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SZT Index Vol Futures
(110327873)

Created by: SumZeroTrading SumZeroTrading
Started: 03/2017
Futures
Last trade: 10 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 $99.00 per month.

19.7%
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.

(16.6%)
Max Drawdown
336
Num Trades
47.3%
Win Trades
1.2 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              (1.7%)+1.1%+2.0%(0.8%)+3.7%+5.0%+5.0%+1.9%  -  +3.9%+21.7%
2018+5.3%+3.5%+2.1%(10.1%)+8.9%+3.9%+1.0%+1.9%+3.6%(9.4%)            +9.5%

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 168 hours.

Trading Record

This strategy has placed 345 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/12/18 10:25 @RTYZ8 Russell 2000 CME LONG 2 1560.40 10/12 12:38 1537.70 3.13%
Trade id #120322554
Max drawdown($2,270)
Time10/12/18 12:38
Quant open0
Worst price1537.70
Drawdown as % of equity-3.13%
($2,286)
Includes Typical Broker Commissions trade costs of $16.00
10/11/18 13:20 @RTYZ8 Russell 2000 CME LONG 2 1577.20 10/11 14:05 1570.40 1.21%
Trade id #120305371
Max drawdown($890)
Time10/11/18 14:04
Quant open2
Worst price1568.30
Drawdown as % of equity-1.21%
($696)
Includes Typical Broker Commissions trade costs of $16.00
10/9/18 11:30 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7433.50 10/9 13:20 7391.00 1.7%
Trade id #120255746
Max drawdown($1,275)
Time10/9/18 13:07
Quant open1
Worst price7369.75
Drawdown as % of equity-1.70%
($858)
Includes Typical Broker Commissions trade costs of $8.00
10/8/18 14:35 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7364.75 10/9 11:10 7408.00 0.75%
Trade id #120239451
Max drawdown($555)
Time10/9/18 7:56
Quant open1
Worst price7337.00
Drawdown as % of equity-0.75%
$857
Includes Typical Broker Commissions trade costs of $8.00
10/5/18 15:05 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7433.50 10/8 11:05 7384.75 1.99%
Trade id #120212026
Max drawdown($1,485)
Time10/8/18 9:34
Quant open1
Worst price7359.25
Drawdown as % of equity-1.99%
($983)
Includes Typical Broker Commissions trade costs of $8.00
10/4/18 16:00 @RTYZ8 Russell 2000 CME LONG 2 1651.40 10/5 11:35 1636.20 2.29%
Trade id #120190348
Max drawdown($1,730)
Time10/5/18 11:31
Quant open2
Worst price1634.10
Drawdown as % of equity-2.29%
($1,536)
Includes Typical Broker Commissions trade costs of $16.00
10/3/18 10:30 @RTYZ8 Russell 2000 CME LONG 2 1666.70 10/3 13:59 1679.20 0.5%
Trade id #120160680
Max drawdown($380)
Time10/3/18 11:01
Quant open2
Worst price1662.90
Drawdown as % of equity-0.50%
$1,234
Includes Typical Broker Commissions trade costs of $16.00
10/2/18 12:05 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7709.75 10/2 15:15 7648.50 1.72%
Trade id #120138288
Max drawdown($1,305)
Time10/2/18 15:09
Quant open1
Worst price7644.50
Drawdown as % of equity-1.72%
($1,233)
Includes Typical Broker Commissions trade costs of $8.00
9/28/18 15:55 @RTYZ8 Russell 2000 CME LONG 2 1698.80 10/1 13:25 1687.80 1.82%
Trade id #120099405
Max drawdown($1,390)
Time10/1/18 12:57
Quant open2
Worst price1684.90
Drawdown as % of equity-1.82%
($1,116)
Includes Typical Broker Commissions trade costs of $16.00
9/28/18 11:55 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7663.25 9/28 12:55 7649.75 0.74%
Trade id #120091981
Max drawdown($580)
Time9/28/18 12:50
Quant open1
Worst price7634.25
Drawdown as % of equity-0.74%
($278)
Includes Typical Broker Commissions trade costs of $8.00
9/27/18 11:10 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7679.00 9/27 13:45 7679.75 0.4%
Trade id #120066383
Max drawdown($310)
Time9/27/18 11:41
Quant open1
Worst price7663.50
Drawdown as % of equity-0.40%
$7
Includes Typical Broker Commissions trade costs of $8.00
9/26/18 14:10 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7645.00 9/26 15:45 7612.00 0.84%
Trade id #120049958
Max drawdown($660)
Time9/26/18 15:45
Quant open0
Worst price7612.00
Drawdown as % of equity-0.84%
($668)
Includes Typical Broker Commissions trade costs of $8.00
9/26/18 10:15 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7606.50 9/26 12:55 7634.75 0.06%
Trade id #120042511
Max drawdown($45)
Time9/26/18 10:19
Quant open1
