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VIX Tactical Trader
(104952602)

Created by: LuizCoelho LuizCoelho
Started: 12/2016
Stocks
Last trade: 4 days ago
Trading style: Equity Trend-following Momentum

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 $129.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
38.3%
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.

(20.4%)
Max Drawdown
107
Num Trades
44.9%
Win Trades
1.8 : 1
Profit Factor
68.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             +5.7%+5.7%
2017+16.0%(1.7%)+9.1%+11.8%+6.4%(4.9%)+6.8%+6.4%+7.2%+6.2%+5.8%+3.5%+99.2%
2018(6.4%)+7.2%(0.9%)+2.9%+1.3%(4.7%)+3.9%(4.1%)+3.5%(1.3%)+4.9%(12.3%)(7.6%)

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 84 hours.

Trading Record

This strategy has placed 244 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 250 46.83 12/14 11:50 45.85 1.04%
Trade id #121440460
Max drawdown($244)
Time12/14/18 11:50
Quant open0
Worst price45.85
Drawdown as % of equity-1.04%
($249)
Includes Typical Broker Commissions trade costs of $5.00
12/11/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 180 38.73 12/14 11:50 40.38 1.99%
Trade id #121440457
Max drawdown($460)
Time12/11/18 13:53
Quant open-180
Worst price41.29
Drawdown as % of equity-1.99%
($301)
Includes Typical Broker Commissions trade costs of $3.60
12/10/18 11:45 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 130 45.30 12/11 9:30 46.90 0.87%
Trade id #121425506
Max drawdown($208)
Time12/11/18 9:30
Quant open0
Worst price46.90
Drawdown as % of equity-0.87%
($211)
Includes Typical Broker Commissions trade costs of $2.60
12/6/18 9:31 VXX IPATH S&P 500 VIX ST FUTURES E LONG 90 39.60 12/11 9:30 38.73 1.03%
Trade id #121373807
Max drawdown($243)
Time12/7/18 9:43
Quant open90
Worst price36.90
Drawdown as % of equity-1.03%
($81)
Includes Typical Broker Commissions trade costs of $1.80
12/6/18 10:26 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 130 46.30 12/7 15:53 46.00 0.98%
Trade id #121376138
Max drawdown($231)
Time12/7/18 9:43
Quant open-130
Worst price48.08
Drawdown as % of equity-0.98%
$36
Includes Typical Broker Commissions trade costs of $2.60
11/23/18 11:17 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 250 48.03 12/6 9:31 46.14 1.97%
Trade id #121137292
Max drawdown($493)
Time12/6/18 9:31
Quant open250
Worst price46.06
Drawdown as % of equity-1.97%
($479)
Includes Typical Broker Commissions trade costs of $5.00
11/23/18 11:07 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 290 35.88 12/6 9:30 36.91 2.76%
Trade id #121136953
Max drawdown($691)
Time12/6/18 9:26
Quant open-170
Worst price39.95
Drawdown as % of equity-2.76%
($303)
Includes Typical Broker Commissions trade costs of $5.80
11/19/18 12:31 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 100 48.45 11/23 11:17 47.66 0.25%
Trade id #121049877
Max drawdown($61)
Time11/19/18 15:15
Quant open-100
Worst price49.06
Drawdown as % of equity-0.25%
$77
Includes Typical Broker Commissions trade costs of $2.00
11/19/18 12:37 VXX IPATH S&P 500 VIX ST FUTURES E LONG 100 37.02 11/23 11:07 38.48 0.28%
Trade id #121050217
Max drawdown($68)
Time11/19/18 15:15
Quant open100
Worst price36.34
Drawdown as % of equity-0.28%
$144
Includes Typical Broker Commissions trade costs of $2.00
11/16/18 9:59 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 100 36.79 11/19 12:35 37.24 0.24%
Trade id #121002601
Max drawdown($59)
Time11/19/18 12:35
Quant open-100
Worst price37.39
Drawdown as % of equity-0.24%
($47)
Includes Typical Broker Commissions trade costs of $2.00
11/16/18 10:00 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 190 49.04 11/19 12:28 48.50 0.49%
Trade id #121002698
Max drawdown($120)
Time11/19/18 12:26
Quant open190
Worst price48.41
Drawdown as % of equity-0.49%
($107)
Includes Typical Broker Commissions trade costs of $3.80
11/16/18 9:41 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 110 48.35 11/16 9:59 48.85 0.22%
Trade id #121001880
Max drawdown($55)
Time11/16/18 9:59
Quant open0
Worst price48.85
Drawdown as % of equity-0.22%
($57)
Includes Typical Broker Commissions trade costs of $2.20
