extreme Value Index (regression method)0.45356

VaR(95%) (regression method)0.01189

Expected Shortfall (regression method)0.02675
 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)17.33610

Compounded annual return (geometric extrapolation)21.84630

Calmar ratio (compounded annual return / max draw down)112.41000

Compounded annual return / average of 25% largest draw downs146.95600

Compounded annual return / Expected Shortfall lognormal257.93600

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

Mean0.16992

SD0.21697

Sharpe ratio (Glass type estimate)0.78317

Sharpe ratio (Hedges UMVUE)0.77865

df130.00000

t0.55379

p0.47574

Lowerbound of 95% confidence interval for Sharpe Ratio1.99172

Upperbound of 95% confidence interval for Sharpe Ratio3.55517

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.99477

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.55207
 Statistics related to Sortino ratio

Sortino ratio1.08568

Upside Potential Ratio7.71912

Upside part of mean1.20814

Downside part of mean1.03822

Upside SD0.14943

Downside SD0.15651

N nonnegative terms65.00000

N negative terms66.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.23699

Mean of criterion0.16992

SD of predictor0.06409

SD of criterion0.21697

Covariance0.00670

r0.48161

b (slope, estimate of beta)1.63035

a (intercept, estimate of alpha)0.21645

Mean Square Error0.03644

DF error129.00000

t(b)6.24165

p(b)0.20570

t(a)0.78156

p(a)0.54367

Lowerbound of 95% confidence interval for beta1.11355

Upperbound of 95% confidence interval for beta2.14715

Lowerbound of 95% confidence interval for alpha0.76441

Upperbound of 95% confidence interval for alpha0.33150

Treynor index (mean / b)0.10422

Jensen alpha (a)0.21645
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.14640

SD0.21770

Sharpe ratio (Glass type estimate)0.67249

Sharpe ratio (Hedges UMVUE)0.66860

df130.00000

t0.47552

p0.47917

Lowerbound of 95% confidence interval for Sharpe Ratio2.10173

Upperbound of 95% confidence interval for Sharpe Ratio3.44429

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.10440

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.44160
 Statistics related to Sortino ratio

Sortino ratio0.91963

Upside Potential Ratio7.51927

Upside part of mean1.19703

Downside part of mean1.05063

Upside SD0.14755

Downside SD0.15920

N nonnegative terms65.00000

N negative terms66.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.23482

Mean of criterion0.14640

SD of predictor0.06409

SD of criterion0.21770

Covariance0.00678

r0.48568

b (slope, estimate of beta)1.64968

a (intercept, estimate of alpha)0.24098

Mean Square Error0.03649

DF error129.00000

t(b)6.31044

p(b)0.20344

t(a)0.86979

p(a)0.54856

Lowerbound of 95% confidence interval for beta1.13245

Upperbound of 95% confidence interval for beta2.16690

Lowerbound of 95% confidence interval for alpha0.78913

Upperbound of 95% confidence interval for alpha0.30718

Treynor index (mean / b)0.08874

Jensen alpha (a)0.24098
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02133

Expected Shortfall on VaR0.02681
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00903

Expected Shortfall on VaR0.01900
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95123

Quartile 10.99679

Median1.00005

Quartile 31.00560

Maximum1.04813

Mean of quarter 10.98560

Mean of quarter 20.99888

Mean of quarter 31.00255

Mean of quarter 41.01604

Inter Quartile Range0.00882

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.96722

Number of outliers high11.00000

Percentage of outliers high0.08397

Mean of outliers high1.02550
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.59426

VaR(95%) (moments method)0.01331

Expected Shortfall (moments method)0.03754

Extreme Value Index (regression method)0.23693

VaR(95%) (regression method)0.01398

Expected Shortfall (regression method)0.02453
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00062

Quartile 10.04905

Median0.09748

Quartile 30.14591

Maximum0.19434

Mean of quarter 10.00062

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.19434

Inter Quartile Range0.09686

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)0.18213

Compounded annual return (geometric extrapolation)0.19042

Calmar ratio (compounded annual return / max draw down)0.97981

Compounded annual return / average of 25% largest draw downs0.97981

Compounded annual return / Expected Shortfall lognormal7.10381
Strategy Description
1. Quant Models Volatility trades volatility ETPs & options (chiefly XIV, VIX, UVXY, & VXX). Most of its future returns are expected to be from holding XIV, 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 VIX 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 XIV (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. A backtest of my basic timing model from April 2004 to March 2017 is available on request (by private messaging at C2). Offsite, backtested results are not verified by C2.
5. NOTE: 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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