Worst price7604.25
Drawdown as % of equity-0.06%
$557
Includes Typical Broker Commissions trade costs of $8.00
9/24/18 13:55 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7571.50 9/25 13:25 7586.50 0.54%
Trade id #120008338
Max drawdown($420)
Time9/25/18 11:01
Quant open1
Worst price7550.50
Drawdown as % of equity-0.54%
$292
Includes Typical Broker Commissions trade costs of $8.00
9/21/18 11:25 @RTYZ8 Russell 2000 CME LONG 2 1719.40 9/21 14:20 1721.00 0.17%
Trade id #119973450
Max drawdown($130)
Time9/21/18 12:37
Quant open2
Worst price1718.10
Drawdown as % of equity-0.17%
$144
Includes Typical Broker Commissions trade costs of $16.00
9/20/18 13:55 @RTYZ8 Russell 2000 CME LONG 2 1723.00 9/21 10:00 1727.40 0.1%
Trade id #119955955
Max drawdown($80)
Time9/20/18 14:02
Quant open2
Worst price1722.20
Drawdown as % of equity-0.10%
$424
Includes Typical Broker Commissions trade costs of $16.00
9/20/18 9:50 @RTYZ8 Russell 2000 CME LONG 2 1715.50 9/20 13:20 1722.40 0.43%
Trade id #119946051
Max drawdown($330)
Time9/20/18 10:30
Quant open2
Worst price1712.20
Drawdown as % of equity-0.43%
$674
Includes Typical Broker Commissions trade costs of $16.00
9/19/18 9:50 @RTYZ8 Russell 2000 CME LONG 2 1719.70 9/19 13:55 1706.30 2.11%
Trade id #119927801
Max drawdown($1,640)
Time9/19/18 12:41
Quant open2
Worst price1703.30
Drawdown as % of equity-2.11%
($1,356)
Includes Typical Broker Commissions trade costs of $16.00
9/18/18 10:40 @RTYZ8 Russell 2000 CME LONG 2 1712.10 9/18 13:25 1718.80 0.12%
Trade id #119908970
Max drawdown($90)
Time9/18/18 10:43
Quant open2
Worst price1711.20
Drawdown as % of equity-0.12%
$654
Includes Typical Broker Commissions trade costs of $16.00
9/14/18 14:25 @RTYZ8 Russell 2000 CME LONG 2 1727.90 9/17 11:40 1717.60 2.39%
Trade id #119871022
Max drawdown($1,870)
Time9/17/18 10:54
Quant open2
Worst price1709.20
Drawdown as % of equity-2.39%
($1,046)
Includes Typical Broker Commissions trade costs of $16.00
9/13/18 14:50 @YMZ8 MINI DOW LONG 1 26169 9/14 13:04 26137 0.32%
Trade id #119849964
Max drawdown($250)
Time9/14/18 12:25
Quant open1
Worst price26119
Drawdown as % of equity-0.32%
($168)
Includes Typical Broker Commissions trade costs of $8.00
9/12/18 15:35 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 1 7491.00 9/13 13:36 7561.75 0.55%
Trade id #119831230
Max drawdown($420)
Time9/13/18 1:02
Quant open1
Worst price7470.00
Drawdown as % of equity-0.55%
$1,407
Includes Typical Broker Commissions trade costs of $8.00
9/11/18 11:10 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 1 7472.00 9/12 15:10 7482.75 1.22%
Trade id #119801333
Max drawdown($940)
Time9/12/18 10:36
Quant open1
Worst price7425.00
Drawdown as % of equity-1.22%
$207
Includes Typical Broker Commissions trade costs of $8.00
9/11/18 9:35 @RTYU8 Russell 2000 CME LONG 2 1712.00 9/11 9:55 1717.80 0.03%
Trade id #119797022
Max drawdown($20)
Time9/11/18 9:37
Quant open2
Worst price1711.80
Drawdown as % of equity-0.03%
$564
Includes Typical Broker Commissions trade costs of $16.00
9/7/18 15:25 @RTYU8 Russell 2000 CME LONG 2 1711.80 9/10 10:15 1717.10 0.13%
Trade id #119766440
Max drawdown($100)
Time9/7/18 15:43
Quant open2
Worst price1710.80
Drawdown as % of equity-0.13%
$514
Includes Typical Broker Commissions trade costs of $16.00
9/6/18 14:40 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 1 7439.25 9/7 10:20 7470.00 1.24%
Trade id #119750937
Max drawdown($925)
Time9/7/18 9:07
Quant open1
Worst price7393.00
Drawdown as % of equity-1.24%
$607
Includes Typical Broker Commissions trade costs of $8.00
9/5/18 13:05 @YMU8 MINI DOW LONG 1 25968 9/6 10:10 26041 0.36%
Trade id #119734908
Max drawdown($265)
Time9/6/18 3:04
Quant open1
Worst price25915
Drawdown as % of equity-0.36%
$357
Includes Typical Broker Commissions trade costs of $8.00
9/4/18 14:25 @RTYU8 Russell 2000 CME LONG 2 1732.80 9/5 10:20 1717.10 2.06%
Trade id #119719879
Max drawdown($1,570)
Time9/5/18 10:20
Quant open0
Worst price1717.10
Drawdown as % of equity-2.06%
($1,586)
Includes Typical Broker Commissions trade costs of $16.00
8/31/18 15:20 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 1 7653.50 9/3 13:41 7682.25 0.41%
Trade id #119689319
