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VIXTrader Professional
(106600099)

Created by: RobertPeterson RobertPeterson
Started: 10/2016
Stocks
Last trade: 2 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $199.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

48.7%
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.

(24.7%)
Max Drawdown
186
Num Trades
45.2%
Win Trades
1.8 : 1
Profit Factor
62.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               (3%)+15.5%+4.6%+17.2%
2017+15.6%+1.9%+15.9%(2.4%)+11.1%+7.7%+11.5%(0.8%)+13.0%+10.2%+0.5%+13.6%+150.5%
2018(4.6%)+5.6%(10.1%)+14.4%+1.8%(6.4%)  -  (3.4%)(0.9%)(2%)(1.4%)+0.4%(8.2%)
2019+4.1%+1.0%(1.3%)+4.2%+3.4%+0.7%+2.1%(0.1%)                        +14.8%

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 48 hours.

Trading Record

This strategy has placed 723 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/19/19 11:40 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,675 25.97 8/22 10:30 26.00 0.39%
Trade id #124989228
Max drawdown($303)
Time8/20/19 0:00
Quant open1,370
Worst price26.79
Drawdown as % of equity-0.39%
($105)
Includes Typical Broker Commissions trade costs of $12.50
8/13/19 12:27 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 885 26.92 8/13 14:49 26.99 0.33%
Trade id #124910810
Max drawdown($256)
Time8/13/19 12:27
Quant open885
Worst price27.21
Drawdown as % of equity-0.33%
($76)
Includes Typical Broker Commissions trade costs of $11.35
8/9/19 10:01 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,040 27.10 8/9 13:27 26.46 0.89%
Trade id #124855773
Max drawdown($691)
Time8/9/19 10:01
Quant open1,040
Worst price26.44
Drawdown as % of equity-0.89%
($679)
Includes Typical Broker Commissions trade costs of $7.50
8/7/19 14:46 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,761 27.42 8/8 15:58 26.07 3.02%
Trade id #124821050
Max drawdown($2,344)
Time8/8/19 15:58
Quant open-1,761
Worst price26.09
Drawdown as % of equity-3.02%
$2,367
Includes Typical Broker Commissions trade costs of $14.40
8/1/19 10:31 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,170 22.83 8/1 13:58 24.67 3.28%
Trade id #124717076
Max drawdown($2,536)
Time8/1/19 10:31
Quant open1,170
Worst price25.00
Drawdown as % of equity-3.28%
($2,156)
Includes Typical Broker Commissions trade costs of $7.50
7/23/19 13:46 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,369 22.43 7/30 12:52 22.30 0.3%
Trade id #124582400
Max drawdown($228)
Time7/23/19 13:46
Quant open1,369
Worst price22.60
Drawdown as % of equity-0.30%
$178
Includes Typical Broker Commissions trade costs of $5.00
7/19/19 12:35 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3,094 22.62 7/19 14:35 22.93 1.26%
Trade id #124538541
Max drawdown($988)
Time7/19/19 12:35
Quant open3,094
Worst price22.94
Drawdown as % of equity-1.26%
($966)
Includes Typical Broker Commissions trade costs of $7.50
7/5/19 15:00 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 4,357 23.23 7/17 15:07 23.16 2.92%
Trade id #124352495
Max drawdown($2,277)
Time7/5/19 15:00
Quant open1,604
Worst price24.96
Drawdown as % of equity-2.92%
$288
Includes Typical Broker Commissions trade costs of $17.40
7/3/19 12:14 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,094 23.47 7/5 9:36 24.08 0.86%
Trade id #124328074
Max drawdown($673)
Time7/5/19 9:36
Quant open547
Worst price24.11
Drawdown as % of equity-0.86%
($683)
Includes Typical Broker Commissions trade costs of $10.00
6/27/19 12:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,093 26.39 7/1 9:46 24.58 0.18%
Trade id #124257369
Max drawdown($131)
Time6/27/19 12:33
Quant open2,093
Worst price26.45
Drawdown as % of equity-0.18%
$3,777
Includes Typical Broker Commissions trade costs of $5.00
6/19/19 15:01 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,049 26.17 6/20 11:34 26.22 0.13%
Trade id #124149265
Max drawdown($101)
Time6/19/19 15:01
Quant open1,385
Worst price26.27
Drawdown as % of equity-0.13%
($95)
Includes Typical Broker Commissions trade costs of $7.50
6/13/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 942 27.41 6/13 15:30 27.86 0.55%
Trade id #124064582
Max drawdown($461)
Time6/13/19 15:20
Quant open-942
