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VIXTrader Professional
(106600099)

Created by: RobertPeterson RobertPeterson
Started: 10/2016
Stocks
Last trade: Today

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.

53.1%
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
168
Num Trades
45.8%
Win Trades
1.8 : 1
Profit Factor
62.5%
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%+3.6%                                          +12.0%

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.

Trading Record

This strategy has placed 664 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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 n/a $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 n/a ($1,094)
Includes Typical Broker Commissions trade costs of $7.15
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 n/a $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
4/10/19 14:47 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,526 28.03 4/12 15:23 26.45 0.04%
Trade id #123272232
Max drawdown($34)
Time4/10/19 14:49
Quant open-1,018
Worst price28.32
Drawdown as % of equity-0.04%
$3,989
Includes Typical Broker Commissions trade costs of $12.40
4/2/19 12:03 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 858 28.64 4/3 9:30 28.16 0.2%
Trade id #123170504
Max drawdown($154)
Time4/2/19 16:14
Quant open-858
Worst price28.82
Drawdown as % of equity-0.20%
$406
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,674 29.46 4/1 15:59 28.72 0.22%
Trade id #123125161
Max drawdown($169)
Time3/29/19 13:21
Quant open-837
Worst price29.81
Drawdown as % of equity-0.22%
$1,232
Includes Typical Broker Commissions trade costs of $7.50
3/28/19 9:32 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 700 30.53 3/28 11:31 30.85 0.28%
Trade id #123111785
Max drawdown($220)
Time3/28/19 11:31
Quant open350
Worst price31.04
Drawdown as % of equity-0.28%
($230)
Includes Typical Broker Commissions trade costs of $9.50
3/27/19 9:31 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 866 30.27 3/27 11:17 31.51 1.37%
Trade id #123094965
Max drawdown($1,073)
Time3/27/19 11:17
Quant open433
Worst price31.53
Drawdown as % of equity-1.37%
($1,084)
Includes Typical Broker Commissions trade costs of $11.16
3/20/19 11:11 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 866 28.92 3/20 12:32 29.36 0.48%
Trade id #122991648
Max drawdown($380)
Time3/20/19 11:58
Quant open-866
Worst price29.36
Drawdown as % of equity-0.48%
($385)
Includes Typical Broker Commissions trade costs of $5.00
3/18/19 11:26 VXXB IPATH SER B S&P 500 VIX SHOR LONG 488 28.94 3/18 15:57 28.64 0.33%
Trade id #122953405
Max drawdown($258)
Time3/18/19 14:50
Quant open488
Worst price28.41
Drawdown as % of equity-0.33%
($156)
Includes Typical Broker Commissions trade costs of $9.76
3/15/19 15:42 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,778 28.48 3/18 11:25 28.88 0.88%
Trade id #122933585
Max drawdown($705)
Time3/18/19 11:25
Quant open0
Worst price28.88
Drawdown as % of equity-0.88%
($713)
Includes Typical Broker Commissions trade costs of $7.50
3/14/19 9:31 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 2,378 29.23 3/15 13:56 28.46 0.05%
Trade id #122909184
Max drawdown($36)
Time3/14/19 9:33
Quant open-1,188
Worst price29.70
Drawdown as % of equity-0.05%
$1,829
Includes Typical Broker Commissions trade costs of $10.00
3/13/19 9:31 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,764 29.66 3/13 11:52 29.61 0.02%
Trade id #122891621
Max drawdown($17)
Time3/13/19 9:34
Quant open-1,764
Worst price29.67
Drawdown as % of equity-0.02%
$84
Includes Typical Broker Commissions trade costs of $5.00
2/28/19 12:41 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,233 30.88 3/4 11:55 31.60 1.12%
Trade id #122735854
Max drawdown($885)
Time3/4/19 11:55
Quant open0
Worst price31.60
Drawdown as % of equity-1.12%
($892)
Includes Typical Broker Commissions trade costs of $7.03
2/25/19 11:54 VXXB IPATH SER B S&P 500 VIX SHOR LONG 573 30.04 2/25 13:44 30.26 0.07%
Trade id #122669862
Max drawdown($53)
Time2/25/19 12:15
Quant open573
Worst price29.95
Drawdown as % of equity-0.07%
$118
Includes Typical Broker Commissions trade costs of $5.00
2/22/19 10:33 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,135 30.89 2/25 11:40 30.05 0.34%