Max drawdown($310)
Time8/31/18 15:28
Quant open1
Worst price7638.00
Drawdown as % of equity-0.41%
$567
Includes Typical Broker Commissions trade costs of $8.00
8/31/18 10:45 @RTYU8 Russell 2000 CME LONG 2 1734.10 8/31 12:30 1733.70 0.49%
Trade id #119681678
Max drawdown($370)
Time8/31/18 12:08
Quant open2
Worst price1730.40
Drawdown as % of equity-0.49%
($56)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    3/20/2017
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    580.96
  • Age
    19 months ago
  • What it trades
    Futures
  • # Trades
    336
  • # Profitable
    159
  • % Profitable
    47.30%
  • Avg trade duration
    22.6 hours
  • Max peak-to-valley drawdown
    16.65%
  • drawdown period
    March 12, 2018 - May 01, 2018
  • Annual Return (Compounded)
    19.7%
  • Avg win
    $712.35
  • Avg loss
    $513.69
  • Model Account Values (Raw)
  • Cash
    $72,339
  • Margin Used
    $0
  • Buying Power
    $72,339
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    1.425
  • Sortino Ratio
    2.151
  • Calmar Ratio
    1.887
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.32400
  • Return Statistics
  • Ann Return (w trading costs)
    19.7%
  • Ann Return (Compnd, No Fees)
    26.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    754
  • Popularity (Last 6 weeks)
    902
  • C2 Score
    97.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    14
  • Win / Loss
  • Avg Loss
    $514
  • Avg Win
    $712
  • # Winners
    159
  • # Losers
    177
  • % Winners
    47.3%
  • Frequency
  • Avg Position Time (mins)
    1354.92
  • Avg Position Time (hrs)
    22.58
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28123
  • SD
    0.12723
  • Sharpe ratio (Glass type estimate)
    2.21048
  • Sharpe ratio (Hedges UMVUE)
    2.11126
  • df
    17.00000
  • t
    2.70728
  • p
    0.16902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86185
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.52743
  • Upside Potential Ratio
    6.90398
  • Upside part of mean
    0.35127
  • Downside part of mean
    -0.07004
  • Upside SD
    0.13889
  • Downside SD
    0.05088
  • N nonnegative terms
    13.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.11525
  • Mean of criterion
    0.28123
  • SD of predictor
    0.09623
  • SD of criterion
    0.12723
  • Covariance
    0.00610
  • r
    0.49861
  • b (slope, estimate of beta)
    0.65925
  • a (intercept, estimate of alpha)
    0.20526
  • Mean Square Error
    0.01292
  • DF error
    16.00000
  • t(b)
    2.30088
  • p(b)
    0.25069
  • t(a)
    2.08348
  • p(a)
    0.26902
  • Lowerbound of 95% confidence interval for beta
    0.05185
  • Upperbound of 95% confidence interval for beta
    1.26665
  • Lowerbound of 95% confidence interval for alpha
    -0.00359
  • Upperbound of 95% confidence interval for alpha
    0.41410
  • Treynor index (mean / b)
    0.42659
  • Jensen alpha (a)
    0.20526
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27004
  • SD
    0.12457
  • Sharpe ratio (Glass type estimate)
    2.16784
  • Sharpe ratio (Hedges UMVUE)
    2.07053
  • df
    17.00000
  • t
    2.65505
  • p
    0.17300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81562
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.19191
  • Upside Potential Ratio
    6.56093
  • Upside part of mean
    0.34125
  • Downside part of mean
    -0.07121
  • Upside SD
    0.13426
  • Downside SD
    0.05201
  • N nonnegative terms
    13.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.11010
  • Mean of criterion
    0.27004
  • SD of predictor
    0.09608
  • SD of criterion
    0.12457
  • Covariance
    0.00581
  • r
    0.48566
  • b (slope, estimate of beta)
    0.62968
  • a (intercept, estimate of alpha)
    0.20072
  • Mean Square Error
    0.01260
  • DF error
    16.00000
  • t(b)
    2.22233
  • p(b)
    0.25717
  • t(a)
    2.07329
  • p(a)
    0.26991
  • Lowerbound of 95% confidence interval for beta
    0.02902
  • Upperbound of 95% confidence interval for beta
    1.23033
  • Lowerbound of 95% confidence interval for alpha
    -0.00451
  • Upperbound of 95% confidence interval for alpha
    0.40594