Worst price27.91
Drawdown as % of equity-0.55%
($424)
Includes Typical Broker Commissions trade costs of $5.00
6/10/19 9:41 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,815 27.47 6/11 11:39 27.96 1.05%
Trade id #124002121
Max drawdown($882)
Time6/11/19 11:39
Quant open0
Worst price27.96
Drawdown as % of equity-1.05%
($890)
Includes Typical Broker Commissions trade costs of $7.50
6/5/19 11:06 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,251 28.95 6/7 11:33 27.97 0.13%
Trade id #123949499
Max drawdown($107)
Time6/5/19 11:10
Quant open-825
Worst price29.16
Drawdown as % of equity-0.13%
$1,223
Includes Typical Broker Commissions trade costs of $9.26
6/5/19 10:52 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 601 29.30 6/5 11:06 29.02 0.21%
Trade id #123949022
Max drawdown($176)
Time6/5/19 11:06
Quant open601
Worst price29.00
Drawdown as % of equity-0.21%
($172)
Includes Typical Broker Commissions trade costs of $5.00
6/4/19 10:38 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 855 29.56 6/5 10:49 29.25 0.25%
Trade id #123932554
Max drawdown($207)
Time6/4/19 10:47
Quant open-855
Worst price29.80
Drawdown as % of equity-0.25%
$256
Includes Typical Broker Commissions trade costs of $5.00
5/29/19 11:44 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 482 30.30 5/29 14:46 30.04 0.41%
Trade id #123861789
Max drawdown($339)
Time5/29/19 13:52
Quant open482
Worst price29.59
Drawdown as % of equity-0.41%
($135)
Includes Typical Broker Commissions trade costs of $9.64
5/23/19 10:08 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 518 28.72 5/23 15:34 28.76 0.26%
Trade id #123794878
Max drawdown($217)
Time5/23/19 10:56
Quant open518
Worst price28.30
Drawdown as % of equity-0.26%
$14
Includes Typical Broker Commissions trade costs of $5.00
5/21/19 14:28 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 930 27.54 5/23 9:40 28.71 1.28%
Trade id #123757728
Max drawdown($1,087)
Time5/23/19 9:40
Quant open465
Worst price28.84
Drawdown as % of equity-1.28%
($1,099)
Includes Typical Broker Commissions trade costs of $11.80
5/21/19 10:43 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 907 27.69 5/21 10:56 27.70 0.03%
Trade id #123753405
Max drawdown($26)
Time5/21/19 10:49
Quant open-907
Worst price27.71
Drawdown as % of equity-0.03%
($24)
Includes Typical Broker Commissions trade costs of $11.57
5/16/19 9:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,826 28.52 5/16 15:44 28.36 0.03%
Trade id #123693324
Max drawdown($26)
Time5/16/19 9:36
Quant open-913
Worst price28.87
Drawdown as % of equity-0.03%
$286
Includes Typical Broker Commissions trade costs of $7.50
5/15/19 10:34 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 875 30.21 5/15 12:15 29.89 0.18%
Trade id #123680269
Max drawdown($148)
Time5/15/19 11:06
Quant open-875
Worst price30.38
Drawdown as % of equity-0.18%
$275
Includes Typical Broker Commissions trade costs of $5.00
5/14/19 11:42 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 868 30.59 5/14 14:07 30.56 0.2%
Trade id #123665292
Max drawdown($164)
Time5/14/19 12:33
Quant open-868
Worst price30.78
Drawdown as % of equity-0.20%
$22
Includes Typical Broker Commissions trade costs of $5.00
5/9/19 14:39 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,660 30.71 5/10 15:58 28.52 1.91%
Trade id #123596717
Max drawdown($1,542)
Time5/10/19 10:42
Quant open-1,660
Worst price31.64
Drawdown as % of equity-1.91%
$3,629
Includes Typical Broker Commissions trade costs of $7.50
5/7/19 10:01 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 552 29.08 5/7 13:41 30.87 0.09%
Trade id #123557028
Max drawdown($66)
Time5/7/19 10:01
Quant open552
Worst price28.96
Drawdown as % of equity-0.09%
$984
Includes Typical Broker Commissions trade costs of $5.00
5/1/19 14:07 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 855 25.30 5/7 10:01 26.81 1.62%
Trade id #123495490
Max drawdown($1,292)
Time5/7/19 10:01
Quant open640
Worst price29.05
Drawdown as % of equity-1.62%
($1,303)
Includes Typical Broker Commissions trade costs of $11.05
4/29/19 12:04 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 593 25.37 4/30 11:04 26.26 0.65%
Trade id #123465327
Max drawdown($528)
Time4/30/19 11:04