11/16/18 9:45 VXX IPATH S&P 500 VIX ST FUTURES E LONG 70 37.35 11/16 9:59 36.79 0.16%
Trade id #121002006
Max drawdown($39)
Time11/16/18 9:59
Quant open0
Worst price36.79
Drawdown as % of equity-0.16%
($40)
Includes Typical Broker Commissions trade costs of $1.40
10/30/18 12:33 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 330 37.76 11/16 9:36 36.70 0.47%
Trade id #120624417
Max drawdown($112)
Time10/30/18 13:36
Quant open-150
Worst price40.55
Drawdown as % of equity-0.47%
$341
Includes Typical Broker Commissions trade costs of $6.60
11/14/18 10:52 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 240 48.97 11/16 9:35 48.33 1.46%
Trade id #120933977
Max drawdown($359)
Time11/15/18 10:38
Quant open240
Worst price47.47
Drawdown as % of equity-1.46%
($158)
Includes Typical Broker Commissions trade costs of $4.80
10/30/18 9:53 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 260 47.47 11/13 10:30 49.49 0.32%
Trade id #120618056
Max drawdown($77)
Time10/30/18 10:55
Quant open200
Worst price46.77
Drawdown as % of equity-0.32%
$520
Includes Typical Broker Commissions trade costs of $5.20
10/26/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 60 46.95 10/26 9:30 46.86 0.02%
Trade id #120560008
Max drawdown($5)
Time10/26/18 9:30
Quant open0
Worst price46.86
Drawdown as % of equity-0.02%
($6)
Includes Typical Broker Commissions trade costs of $1.20
10/25/18 15:44 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 40 37.78 10/26 9:30 40.38 0.58%
Trade id #120547108
Max drawdown($140)
Time10/26/18 5:32
Quant open-40
Worst price41.30
Drawdown as % of equity-0.58%
($105)
Includes Typical Broker Commissions trade costs of $0.80
10/23/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 100 37.69 10/23 10:14 38.08 0.33%
Trade id #120485229
Max drawdown($79)
Time10/23/18 9:50
Quant open100
Worst price36.89
Drawdown as % of equity-0.33%
$37
Includes Typical Broker Commissions trade costs of $2.00
10/22/18 10:04 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 200 35.25 10/23 9:30 37.44 2.2%
Trade id #120467417
Max drawdown($550)
Time10/23/18 9:21
Quant open-200
Worst price38.00
Drawdown as % of equity-2.20%
($443)
Includes Typical Broker Commissions trade costs of $4.00
10/12/18 15:50 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 150 51.88 10/23 9:30 48.67 2.12%
Trade id #120332573
Max drawdown($530)
Time10/23/18 9:21
Quant open150
Worst price48.34
Drawdown as % of equity-2.12%
($484)
Includes Typical Broker Commissions trade costs of $3.00
10/16/18 10:33 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 100 33.55 10/18 13:21 34.99 0.58%
Trade id #120380345
Max drawdown($144)
Time10/18/18 13:21
Quant open0
Worst price34.99
Drawdown as % of equity-0.58%
($146)
Includes Typical Broker Commissions trade costs of $2.00
10/15/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 160 34.89 10/16 10:33 33.41 1.13%
Trade id #120349508
Max drawdown($284)
Time10/16/18 10:05
Quant open160
Worst price33.11
Drawdown as % of equity-1.13%
($240)
Includes Typical Broker Commissions trade costs of $3.20
10/12/18 15:26 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 190 34.57 10/15 9:30 34.90 0.59%
Trade id #120332079
Max drawdown($150)
Time10/15/18 4:51
Quant open-190
Worst price35.36
Drawdown as % of equity-0.59%
($66)
Includes Typical Broker Commissions trade costs of $3.80
10/8/18 11:37 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 180 56.59 10/12 15:50 51.47 0.41%
Trade id #120234554
Max drawdown($95)
Time10/9/18 12:02
Quant open-180
Worst price57.12
Drawdown as % of equity-0.41%
$917
Includes Typical Broker Commissions trade costs of $3.60
10/5/18 13:54 VXX IPATH S&P 500 VIX ST FUTURES E LONG 120 29.03 10/12 15:26 35.64 0.55%
Trade id #120210712
Max drawdown($130)
Time10/5/18 16:14
Quant open120
Worst price27.94
Drawdown as % of equity-0.55%
$792
Includes Typical Broker Commissions trade costs of $2.40
8/16/18 13:22 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 250 56.08 10/5 13:10 56.21 45.76%
Trade id #119473750
Max drawdown($10,612)
Time9/7/18 9:39
Quant open250
Worst price13.63
Drawdown as % of equity-45.76%
$27