  • Treynor index (mean / b)
    0.42886
  • Jensen alpha (a)
    0.20072
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03598
  • Expected Shortfall on VaR
    0.05027
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00859
  • Expected Shortfall on VaR
    0.02030
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.94699
  • Quartile 1
    1.00026
  • Median
    1.02735
  • Quartile 3
    1.04945
  • Maximum
    1.09464
  • Mean of quarter 1
    0.98132
  • Mean of quarter 2
    1.01747
  • Mean of quarter 3
    1.03694
  • Mean of quarter 4
    1.06791
  • Inter Quartile Range
    0.04918
  • 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)
    0.43904
  • VaR(95%) (moments method)
    0.01221
  • Expected Shortfall (moments method)
    0.02798
  • Extreme Value Index (regression method)
    0.90454
  • VaR(95%) (regression method)
    0.03068
  • Expected Shortfall (regression method)
    0.37376
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00254
  • Quartile 1
    0.01163
  • Median
    0.01701
  • Quartile 3
    0.02868
  • Maximum
    0.05666
  • Mean of quarter 1
    0.00254
  • Mean of quarter 2
    0.01466
  • Mean of quarter 3
    0.01936
  • Mean of quarter 4
    0.05666
  • Inter Quartile Range
    0.01706
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.05666
  • 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)
    0.37567
  • Compounded annual return (geometric extrapolation)
    0.34710
  • Calmar ratio (compounded annual return / max draw down)
    6.12634
  • Compounded annual return / average of 25% largest draw downs
    6.12634
  • Compounded annual return / Expected Shortfall lognormal
    6.90401
  • 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
    0.21901
  • SD
    0.15342
  • Sharpe ratio (Glass type estimate)
    1.42747
  • Sharpe ratio (Hedges UMVUE)
    1.42487
  • df
    412.00000
  • t
    1.79221
  • p
    0.03692
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99074
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98897
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15051
  • Upside Potential Ratio
    9.92207
  • Upside part of mean
    1.01046
  • Downside part of mean
    -0.79145
  • Upside SD
    0.11530
  • Downside SD
    0.10184
  • N nonnegative terms
    229.00000
  • N negative terms
    184.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    413.00000
  • Mean of predictor
    0.07623
  • Mean of criterion
    0.21901
  • SD of predictor
    0.11490
  • SD of criterion
    0.15342
  • Covariance
    0.00600
  • r
    0.34040
  • b (slope, estimate of beta)
    0.45454
  • a (intercept, estimate of alpha)
    0.18400
  • Mean Square Error
    0.02086
  • DF error
    411.00000
  • t(b)
    7.33933
  • p(b)
    -0.00000
  • t(a)
    1.60117
  • p(a)
    0.05505
  • Lowerbound of 95% confidence interval for beta
    0.33280
  • Upperbound of 95% confidence interval for beta
    0.57629
  • Lowerbound of 95% confidence interval for alpha
    -0.04198
  • Upperbound of 95% confidence interval for alpha
    0.41069
  • Treynor index (mean / b)
    0.48182
  • Jensen alpha (a)
    0.18435
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20717
  • SD
    0.15327
  • Sharpe ratio (Glass type estimate)
    1.35167
  • Sharpe ratio (Hedges UMVUE)
    1.34921
  • df
    412.00000
  • t
    1.69705
  • p
    0.04522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21290
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21458
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91300
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01652
  • Upside Potential Ratio
    9.77034
  • Upside part of mean
    1.00379
  • Downside part of mean
    -0.79661
  • Upside SD
    0.11421
  • Downside SD
    0.10274
  • N nonnegative terms
    229.00000
  • N negative terms
    184.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    413.00000
  • Mean of predictor
    0.06959
  • Mean of criterion
    0.20717
  • SD of predictor
    0.11539
  • SD of criterion
    0.15327
  • Covariance
    0.00598
  • r
    0.33798
  • b (slope, estimate of beta)
    0.44892
  • a (intercept, estimate of alpha)
    0.17593