Quant open0
Worst price26.26
Drawdown as % of equity-0.65%
($533)
Includes Typical Broker Commissions trade costs of $5.00
4/18/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,027 25.98 4/25 15:57 26.36 1.5%
Trade id #123356483
Max drawdown($1,237)
Time4/25/19 9:46
Quant open-1,456
Worst price26.65
Drawdown as % of equity-1.50%
($784)
Includes Typical Broker Commissions trade costs of $13.80
4/16/19 9:37 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,181 25.67 4/16 15:58 25.74 0.62%
Trade id #123326755
Max drawdown($508)
Time4/16/19 15:37
Quant open-2,181
Worst price25.90
Drawdown as % of equity-0.62%
($178)
Includes Typical Broker Commissions trade costs of $7.50
4/15/19 10:30 VXXB IPATH SER B S&P 500 VIX SHOR LONG 764 26.60 4/16 9:37 25.70 0.83%
Trade id #123314371
Max drawdown($688)
Time4/16/19 8:56
Quant open764
Worst price25.70
Drawdown as % of equity-0.83%
($692)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    10/22/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1036.02
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    186
  • # Profitable
    84
  • % Profitable
    45.20%
  • Avg trade duration
    3.5 days
  • Max peak-to-valley drawdown
    24.74%
  • drawdown period
    May 21, 2018 - July 20, 2018
  • Annual Return (Compounded)
    48.7%
  • Avg win
    $1,666
  • Avg loss
    $771.40
  • Model Account Values (Raw)
  • Cash
    $86,336
  • Margin Used
    $0
  • Buying Power
    $86,336
  • Ratios
  • W:L ratio
    1.78:1
  • Sharpe Ratio
    1.49
  • Sortino Ratio
    2.43
  • Calmar Ratio
    3.234
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31400
  • Return Statistics
  • Ann Return (w trading costs)
    48.7%
  • Ann Return (Compnd, No Fees)
    54.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.50%
  • Chance of 20% account loss
    6.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    932
  • Popularity (Last 6 weeks)
    975
  • C2 Score
    957
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $771
  • Avg Win
    $1,667
  • # Winners
    84
  • # Losers
    102
  • % Winners
    45.2%
  • Frequency
  • Avg Position Time (mins)
    5030.78
  • Avg Position Time (hrs)
    83.85
  • Avg Trade Length
    3.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.99
  • Daily leverage (max)
    2.44
  • Regression
  • Alpha
    0.10
  • Beta
    0.55
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    2.149
  • Avg(MAE) / Avg(PL) - Winning trades
    0.251
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.228
  • Hold-and-Hope Ratio
    0.465
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44417
  • SD
    0.22267
  • Sharpe ratio (Glass type estimate)
    1.99478
  • Sharpe ratio (Hedges UMVUE)
    1.94760
  • df
    32.00000
  • t
    3.30797
  • p
    0.00116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22218
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.50778
  • Upside Potential Ratio
    7.02958
  • Upside part of mean
    0.56689
  • Downside part of mean
    -0.12272
  • Upside SD
    0.24086
  • Downside SD
    0.08064
  • N nonnegative terms
    22.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.08248
  • Mean of criterion
    0.44417
  • SD of predictor
    0.13082
  • SD of criterion
    0.22267
  • Covariance
    0.00811
  • r
    0.27854
  • b (slope, estimate of beta)
    0.47408
  • a (intercept, estimate of alpha)
    0.40507
  • Mean Square Error
    0.04721
  • DF error
    31.00000
  • t(b)
    1.61474
  • p(b)
    0.05825
  • t(a)
    3.04010
  • p(a)
    0.00239
  • Lowerbound of 95% confidence interval for beta
    -0.12471
  • Upperbound of 95% confidence interval for beta
    1.07288
  • Lowerbound of 95% confidence interval for alpha
    0.13332
  • Upperbound of 95% confidence interval for alpha
    0.67682
  • Treynor index (mean / b)
    0.93690
  • Jensen alpha (a)
    0.40507
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41296
  • SD
    0.21385
  • Sharpe ratio (Glass type estimate)
    1.93106
  • Sharpe ratio (Hedges UMVUE)
    1.88539
  • df
    32.00000
  • t
    3.20231
  • p
    0.00154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.64568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19045