Trade id #122642345
Max drawdown($263)
Time2/22/19 15:01
Quant open-1,135
Worst price31.12
Drawdown as % of equity-0.34%
$947
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 9:49 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,082 32.33 2/20 12:33 32.16 0.03%
Trade id #122600623
Max drawdown($23)
Time2/20/19 9:51
Quant open-1,082
Worst price32.35
Drawdown as % of equity-0.03%
$177
Includes Typical Broker Commissions trade costs of $5.00
2/13/19 13:46 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,498 32.92 2/19 15:45 32.39 3.17%
Trade id #122507809
Max drawdown($2,420)
Time2/14/19 9:48
Quant open-1,498
Worst price34.54
Drawdown as % of equity-3.17%
$788
Includes Typical Broker Commissions trade costs of $7.50
2/8/19 11:21 VXXB IPATH SER B S&P 500 VIX SHOR LONG 394 35.55 2/8 14:32 34.63 0.47%
Trade id #122432267
Max drawdown($364)
Time2/8/19 14:32
Quant open197
Worst price34.36
Drawdown as % of equity-0.47%
($372)
Includes Typical Broker Commissions trade costs of $7.88
2/7/19 11:21 VXXB IPATH SER B S&P 500 VIX SHOR LONG 375 35.02 2/7 12:22 35.40 0.02%
Trade id #122416328
Max drawdown($11)
Time2/7/19 11:23
Quant open375
Worst price34.99
Drawdown as % of equity-0.02%
$135
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    10/22/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    943.18
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    168
  • # Profitable
    77
  • % Profitable
    45.80%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    24.74%
  • drawdown period
    May 21, 2018 - July 20, 2018
  • Annual Return (Compounded)
    53.1%
  • Avg win
    $1,702
  • Avg loss
    $795.56
  • Model Account Values (Raw)
  • Cash
    $83,667
  • Margin Used
    $0
  • Buying Power
    $83,667
  • Ratios
  • W:L ratio
    1.81:1
  • Sharpe Ratio
    1.57
  • Sortino Ratio
    2.57
  • Calmar Ratio
    3.567
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31710
  • Return Statistics
  • Ann Return (w trading costs)
    53.1%
  • Ann Return (Compnd, No Fees)
    59.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.50%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    864
  • Popularity (Last 6 weeks)
    958
  • C2 Score
    94.4
  • 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
    $796
  • Avg Win
    $1,702
  • # Winners
    77
  • # Losers
    91
  • % Winners
    45.8%
  • Frequency
  • Avg Position Time (mins)
    5271.93
  • Avg Position Time (hrs)
    87.87
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.03
  • Daily leverage (max)
    2.44
  • Unknown
  • Alpha
    0.11
  • Beta
    0.58
  • Treynor Index
    0.21
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47229
  • SD
    0.22834
  • Sharpe ratio (Glass type estimate)
    2.06836
  • Sharpe ratio (Hedges UMVUE)
    2.01432
  • df
    29.00000
  • t
    3.27037
  • p
    0.00139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35795
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.86010
  • Upside Potential Ratio
    7.33375
  • Upside part of mean
    0.59106
  • Downside part of mean
    -0.11877
  • Upside SD
    0.24999
  • Downside SD
    0.08059
  • N nonnegative terms
    20.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.10555
  • Mean of criterion
    0.47229
  • SD of predictor
    0.12056
  • SD of criterion
    0.22834
  • Covariance
    0.00697
  • r
    0.25332
  • b (slope, estimate of beta)
    0.47981
  • a (intercept, estimate of alpha)
    0.42164
  • Mean Square Error
    0.05054
  • DF error
    28.00000
  • t(b)
    1.38566
  • p(b)
    0.08840
  • t(a)
    2.87224
  • p(a)
    0.00384
  • Lowerbound of 95% confidence interval for beta
    -0.22949
  • Upperbound of 95% confidence interval for beta
    1.18910
  • Lowerbound of 95% confidence interval for alpha
    0.12094
  • Upperbound of 95% confidence interval for alpha
    0.72235
  • Treynor index (mean / b)
    0.98433
  • Jensen alpha (a)
    0.42164
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43897
  • SD
    0.21911
  • Sharpe ratio (Glass type estimate)
    2.00347
  • Sharpe ratio (Hedges UMVUE)
    1.95113
  • df
    29.00000
  • t
    3.16776
  • p
    0.00180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.64706
