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NQ VX Timer
(120355485)

Created by: ETFTIMER ETFTIMER
Started: 10/2018
Futures
Last trade: 7 days ago
Trading style: Futures Trend-following

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 $150.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
27.6%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(14.2%)
Max Drawdown
180
Num Trades
86.7%
Win Trades
2.2 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +7.8%+6.0%+1.0%+15.4%
2019+3.1%+2.4%+3.4%+0.2%+1.0%                                          +10.6%

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 168 hours.

Trading Record

This strategy has placed 163 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/13/19 15:50 @VXU9 CBOE Volatility Index VIX LONG 2 18.23 5/16 10:13 17.23 3.02%
Trade id #123652290
Max drawdown($2,000)
Time5/16/19 10:13
Quant open1
Worst price17.20
Drawdown as % of equity-3.02%
($2,016)
Includes Typical Broker Commissions trade costs of $16.00
5/13/19 15:48 @VXM9 CBOE Volatility Index VIX SHORT 2 18.60 5/16 10:10 16.80 0.31%
Trade id #123652266
Max drawdown($200)
Time5/13/19 16:11
Quant open-1
Worst price19.05
Drawdown as % of equity-0.31%
$3,584
Includes Typical Broker Commissions trade costs of $16.00
5/16/19 9:08 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7523.00 5/16 9:35 7528.38 0.69%
Trade id #123692839
Max drawdown($450)
Time5/16/19 9:31
Quant open2
Worst price7511.75
Drawdown as % of equity-0.69%
$199
Includes Typical Broker Commissions trade costs of $16.00
5/15/19 11:20 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 3 7500.33 5/15 12:25 7498.33 1.94%
Trade id #123681522
Max drawdown($1,240)
Time5/15/19 12:07
Quant open-3
Worst price7521.00
Drawdown as % of equity-1.94%
$96
Includes Typical Broker Commissions trade costs of $24.00
5/15/19 7:32 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7407.50 5/15 8:11 7385.00 0.7%
Trade id #123676472
Max drawdown($450)
Time5/15/19 8:11
Quant open0
Worst price7385.00
Drawdown as % of equity-0.70%
($458)
Includes Typical Broker Commissions trade costs of $8.00
5/14/19 13:12 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7448.00 5/14 14:03 7444.75 0.35%
Trade id #123667169
Max drawdown($230)
Time5/14/19 13:42
Quant open-1
Worst price7459.50
Drawdown as % of equity-0.35%
$57
Includes Typical Broker Commissions trade costs of $8.00
5/14/19 11:11 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7412.25 5/14 11:35 7438.50 0.8%
Trade id #123664512
Max drawdown($525)
Time5/14/19 11:35
Quant open0
Worst price7438.50
Drawdown as % of equity-0.80%
($533)
Includes Typical Broker Commissions trade costs of $8.00
5/14/19 9:48 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7366.25 5/14 10:00 7369.50 0.63%
Trade id #123661343
Max drawdown($410)
Time5/14/19 9:51
Quant open1
Worst price7345.75
Drawdown as % of equity-0.63%
$57
Includes Typical Broker Commissions trade costs of $8.00
5/13/19 12:53 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7347.25 5/13 13:00 7330.75 0.5%
Trade id #123649112
Max drawdown($330)
Time5/13/19 13:00
Quant open0
Worst price7330.75
Drawdown as % of equity-0.50%
($338)
Includes Typical Broker Commissions trade costs of $8.00
5/13/19 9:51 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7403.25 5/13 11:17 7344.75 1.78%
Trade id #123642716
Max drawdown($1,170)
Time5/13/19 11:17
Quant open0
Worst price7344.75
Drawdown as % of equity-1.78%
($1,178)
Includes Typical Broker Commissions trade costs of $8.00
5/8/19 8:40 @VXU9 CBOE Volatility Index VIX LONG 2 18.07 5/10 16:11 17.68 1.24%
Trade id #123570921
Max drawdown($825)
Time5/10/19 16:00
Quant open1
Worst price17.25
Drawdown as % of equity-1.24%
($816)
Includes Typical Broker Commissions trade costs of $16.00