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15435
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.94431
  • Upside Potential Ratio
    6.45098
  • Upside part of mean
    0.53880
  • Downside part of mean
    -0.12584
  • Upside SD
    0.22712
  • Downside SD
    0.08352
  • N nonnegative terms
    22.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.07369
  • Mean of criterion
    0.41296
  • SD of predictor
    0.13171
  • SD of criterion
    0.21385
  • Covariance
    0.00811
  • r
    0.28804
  • b (slope, estimate of beta)
    0.46769
  • a (intercept, estimate of alpha)
    0.37850
  • Mean Square Error
    0.04329
  • DF error
    31.00000
  • t(b)
    1.67474
  • p(b)
    0.05202
  • t(a)
    2.97692
  • p(a)
    0.00280
  • Lowerbound of 95% confidence interval for beta
    -0.10187
  • Upperbound of 95% confidence interval for beta
    1.03724
  • Lowerbound of 95% confidence interval for alpha
    0.11919
  • Upperbound of 95% confidence interval for alpha
    0.63781
  • Treynor index (mean / b)
    0.88298
  • Jensen alpha (a)
    0.37850
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06493
  • Expected Shortfall on VaR
    0.08850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01762
  • Expected Shortfall on VaR
    0.03867
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.90451
  • Quartile 1
    0.99075
  • Median
    1.02947
  • Quartile 3
    1.09093
  • Maximum
    1.15599
  • Mean of quarter 1
    0.96603
  • Mean of quarter 2
    1.01359
  • Mean of quarter 3
    1.06139
  • Mean of quarter 4
    1.12552
  • Inter Quartile Range
    0.10018
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02702
  • VaR(95%) (moments method)
    0.02656
  • Expected Shortfall (moments method)
    0.03702
  • Extreme Value Index (regression method)
    0.37776
  • VaR(95%) (regression method)
    0.03932
  • Expected Shortfall (regression method)
    0.07840
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02717
  • Quartile 1
    0.02753
  • Median
    0.03824
  • Quartile 3
    0.09549
  • Maximum
    0.10986
  • Mean of quarter 1
    0.02735
  • Mean of quarter 2
    0.03824
  • Mean of quarter 3
    0.09549
  • Mean of quarter 4
    0.10986
  • Inter Quartile Range
    0.06796
  • 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)
    0.85872
  • Compounded annual return (geometric extrapolation)
    0.55405
  • Calmar ratio (compounded annual return / max draw down)
    5.04332
  • Compounded annual return / average of 25% largest draw downs
    5.04332
  • Compounded annual return / Expected Shortfall lognormal
    6.26042
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43668
  • SD
    0.21779
  • Sharpe ratio (Glass type estimate)
    2.00502
  • Sharpe ratio (Hedges UMVUE)
    2.00297
  • df
    734.00000
  • t
    3.35824
  • p
    0.00041
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.82970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17763
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34046
  • Upside Potential Ratio
    9.96704
  • Upside part of mean
    1.30294
  • Downside part of mean
    -0.86626
  • Upside SD
    0.17609
  • Downside SD
    0.13072
  • N nonnegative terms
    327.00000
  • N negative terms
    408.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    735.00000
  • Mean of predictor
    0.08045
  • Mean of criterion
    0.43668
  • SD of predictor
    0.12994
  • SD of criterion
    0.21779
  • Covariance
    0.00883
  • r
    0.31214
  • b (slope, estimate of beta)
    0.52318
  • a (intercept, estimate of alpha)
    0.39500
  • Mean Square Error
    0.04287
  • DF error
    733.00000
  • t(b)
    8.89541
  • p(b)
    -0.00000
  • t(a)
    3.18962
  • p(a)
    0.00074
  • Lowerbound of 95% confidence interval for beta
    0.40772
  • Upperbound of 95% confidence interval for beta
    0.63865
  • Lowerbound of 95% confidence interval for alpha
    0.15172
  • Upperbound of 95% confidence interval for alpha
    0.63746
  • Treynor index (mean / b)
    0.83466
  • Jensen alpha (a)
    0.39459
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41273
  • SD
    0.21704