Includes Typical Broker Commissions trade costs of $5.00
8/16/18 11:15 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 200 30.10 10/5 12:40 29.91 0.69%
Trade id #119470191
Max drawdown($161)
Time9/7/18 9:05
Quant open-150
Worst price31.11
Drawdown as % of equity-0.69%
$35
Includes Typical Broker Commissions trade costs of $4.00
8/15/18 9:45 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 800 13.51 8/16 13:22 14.02 1.72%
Trade id #119448443
Max drawdown($407)
Time8/16/18 13:22
Quant open0
Worst price14.02
Drawdown as % of equity-1.72%
($412)
Includes Typical Broker Commissions trade costs of $5.00
8/15/18 9:47 VXX IPATH S&P 500 VIX ST FUTURES E LONG 100 32.37 8/16 11:15 30.03 0.99%
Trade id #119448525
Max drawdown($234)
Time8/16/18 11:15
Quant open0
Worst price30.03
Drawdown as % of equity-0.99%
($236)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    12/2/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    746.43
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    107
  • # Profitable
    48
  • % Profitable
    44.90%
  • Avg trade duration
    7.9 days
  • Max peak-to-valley drawdown
    20.43%
  • drawdown period
    May 21, 2018 - Dec 11, 2018
  • Annual Return (Compounded)
    38.3%
  • Avg win
    $616.96
  • Avg loss
    $278.34
  • Model Account Values (Raw)
  • Cash
    $23,192
  • Margin Used
    $0
  • Buying Power
    $23,192
  • Ratios
  • W:L ratio
    1.80:1
  • Sharpe Ratio
    1.727
  • Sortino Ratio
    2.771
  • Calmar Ratio
    3.699
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.37200
  • Return Statistics
  • Ann Return (w trading costs)
    38.3%
  • Ann Return (Compnd, No Fees)
    50.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    723
  • Popularity (Last 6 weeks)
    958
  • C2 Score
    85.5
  • 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
    $278
  • Avg Win
    $617
  • # Winners
    48
  • # Losers
    59
  • % Winners
    44.9%
  • Frequency
  • Avg Position Time (mins)
    11379.70
  • Avg Position Time (hrs)
    189.66
  • Avg Trade Length
    7.9 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46533
  • SD
    0.29357
  • Sharpe ratio (Glass type estimate)
    1.58509
  • Sharpe ratio (Hedges UMVUE)
    1.53273
  • df
    23.00000
  • t
    2.24165
  • p
    0.01746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98770
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92954
  • Upside Potential Ratio
    4.62948
  • Upside part of mean
    0.73534
  • Downside part of mean
    -0.27002
  • Upside SD
    0.27460
  • Downside SD
    0.15884
  • N nonnegative terms
    18.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.06969
  • Mean of criterion
    0.46533
  • SD of predictor
    0.09846
  • SD of criterion
    0.29357
  • Covariance
    0.01804
  • r
    0.62422
  • b (slope, estimate of beta)
    1.86123
  • a (intercept, estimate of alpha)
    0.33562
  • Mean Square Error
    0.05499
  • DF error
    22.00000
  • t(b)
    3.74766
  • p(b)
    0.00056
  • t(a)
    1.98134
  • p(a)
    0.03009
  • Lowerbound of 95% confidence interval for beta
    0.83127
  • Upperbound of 95% confidence interval for beta
    2.89119
  • Lowerbound of 95% confidence interval for alpha
    -0.01567
  • Upperbound of 95% confidence interval for alpha
    0.68692
  • Treynor index (mean / b)
    0.25001
  • Jensen alpha (a)
    0.33562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41595
  • SD
    0.28997
  • Sharpe ratio (Glass type estimate)
    1.43449
  • Sharpe ratio (Hedges UMVUE)
    1.38711
  • df
    23.00000
  • t
    2.02867
  • p
    0.02711
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86613
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82982
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.49647
  • Upside Potential Ratio
    4.19387
  • Upside part of mean
    0.69876
  • Downside part of mean
    -0.28281
  • Upside SD
    0.25929
  • Downside SD
    0.16662
  • N nonnegative terms
    18.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.06465
  • Mean of criterion
    0.41595
  • SD of predictor
    0.09927
  • SD of criterion
    0.28997