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33041
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61370
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28856
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.25024
  • Upside Potential Ratio
    6.70816
  • Upside part of mean
    0.56087
  • Downside part of mean
    -0.12190
  • Upside SD
    0.23553
  • Downside SD
    0.08361
  • N nonnegative terms
    20.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.09779
  • Mean of criterion
    0.43897
  • SD of predictor
    0.12169
  • SD of criterion
    0.21911
  • Covariance
    0.00701
  • r
    0.26273
  • b (slope, estimate of beta)
    0.47306
  • a (intercept, estimate of alpha)
    0.39271
  • Mean Square Error
    0.04629
  • DF error
    28.00000
  • t(b)
    1.44087
  • p(b)
    0.08036
  • t(a)
    2.80892
  • p(a)
    0.00448
  • Lowerbound of 95% confidence interval for beta
    -0.19946
  • Upperbound of 95% confidence interval for beta
    1.14557
  • Lowerbound of 95% confidence interval for alpha
    0.10633
  • Upperbound of 95% confidence interval for alpha
    0.67910
  • Treynor index (mean / b)
    0.92795
  • Jensen alpha (a)
    0.39271
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06523
  • Expected Shortfall on VaR
    0.08937
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01697
  • Expected Shortfall on VaR
    0.03769
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.90451
  • Quartile 1
    0.99103
  • Median
    1.02701
  • Quartile 3
    1.09582
  • Maximum
    1.15599
  • Mean of quarter 1
    0.96656
  • Mean of quarter 2
    1.01133
  • Mean of quarter 3
    1.06209
  • Mean of quarter 4
    1.12552
  • Inter Quartile Range
    0.10479
  • 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)
    0.20852
  • VaR(95%) (moments method)
    0.02849
  • Expected Shortfall (moments method)
    0.04694
  • Extreme Value Index (regression method)
    0.37812
  • VaR(95%) (regression method)
    0.03458
  • Expected Shortfall (regression method)
    0.06789
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02717
  • Quartile 1
    0.02744
  • Median
    0.06151
  • Quartile 3
    0.09908
  • Maximum
    0.10986
  • Mean of quarter 1
    0.02717
  • Mean of quarter 2
    0.02753
  • Mean of quarter 3
    0.09549
  • Mean of quarter 4
    0.10986
  • Inter Quartile Range
    0.07164
  • 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)
    0.88520
  • Compounded annual return (geometric extrapolation)
    0.59501
  • Calmar ratio (compounded annual return / max draw down)
    5.41614
  • Compounded annual return / average of 25% largest draw downs
    5.41614
  • Compounded annual return / Expected Shortfall lognormal
    6.65817
  • 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
    0.47454
  • SD
    0.22550
  • Sharpe ratio (Glass type estimate)
    2.10440
  • Sharpe ratio (Hedges UMVUE)
    2.10204
  • df
    668.00000
  • t
    3.36272
  • p
    0.00041
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33537
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33376
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51462
  • Upside Potential Ratio
    10.15360
  • Upside part of mean
    1.37092
  • Downside part of mean
    -0.89639
  • Upside SD
    0.18276
  • Downside SD
    0.13502
  • N nonnegative terms
    301.00000
  • N negative terms
    368.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    669.00000
  • Mean of predictor
    0.08654
  • Mean of criterion
    0.47454
  • SD of predictor
    0.12736
  • SD of criterion
    0.22550
  • Covariance
    0.00904
  • r
    0.31476
  • b (slope, estimate of beta)
    0.55731
  • a (intercept, estimate of alpha)
    0.42600
  • Mean Square Error
    0.04588
  • DF error
    667.00000
  • t(b)
    8.56437
  • p(b)
    -0.00000
  • t(a)
    3.17755
  • p(a)
    0.00078
  • Lowerbound of 95% confidence interval for beta
    0.42954
  • Upperbound of 95% confidence interval for beta
    0.68509
  • Lowerbound of 95% confidence interval for alpha
    0.16288
  • Upperbound of 95% confidence interval for alpha
    0.68974
  • Treynor index (mean / b)
    0.85147
  • Jensen alpha (a)
    0.42631
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44882
  • SD