  • Sharpe ratio (Glass type estimate)
    1.90162
  • Sharpe ratio (Hedges UMVUE)
    1.89968
  • df
    734.00000
  • t
    3.18506
  • p
    0.00075
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07389
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09938
  • Upside Potential Ratio
    9.66962
  • Upside part of mean
    1.28765
  • Downside part of mean
    -0.87492
  • Upside SD
    0.17309
  • Downside SD
    0.13316
  • N nonnegative terms
    327.00000
  • N negative terms
    408.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    735.00000
  • Mean of predictor
    0.07198
  • Mean of criterion
    0.41273
  • SD of predictor
    0.13022
  • SD of criterion
    0.21704
  • Covariance
    0.00884
  • r
    0.31276
  • b (slope, estimate of beta)
    0.52128
  • a (intercept, estimate of alpha)
    0.37520
  • Mean Square Error
    0.04256
  • DF error
    733.00000
  • t(b)
    8.91482
  • p(b)
    -0.00000
  • t(a)
    3.04458
  • p(a)
    0.00121
  • Lowerbound of 95% confidence interval for beta
    0.40648
  • Upperbound of 95% confidence interval for beta
    0.63608
  • Lowerbound of 95% confidence interval for alpha
    0.13326
  • Upperbound of 95% confidence interval for alpha
    0.61714
  • Treynor index (mean / b)
    0.79175
  • Jensen alpha (a)
    0.37520
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02027
  • Expected Shortfall on VaR
    0.02573
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00803
  • Expected Shortfall on VaR
    0.01668
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    735.00000
  • Minimum
    0.91642
  • Quartile 1
    0.99665
  • Median
    1.00000
  • Quartile 3
    1.00595
  • Maximum
    1.07200
  • Mean of quarter 1
    0.98805
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.00199
  • Mean of quarter 4
    1.01807
  • Inter Quartile Range
    0.00930
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.04626
  • Mean of outliers low
    0.97061
  • Number of outliers high
    58.00000
  • Percentage of outliers high
    0.07891
  • Mean of outliers high
    1.03237
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35311
  • VaR(95%) (moments method)
    0.01079
  • Expected Shortfall (moments method)
    0.02013
  • Extreme Value Index (regression method)
    0.11215
  • VaR(95%) (regression method)
    0.01144
  • Expected Shortfall (regression method)
    0.01760
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00599
  • Median
    0.01324
  • Quartile 3
    0.05459
  • Maximum
    0.17122
  • Mean of quarter 1
    0.00298
  • Mean of quarter 2
    0.00892
  • Mean of quarter 3
    0.02838
  • Mean of quarter 4
    0.09147
  • Inter Quartile Range
    0.04861
  • 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
    0.02273
  • Mean of outliers high
    0.17122
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.31473
  • VaR(95%) (moments method)
    0.09931
  • Expected Shortfall (moments method)
    0.11535
  • Extreme Value Index (regression method)
    0.33694
  • VaR(95%) (regression method)
    0.08746
  • Expected Shortfall (regression method)
    0.12312
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.87057
  • Compounded annual return (geometric extrapolation)
    0.55369
  • Calmar ratio (compounded annual return / max draw down)
    3.23381
  • Compounded annual return / average of 25% largest draw downs
    6.05338
  • Compounded annual return / Expected Shortfall lognormal
    21.51620
  • 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
    0.18152
  • SD
    0.12121
  • Sharpe ratio (Glass type estimate)
    1.49762
  • Sharpe ratio (Hedges UMVUE)
    1.48896
  • df
    130.00000
  • t
    1.05897
  • p
    0.45376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27261
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28875
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26667
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53332
  • Upside Potential Ratio
    9.80150
  • Upside part of mean
    0.70231
  • Downside part of mean
    -0.52079
  • Upside SD
    0.09783
  • Downside SD
    0.07165
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03254
  • Mean of criterion