  • Covariance
    0.01825
  • r
    0.63387
  • b (slope, estimate of beta)
    1.85150
  • a (intercept, estimate of alpha)
    0.29624
  • Mean Square Error
    0.05258
  • DF error
    22.00000
  • t(b)
    3.84403
  • p(b)
    0.00044
  • t(a)
    1.79421
  • p(a)
    0.04327
  • Lowerbound of 95% confidence interval for beta
    0.85261
  • Upperbound of 95% confidence interval for beta
    2.85039
  • Lowerbound of 95% confidence interval for alpha
    -0.04617
  • Upperbound of 95% confidence interval for alpha
    0.63866
  • Treynor index (mean / b)
    0.22466
  • Jensen alpha (a)
    0.29624
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09789
  • Expected Shortfall on VaR
    0.12848
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03179
  • Expected Shortfall on VaR
    0.07077
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.89172
  • Quartile 1
    1.00152
  • Median
    1.05332
  • Quartile 3
    1.10892
  • Maximum
    1.16441
  • Mean of quarter 1
    0.91232
  • Mean of quarter 2
    1.03766
  • Mean of quarter 3
    1.08443
  • Mean of quarter 4
    1.13001
  • Inter Quartile Range
    0.10740
  • 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)
    -7.78554
  • VaR(95%) (moments method)
    0.08817
  • Expected Shortfall (moments method)
    0.08817
  • Extreme Value Index (regression method)
    -1.66581
  • VaR(95%) (regression method)
    0.10974
  • Expected Shortfall (regression method)
    0.11242
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.05569
  • Quartile 1
    0.07900
  • Median
    0.09233
  • Quartile 3
    0.10023
  • Maximum
    0.10828
  • Mean of quarter 1
    0.06584
  • Mean of quarter 2
    0.08805
  • Mean of quarter 3
    0.09661
  • Mean of quarter 4
    0.10486
  • Inter Quartile Range
    0.02123
  • 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)
    0.71479
  • Compounded annual return (geometric extrapolation)
    0.55871
  • Calmar ratio (compounded annual return / max draw down)
    5.15971
  • Compounded annual return / average of 25% largest draw downs
    5.32800
  • Compounded annual return / Expected Shortfall lognormal
    4.34845
  • 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
    0.42159
  • SD
    0.24371
  • Sharpe ratio (Glass type estimate)
    1.72985
  • Sharpe ratio (Hedges UMVUE)
    1.72740
  • df
    529.00000
  • t
    2.46035
  • p
    0.00710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10936
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77060
  • Upside Potential Ratio
    10.95020
  • Upside part of mean
    1.66626
  • Downside part of mean
    -1.24467
  • Upside SD
    0.19186
  • Downside SD
    0.15217
  • N nonnegative terms
    276.00000
  • N negative terms
    254.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    530.00000
  • Mean of predictor
    0.05352
  • Mean of criterion
    0.42159
  • SD of predictor
    0.12113
  • SD of criterion
    0.24371
  • Covariance
    0.01084
  • r
    0.36735
  • b (slope, estimate of beta)
    0.73912
  • a (intercept, estimate of alpha)
    0.38200
  • Mean Square Error
    0.05148
  • DF error
    528.00000
  • t(b)
    9.07573
  • p(b)
    0.00000
  • t(a)
    2.39396
  • p(a)
    0.00851
  • Lowerbound of 95% confidence interval for beta
    0.57913
  • Upperbound of 95% confidence interval for beta
    0.89910
  • Lowerbound of 95% confidence interval for alpha
    0.06854
  • Upperbound of 95% confidence interval for alpha
    0.69553
  • Treynor index (mean / b)
    0.57040
  • Jensen alpha (a)
    0.38204
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39175
  • SD
    0.24281
  • Sharpe ratio (Glass type estimate)
    1.61342
  • Sharpe ratio (Hedges UMVUE)
    1.61113
  • df
    529.00000
  • t
    2.29475
  • p
    0.01107
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99416
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22968
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99258
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54064
  • Upside Potential Ratio
    10.68830
  • Upside part of mean
    1.64806
  • Downside part of mean
    -1.25632