5/8/19 8:40 @VXM9 CBOE Volatility Index VIX SHORT 1 18.15 5/10 16:10 16.85 1.52%
Trade id #123570909
Max drawdown($1,000)
Time5/9/19 10:24
Quant open-1
Worst price19.15
Drawdown as % of equity-1.52%
$1,292
Includes Typical Broker Commissions trade costs of $8.00
5/10/19 10:37 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7489.75 5/10 11:29 7463.00 1.39%
Trade id #123618058
Max drawdown($925)
Time5/10/19 11:04
Quant open1
Worst price7443.50
Drawdown as % of equity-1.39%
($543)
Includes Typical Broker Commissions trade costs of $8.00
5/10/19 10:02 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7537.75 5/10 10:03 7542.50 n/a $87
Includes Typical Broker Commissions trade costs of $8.00
5/9/19 9:47 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7523.50 5/9 11:55 7535.00 1.29%
Trade id #123588882
Max drawdown($850)
Time5/9/19 10:27
Quant open1
Worst price7481.00
Drawdown as % of equity-1.29%
$222
Includes Typical Broker Commissions trade costs of $8.00
5/7/19 9:07 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7713.00 5/7 9:14 7718.50 0.2%
Trade id #123554542
Max drawdown($130)
Time5/7/19 9:09
Quant open1
Worst price7706.50
Drawdown as % of equity-0.20%
$102
Includes Typical Broker Commissions trade costs of $8.00
5/7/19 8:07 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7729.00 5/7 8:15 7736.00 n/a $132
Includes Typical Broker Commissions trade costs of $8.00
5/5/19 19:14 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7738.50 5/6 9:41 7736.75 2.18%
Trade id #123534344
Max drawdown($1,420)
Time5/5/19 21:12
Quant open1
Worst price7667.50
Drawdown as % of equity-2.18%
($43)
Includes Typical Broker Commissions trade costs of $8.00
5/3/19 11:07 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7840.00 5/3 11:15 7838.25 0.08%
Trade id #123521675
Max drawdown($55)
Time5/3/19 11:12
Quant open-1
Worst price7842.75
Drawdown as % of equity-0.08%
$27
Includes Typical Broker Commissions trade costs of $8.00
5/3/19 10:35 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7821.00 5/3 10:39 7819.25 0.05%
Trade id #123521070
Max drawdown($35)
Time5/3/19 10:37
Quant open-1
Worst price7822.75
Drawdown as % of equity-0.05%
$27
Includes Typical Broker Commissions trade costs of $8.00
5/3/19 9:58 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7806.00 5/3 10:12 7804.00 0.44%
Trade id #123520306
Max drawdown($290)
Time5/3/19 10:03
Quant open-1
Worst price7820.50
Drawdown as % of equity-0.44%
$32
Includes Typical Broker Commissions trade costs of $8.00
5/2/19 11:22 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7746.75 5/2 11:32 7750.25 0.49%
Trade id #123506959
Max drawdown($325)
Time5/2/19 11:30
Quant open1
Worst price7730.50
Drawdown as % of equity-0.49%
$62
Includes Typical Broker Commissions trade costs of $8.00
5/2/19 10:13 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7801.75 5/2 10:18 7798.75 0.1%
Trade id #123505149
Max drawdown($65)
Time5/2/19 10:15
Quant open-1
Worst price7805.00
Drawdown as % of equity-0.10%
$52
Includes Typical Broker Commissions trade costs of $8.00
5/1/19 14:46 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7828.50 5/1 14:53 7831.25 0.37%
Trade id #123496329
Max drawdown($245)
Time5/1/19 14:51
Quant open1
Worst price7816.25
Drawdown as % of equity-0.37%
$47
Includes Typical Broker Commissions trade costs of $8.00
5/1/19 9:49 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7837.75 5/1 10:02 7839.00 0.4%
Trade id #123490006
Max drawdown($260)
Time5/1/19 10:01
Quant open1
Worst price7824.75
Drawdown as % of equity-0.40%
$17
Includes Typical Broker Commissions trade costs of $8.00
5/1/19 9:34 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7841.25 5/1 9:42 7844.25 0.3%
Trade id #123489618
Max drawdown($200)
Time5/1/19 9:38
Quant open1
Worst price7831.25