  • Mean Square Error
    0.02086
  • DF error
    411.00000
  • t(b)
    7.28042
  • p(b)
    -0.00000
  • t(a)
    1.52832
  • p(a)
    0.06360
  • Lowerbound of 95% confidence interval for beta
    0.32771
  • Upperbound of 95% confidence interval for beta
    0.57013
  • Lowerbound of 95% confidence interval for alpha
    -0.05035
  • Upperbound of 95% confidence interval for alpha
    0.40222
  • Treynor index (mean / b)
    0.46149
  • Jensen alpha (a)
    0.17593
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01468
  • Expected Shortfall on VaR
    0.01856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00645
  • Expected Shortfall on VaR
    0.01295
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    413.00000
  • Minimum
    0.97091
  • Quartile 1
    0.99656
  • Median
    1.00102
  • Quartile 3
    1.00571
  • Maximum
    1.03731
  • Mean of quarter 1
    0.98932
  • Mean of quarter 2
    0.99900
  • Mean of quarter 3
    1.00325
  • Mean of quarter 4
    1.01231
  • Inter Quartile Range
    0.00915
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.03390
  • Mean of outliers low
    0.97696
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.03632
  • Mean of outliers high
    1.02542
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14074
  • VaR(95%) (moments method)
    0.00901
  • Expected Shortfall (moments method)
    0.01172
  • Extreme Value Index (regression method)
    -0.23588
  • VaR(95%) (regression method)
    0.01034
  • Expected Shortfall (regression method)
    0.01318
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00077
  • Quartile 1
    0.00340
  • Median
    0.01655
  • Quartile 3
    0.03658
  • Maximum
    0.14043
  • Mean of quarter 1
    0.00242
  • Mean of quarter 2
    0.00931
  • Mean of quarter 3
    0.02222
  • Mean of quarter 4
    0.06386
  • Inter Quartile Range
    0.03318
  • 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
    0.03571
  • Mean of outliers high
    0.14043
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38552
  • VaR(95%) (moments method)
    0.07327
  • Expected Shortfall (moments method)
    0.12559
  • Extreme Value Index (regression method)
    1.19742
  • VaR(95%) (regression method)
    0.07045
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28456
  • Compounded annual return (geometric extrapolation)
    0.26501
  • Calmar ratio (compounded annual return / max draw down)
    1.88713
  • Compounded annual return / average of 25% largest draw downs
    4.14979
  • Compounded annual return / Expected Shortfall lognormal
    14.27790
  • 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
    0.05267
  • SD
    0.16281
  • Sharpe ratio (Glass type estimate)
    0.32349
  • Sharpe ratio (Hedges UMVUE)
    0.32162
  • df
    130.00000
  • t
    0.22874
  • p
    0.48997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44920
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09497
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09370
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46124
  • Upside Potential Ratio
    8.88429
  • Upside part of mean
    1.01445
  • Downside part of mean
    -0.96179
  • Upside SD
    0.11522
  • Downside SD
    0.11418
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04972
  • Mean of criterion
    0.05267
  • SD of predictor
    0.10785
  • SD of criterion
    0.16281
  • Covariance
    0.00541
  • r
    0.30829
  • b (slope, estimate of beta)
    0.46539
  • a (intercept, estimate of alpha)
    0.02952
  • Mean Square Error
    0.02417
  • DF error
    129.00000
  • t(b)
    3.68080
  • p(b)
    0.30689
  • t(a)
    0.13423
  • p(a)
    0.49248
  • Lowerbound of 95% confidence interval for beta
    0.21523
  • Upperbound of 95% confidence interval for beta
    0.71554
  • Lowerbound of 95% confidence interval for alpha
    -0.40568
  • Upperbound of 95% confidence interval for alpha
    0.46473
  • Treynor index (mean / b)
    0.11317
  • Jensen alpha (a)
    0.02952
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03952
  • SD
    0.16271
  • Sharpe ratio (Glass type estimate)
    0.24286
  • Sharpe ratio (Hedges UMVUE)
    0.24146
  • df