    0.18152
  • SD of predictor
    0.13473
  • SD of criterion
    0.12121
  • Covariance
    0.00351
  • r
    0.21465
  • b (slope, estimate of beta)
    0.19311
  • a (intercept, estimate of alpha)
    0.17524
  • Mean Square Error
    0.01412
  • DF error
    129.00000
  • t(b)
    2.49610
  • p(b)
    0.36441
  • t(a)
    1.04256
  • p(a)
    0.44189
  • Lowerbound of 95% confidence interval for beta
    0.04004
  • Upperbound of 95% confidence interval for beta
    0.34617
  • Lowerbound of 95% confidence interval for alpha
    -0.15732
  • Upperbound of 95% confidence interval for alpha
    0.50779
  • Treynor index (mean / b)
    0.94000
  • Jensen alpha (a)
    0.17524
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17419
  • SD
    0.12078
  • Sharpe ratio (Glass type estimate)
    1.44215
  • Sharpe ratio (Hedges UMVUE)
    1.43381
  • df
    130.00000
  • t
    1.01975
  • p
    0.45546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21684
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21109
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41309
  • Upside Potential Ratio
    9.66294
  • Upside part of mean
    0.69751
  • Downside part of mean
    -0.52333
  • Upside SD
    0.09686
  • Downside SD
    0.07218
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02349
  • Mean of criterion
    0.17419
  • SD of predictor
    0.13523
  • SD of criterion
    0.12078
  • Covariance
    0.00350
  • r
    0.21410
  • b (slope, estimate of beta)
    0.19122
  • a (intercept, estimate of alpha)
    0.16970
  • Mean Square Error
    0.01403
  • DF error
    129.00000
  • t(b)
    2.48939
  • p(b)
    0.36475
  • t(a)
    1.01307
  • p(a)
    0.44351
  • Lowerbound of 95% confidence interval for beta
    0.03924
  • Upperbound of 95% confidence interval for beta
    0.34320
  • Lowerbound of 95% confidence interval for alpha
    -0.16172
  • Upperbound of 95% confidence interval for alpha
    0.50111
  • Treynor index (mean / b)
    0.91092
  • Jensen alpha (a)
    0.16970
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01154
  • Expected Shortfall on VaR
    0.01462
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00499
  • Expected Shortfall on VaR
    0.00996
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97637
  • Quartile 1
    0.99789
  • Median
    1.00000
  • Quartile 3
    1.00312
  • Maximum
    1.03165
  • Mean of quarter 1
    0.99300
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00100
  • Mean of quarter 4
    1.00985
  • Inter Quartile Range
    0.00523
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98371
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01828
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08117
  • VaR(95%) (moments method)
    0.00579
  • Expected Shortfall (moments method)
    0.00846
  • Extreme Value Index (regression method)
    -0.00231
  • VaR(95%) (regression method)
    0.00638
  • Expected Shortfall (regression method)
    0.00900
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00209
  • Quartile 1
    0.01613
  • Median
    0.02169
  • Quartile 3
    0.03171
  • Maximum
    0.04357
  • Mean of quarter 1
    0.00463
  • Mean of quarter 2
    0.01989
  • Mean of quarter 3
    0.02574
  • Mean of quarter 4
    0.04208
  • Inter Quartile Range
    0.01557
  • 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)
    0.21266
  • Compounded annual return (geometric extrapolation)
    0.22396
  • Calmar ratio (compounded annual return / max draw down)
    5.14009
  • Compounded annual return / average of 25% largest draw downs
    5.32221
  • Compounded annual return / Expected Shortfall lognormal
    15.32380

Strategy Description

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





Summary Statistics

Strategy began
2016-10-22
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 4.3%
Rank # 
#25
# Trades
186
# Profitable
84
% Profitable
45.2%
Correlation S&P500
0.314
Sharpe Ratio
1.49
Sortino Ratio
2.43
Beta
0.55
Alpha
0.10
Leverage
0.99 Average
2.44 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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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.