    0.22471
  • Sharpe ratio (Glass type estimate)
    1.99734
  • Sharpe ratio (Hedges UMVUE)
    1.99510
  • df
    668.00000
  • t
    3.19164
  • p
    0.00074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22785
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22630
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26222
  • Upside Potential Ratio
    9.84471
  • Upside part of mean
    1.35446
  • Downside part of mean
    -0.90564
  • Upside SD
    0.17961
  • Downside SD
    0.13758
  • N nonnegative terms
    301.00000
  • N negative terms
    368.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    669.00000
  • Mean of predictor
    0.07840
  • Mean of criterion
    0.44882
  • SD of predictor
    0.12759
  • SD of criterion
    0.22471
  • Covariance
    0.00905
  • r
    0.31553
  • b (slope, estimate of beta)
    0.55569
  • a (intercept, estimate of alpha)
    0.40526
  • Mean Square Error
    0.04554
  • DF error
    667.00000
  • t(b)
    8.58755
  • p(b)
    -0.00000
  • t(a)
    3.03252
  • p(a)
    0.00126
  • Lowerbound of 95% confidence interval for beta
    0.42863
  • Upperbound of 95% confidence interval for beta
    0.68275
  • Lowerbound of 95% confidence interval for alpha
    0.14286
  • Upperbound of 95% confidence interval for alpha
    0.66766
  • Treynor index (mean / b)
    0.80768
  • Jensen alpha (a)
    0.40526
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02090
  • Expected Shortfall on VaR
    0.02655
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00826
  • Expected Shortfall on VaR
    0.01717
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    669.00000
  • Minimum
    0.91642
  • Quartile 1
    0.99639
  • Median
    1.00000
  • Quartile 3
    1.00632
  • Maximum
    1.07200
  • Mean of quarter 1
    0.98765
  • Mean of quarter 2
    0.99895
  • Mean of quarter 3
    1.00219
  • Mean of quarter 4
    1.01896
  • Inter Quartile Range
    0.00993
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.04335
  • Mean of outliers low
    0.96882
  • Number of outliers high
    53.00000
  • Percentage of outliers high
    0.07922
  • Mean of outliers high
    1.03350
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39590
  • VaR(95%) (moments method)
    0.01158
  • Expected Shortfall (moments method)
    0.02267
  • Extreme Value Index (regression method)
    0.10474
  • VaR(95%) (regression method)
    0.01216
  • Expected Shortfall (regression method)
    0.01860
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    43.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00590
  • Median
    0.01201
  • Quartile 3
    0.05586
  • Maximum
    0.17122
  • Mean of quarter 1
    0.00298
  • Mean of quarter 2
    0.00892
  • Mean of quarter 3
    0.02686
  • Mean of quarter 4
    0.09147
  • Inter Quartile Range
    0.04996
  • 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
    0.02326
  • 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)
    0.09979
  • Expected Shortfall (moments method)
    0.11571
  • Extreme Value Index (regression method)
    0.33694
  • VaR(95%) (regression method)
    0.08800
  • Expected Shortfall (regression method)
    0.12393
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.93132
  • Compounded annual return (geometric extrapolation)
    0.61080
  • Calmar ratio (compounded annual return / max draw down)
    3.56737
  • Compounded annual return / average of 25% largest draw downs
    6.67777
  • Compounded annual return / Expected Shortfall lognormal
    23.00500
  • 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
    0.23391
  • SD
    0.11455
  • Sharpe ratio (Glass type estimate)
    2.04205
  • Sharpe ratio (Hedges UMVUE)
    2.03024
  • df
    130.00000
  • t
    1.44395
  • p
    0.43718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.82107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81301
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36405
  • Upside Potential Ratio
    9.72185
  • Upside part of mean
    0.67599
  • Downside part of mean
    -0.44208
  • Upside SD
    0.09163
  • Downside SD
    0.06953
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08208
  • Mean of criterion
    0.23391
  • SD of predictor
    0.17131
  • SD of criterion