    130.00000
  • t
    0.17173
  • p
    0.49247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52946
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01447
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53050
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01342
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34312
  • Upside Potential Ratio
    8.75054
  • Upside part of mean
    1.00779
  • Downside part of mean
    -0.96828
  • Upside SD
    0.11409
  • Downside SD
    0.11517
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04392
  • Mean of criterion
    0.03952
  • SD of predictor
    0.10816
  • SD of criterion
    0.16271
  • Covariance
    0.00536
  • r
    0.30469
  • b (slope, estimate of beta)
    0.45835
  • a (intercept, estimate of alpha)
    0.01939
  • Mean Square Error
    0.02420
  • DF error
    129.00000
  • t(b)
    3.63336
  • p(b)
    0.30907
  • t(a)
    0.08808
  • p(a)
    0.49506
  • Lowerbound of 95% confidence interval for beta
    0.20876
  • Upperbound of 95% confidence interval for beta
    0.70793
  • Lowerbound of 95% confidence interval for alpha
    -0.41606
  • Upperbound of 95% confidence interval for alpha
    0.45483
  • Treynor index (mean / b)
    0.08622
  • Jensen alpha (a)
    0.01939
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01625
  • Expected Shortfall on VaR
    0.02037
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00806
  • Expected Shortfall on VaR
    0.01542
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97091
  • Quartile 1
    0.99429
  • Median
    1.00096
  • Quartile 3
    1.00607
  • Maximum
    1.03731
  • Mean of quarter 1
    0.98744
  • Mean of quarter 2
    0.99828
  • Mean of quarter 3
    1.00355
  • Mean of quarter 4
    1.01206
  • Inter Quartile Range
    0.01178
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97091
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03297
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22088
  • VaR(95%) (moments method)
    0.01249
  • Expected Shortfall (moments method)
    0.01535
  • Extreme Value Index (regression method)
    -0.29971
  • VaR(95%) (regression method)
    0.01272
  • Expected Shortfall (regression method)
    0.01528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00213
  • Quartile 1
    0.01140
  • Median
    0.02325
  • Quartile 3
    0.03456
  • Maximum
    0.08471
  • Mean of quarter 1
    0.00534
  • Mean of quarter 2
    0.01742
  • Mean of quarter 3
    0.02704
  • Mean of quarter 4
    0.06426
  • Inter Quartile Range
    0.02315
  • 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
    0.08333
  • Mean of outliers high
    0.08471
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -10.11800
  • VaR(95%) (moments method)
    0.06861
  • Expected Shortfall (moments method)
    0.06861
  • Extreme Value Index (regression method)
    -1.40056
  • VaR(95%) (regression method)
    0.09608
  • Expected Shortfall (regression method)
    0.10029
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06857
  • Compounded annual return (geometric extrapolation)
    0.06975
  • Calmar ratio (compounded annual return / max draw down)
    0.82342
  • Compounded annual return / average of 25% largest draw downs
    1.08542
  • Compounded annual return / Expected Shortfall lognormal
    3.42456

Strategy Description

This strategy will buy one of the index futures based on recent volatility in the market. The indexes that the strategy watches are:
- Dow Jones (YM)
- Nasdaq-100 (NQ)
- S&P 500 (ES)
- Russell-2000 (TF)

System entry and exit points are determined by volatility levels, and the selected index to trade is based off a ranking model used to determine the index that is most likely to increase over the time horizon.

This strategy typically holds trades for a few hours, but it is not uncommon to hold trades overnight. Risk management is a product of position sizing and time in market.

Summary Statistics

Strategy began
2017-03-20
Suggested Minimum Capital
$70,000
# Trades
336
# Profitable
159
% Profitable
47.3%
Correlation S&P500
0.324
Sharpe Ratio
1.425

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.