  • Upside SD
    0.18882
  • Downside SD
    0.15419
  • N nonnegative terms
    276.00000
  • N negative terms
    254.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    530.00000
  • Mean of predictor
    0.04614
  • Mean of criterion
    0.39175
  • SD of predictor
    0.12165
  • SD of criterion
    0.24281
  • Covariance
    0.01080
  • r
    0.36550
  • b (slope, estimate of beta)
    0.72953
  • a (intercept, estimate of alpha)
    0.35809
  • Mean Square Error
    0.05118
  • DF error
    528.00000
  • t(b)
    9.02279
  • p(b)
    0.00000
  • t(a)
    2.25073
  • p(a)
    0.01241
  • Lowerbound of 95% confidence interval for beta
    0.57069
  • Upperbound of 95% confidence interval for beta
    0.88836
  • Lowerbound of 95% confidence interval for alpha
    0.04554
  • Upperbound of 95% confidence interval for alpha
    0.67063
  • Treynor index (mean / b)
    0.53699
  • Jensen alpha (a)
    0.35809
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02291
  • Expected Shortfall on VaR
    0.02900
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01069
  • Expected Shortfall on VaR
    0.02068
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    530.00000
  • Minimum
    0.94688
  • Quartile 1
    0.99342
  • Median
    1.00061
  • Quartile 3
    1.01028
  • Maximum
    1.07532
  • Mean of quarter 1
    0.98395
  • Mean of quarter 2
    0.99733
  • Mean of quarter 3
    1.00510
  • Mean of quarter 4
    1.02048
  • Inter Quartile Range
    0.01686
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.01509
  • Mean of outliers low
    0.95971
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.01887
  • Mean of outliers high
    1.04881
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05788
  • VaR(95%) (moments method)
    0.01509
  • Expected Shortfall (moments method)
    0.02098
  • Extreme Value Index (regression method)
    -0.04643
  • VaR(95%) (regression method)
    0.01687
  • Expected Shortfall (regression method)
    0.02274
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00640
  • Median
    0.02535
  • Quartile 3
    0.05222
  • Maximum
    0.14095
  • Mean of quarter 1
    0.00146
  • Mean of quarter 2
    0.01716
  • Mean of quarter 3
    0.04129
  • Mean of quarter 4
    0.09362
  • Inter Quartile Range
    0.04582
  • 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
    0.03125
  • Mean of outliers high
    0.14095
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.19355
  • VaR(95%) (moments method)
    0.09474
  • Expected Shortfall (moments method)
    0.09503
  • Extreme Value Index (regression method)
    -0.68656
  • VaR(95%) (regression method)
    0.10992
  • Expected Shortfall (regression method)
    0.12183
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66099
  • Compounded annual return (geometric extrapolation)
    0.52144
  • Calmar ratio (compounded annual return / max draw down)
    3.69948
  • Compounded annual return / average of 25% largest draw downs
    5.56977
  • Compounded annual return / Expected Shortfall lognormal
    17.97910
  • 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
    -0.25411
  • SD
    0.21876
  • Sharpe ratio (Glass type estimate)
    -1.16160
  • Sharpe ratio (Hedges UMVUE)
    -1.15488
  • df
    130.00000
  • t
    -0.82137
  • p
    0.53593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.93482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61598
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.93024
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62048
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.54518
  • Upside Potential Ratio
    7.13273
  • Upside part of mean
    1.17299
  • Downside part of mean
    -1.42710
  • Upside SD
    0.14385
  • Downside SD
    0.16445
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    -0.25411
  • SD of predictor
    0.15311
  • SD of criterion
    0.21876
  • Covariance
    0.01034
  • r
    0.30861
  • b (slope, estimate of beta)
    0.44093
  • a (intercept, estimate of alpha)
    -0.17145
  • Mean Square Error
    0.04363
  • DF error
    129.00000
  • t(b)
    3.68502