    0.11455
  • Covariance
    0.00439
  • r
    0.22351
  • b (slope, estimate of beta)
    0.14946
  • a (intercept, estimate of alpha)
    0.22165
  • Mean Square Error
    0.01256
  • DF error
    129.00000
  • t(b)
    2.60449
  • p(b)
    0.35890
  • t(a)
    1.39770
  • p(a)
    0.42244
  • Lowerbound of 95% confidence interval for beta
    0.03592
  • Upperbound of 95% confidence interval for beta
    0.26299
  • Lowerbound of 95% confidence interval for alpha
    -0.09211
  • Upperbound of 95% confidence interval for alpha
    0.53540
  • Treynor index (mean / b)
    1.56508
  • Jensen alpha (a)
    0.22165
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22730
  • SD
    0.11423
  • Sharpe ratio (Glass type estimate)
    1.98982
  • Sharpe ratio (Hedges UMVUE)
    1.97831
  • df
    130.00000
  • t
    1.40701
  • p
    0.43876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76840
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76053
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24260
  • Upside Potential Ratio
    9.58331
  • Upside part of mean
    0.67178
  • Downside part of mean
    -0.44448
  • Upside SD
    0.09074
  • Downside SD
    0.07010
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06753
  • Mean of criterion
    0.22730
  • SD of predictor
    0.17108
  • SD of criterion
    0.11423
  • Covariance
    0.00437
  • r
    0.22354
  • b (slope, estimate of beta)
    0.14925
  • a (intercept, estimate of alpha)
    0.21722
  • Mean Square Error
    0.01249
  • DF error
    129.00000
  • t(b)
    2.60479
  • p(b)
    0.35889
  • t(a)
    1.37380
  • p(a)
    0.42374
  • Lowerbound of 95% confidence interval for beta
    0.03589
  • Upperbound of 95% confidence interval for beta
    0.26263
  • Lowerbound of 95% confidence interval for alpha
    -0.09562
  • Upperbound of 95% confidence interval for alpha
    0.53006
  • Treynor index (mean / b)
    1.52291
  • Jensen alpha (a)
    0.21722
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01068
  • Expected Shortfall on VaR
    0.01359
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00387
  • Expected Shortfall on VaR
    0.00824
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97508
  • Quartile 1
    0.99889
  • Median
    1.00000
  • Quartile 3
    1.00330
  • Maximum
    1.03165
  • Mean of quarter 1
    0.99369
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00136
  • Mean of quarter 4
    1.00914
  • Inter Quartile Range
    0.00442
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98425
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01680
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34643
  • VaR(95%) (moments method)
    0.00467
  • Expected Shortfall (moments method)
    0.00902
  • Extreme Value Index (regression method)
    0.33403
  • VaR(95%) (regression method)
    0.00539
  • Expected Shortfall (regression method)
    0.01045
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00195
  • Quartile 1
    0.00782
  • Median
    0.01313
  • Quartile 3
    0.02683
  • Maximum
    0.04059
  • Mean of quarter 1
    0.00374
  • Mean of quarter 2
    0.01084
  • Mean of quarter 3
    0.02279
  • Mean of quarter 4
    0.03441
  • Inter Quartile Range
    0.01901
  • 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)
    -3.27073
  • VaR(95%) (moments method)
    0.03818
  • Expected Shortfall (moments method)
    0.03829
  • Extreme Value Index (regression method)
    -0.62858
  • VaR(95%) (regression method)
    0.04224
  • Expected Shortfall (regression method)
    0.04521
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27221
  • Compounded annual return (geometric extrapolation)
    0.29073
  • Calmar ratio (compounded annual return / max draw down)
    7.16267
  • Compounded annual return / average of 25% largest draw downs
    8.44791
  • Compounded annual return / Expected Shortfall lognormal
    21.38830

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
# Trades
168
# Profitable
77
% Profitable
45.8%
Correlation S&P500
0.317
Sharpe Ratio
1.57
Sortino Ratio
2.57
Beta
0.58
Alpha
0.11
Leverage
1.03 Average
2.44 Maximum

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 nominal 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.