  • p(b)
    0.30670
  • t(a)
    -0.57871
  • p(a)
    0.53238
  • Lowerbound of 95% confidence interval for beta
    0.20419
  • Upperbound of 95% confidence interval for beta
    0.67768
  • Lowerbound of 95% confidence interval for alpha
    -0.75760
  • Upperbound of 95% confidence interval for alpha
    0.41471
  • Treynor index (mean / b)
    -0.57630
  • Jensen alpha (a)
    -0.17145
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27801
  • SD
    0.21906
  • Sharpe ratio (Glass type estimate)
    -1.26909
  • Sharpe ratio (Hedges UMVUE)
    -1.26175
  • df
    130.00000
  • t
    -0.89738
  • p
    0.53923
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.04277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.03780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51429
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.66953
  • Upside Potential Ratio
    6.98238
  • Upside part of mean
    1.16269
  • Downside part of mean
    -1.44069
  • Upside SD
    0.14208
  • Downside SD
    0.16652
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    -0.27801
  • SD of predictor
    0.15382
  • SD of criterion
    0.21906
  • Covariance
    0.01035
  • r
    0.30729
  • b (slope, estimate of beta)
    0.43762
  • a (intercept, estimate of alpha)
    -0.19082
  • Mean Square Error
    0.04379
  • DF error
    129.00000
  • t(b)
    3.66757
  • p(b)
    0.30750
  • t(a)
    -0.64271
  • p(a)
    0.53595
  • Lowerbound of 95% confidence interval for beta
    0.20154
  • Upperbound of 95% confidence interval for beta
    0.67370
  • Lowerbound of 95% confidence interval for alpha
    -0.77825
  • Upperbound of 95% confidence interval for alpha
    0.39660
  • Treynor index (mean / b)
    -0.63526
  • Jensen alpha (a)
    -0.19082
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02305
  • Expected Shortfall on VaR
    0.02855
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01294
  • Expected Shortfall on VaR
    0.02389
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96148
  • Quartile 1
    0.99148
  • Median
    0.99976
  • Quartile 3
    1.00703
  • Maximum
    1.04169
  • Mean of quarter 1
    0.98220
  • Mean of quarter 2
    0.99640
  • Mean of quarter 3
    1.00273
  • Mean of quarter 4
    1.01533
  • Inter Quartile Range
    0.01555
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96486
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03578
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07122
  • VaR(95%) (moments method)
    0.01790
  • Expected Shortfall (moments method)
    0.02458
  • Extreme Value Index (regression method)
    -0.25930
  • VaR(95%) (regression method)
    0.01853
  • Expected Shortfall (regression method)
    0.02248
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.12698
  • Quartile 1
    0.12798
  • Median
    0.12898
  • Quartile 3
    0.12998
  • Maximum
    0.13098
  • Mean of quarter 1
    0.12698
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13098
  • Inter Quartile Range
    0.00200
  • 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)
    -0.23509
  • Compounded annual return (geometric extrapolation)
    -0.22128
  • Calmar ratio (compounded annual return / max draw down)
    -1.68932
  • Compounded annual return / average of 25% largest draw downs
    -1.68932
  • Compounded annual return / Expected Shortfall lognormal
    -7.75080

Strategy Description

VIX Tactical Trader is a systematic trend-following strategy implemented via volatility ETFs such as SVXY and VXX. Thus, retail investors can take advantage of a robust strategy usually accessible to professional traders only.

The strategy takes advantage of the strong trends generated by volatility instruments. It can assume a long/short or cash state and it implements stop-loss signals to mitigate the potential losses.

Summary Statistics

Strategy began
2016-12-02
Suggested Minimum Capital
$35,000
# Trades
107
# Profitable
48
% Profitable
44.9%
Correlation S&P500
0.372
Sharpe Ratio
1.727

Latest Activity

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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.