Drawdown as % of equity-0.30%
$52
Includes Typical Broker Commissions trade costs of $8.00
4/29/19 8:50 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7831.00 4/29 8:56 7837.75 0.03%
Trade id #123461303
Max drawdown($20)
Time4/29/19 8:52
Quant open1
Worst price7830.00
Drawdown as % of equity-0.03%
$127
Includes Typical Broker Commissions trade costs of $8.00
4/26/19 10:50 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7795.50 4/26 11:10 7808.75 0.15%
Trade id #123443038
Max drawdown($95)
Time4/26/19 10:52
Quant open1
Worst price7790.75
Drawdown as % of equity-0.15%
$257
Includes Typical Broker Commissions trade costs of $8.00
4/26/19 9:54 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7770.00 4/26 10:27 7794.25 0.45%
Trade id #123441426
Max drawdown($290)
Time4/26/19 10:03
Quant open1
Worst price7755.50
Drawdown as % of equity-0.45%
$477
Includes Typical Broker Commissions trade costs of $8.00
4/26/19 9:31 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7811.00 4/26 9:43 7774.50 1.11%
Trade id #123440403
Max drawdown($730)
Time4/26/19 9:43
Quant open0
Worst price7774.50
Drawdown as % of equity-1.11%
($738)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/15/2018
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    220.12
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    180
  • # Profitable
    156
  • % Profitable
    86.70%
  • Avg trade duration
    18.2 hours
  • Max peak-to-valley drawdown
    14.25%
  • drawdown period
    March 06, 2019 - March 08, 2019
  • Cumul. Return
    27.6%
  • Avg win
    $194.19
  • Avg loss
    $563.12
  • Model Account Values (Raw)
  • Cash
    $66,778
  • Margin Used
    $0
  • Buying Power
    $66,778
  • Ratios
  • W:L ratio
    2.24:1
  • Sharpe Ratio
    1.72
  • Sortino Ratio
    2.5
  • Calmar Ratio
    7.086
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19290
  • Return Statistics
  • Ann Return (w trading costs)
    48.9%
  • Ann Return (Compnd, No Fees)
    61.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.00%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    479
  • Popularity (Last 6 weeks)
    929
  • C2 Score
    87.5
  • 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
    $563
  • Avg Win
    $194
  • # Winners
    156
  • # Losers
    24
  • % Winners
    86.7%
  • Frequency
  • Avg Position Time (mins)
    1094.62
  • Avg Position Time (hrs)
    18.24
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.03
  • Daily leverage (max)
    11.49
  • Unknown
  • Alpha
    0.11
  • Beta
    0.21
  • Treynor Index
    0.53
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47017
  • SD
    0.11159
  • Sharpe ratio (Glass type estimate)
    4.21350
  • Sharpe ratio (Hedges UMVUE)
    3.65996
  • df
    6.00000
  • t
    3.21812
  • p
    0.00909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65988
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.58853
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.95746
  • Statistics related to Sortino ratio
  • Sortino ratio
    90.96500
  • Upside Potential Ratio
    92.27430
  • Upside part of mean
    0.47694
  • Downside part of mean
    -0.00677
  • Upside SD
    0.17049
  • Downside SD
    0.00517
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.03226
  • Mean of criterion
    0.47017
  • SD of predictor
    0.11073
  • SD of criterion
    0.11159
  • Covariance
    -0.00246
  • r
    -0.19894
  • b (slope, estimate of beta)
    -0.20048
  • a (intercept, estimate of alpha)
    0.47664
  • Mean Square Error
    0.01435
  • DF error
    5.00000
  • t(b)
    -0.45392
  • p(b)
    0.66555
  • t(a)
    3.02642
  • p(a)
    0.01460
  • Lowerbound of 95% confidence interval for beta
    -1.33587
  • Upperbound of 95% confidence interval for beta
    0.93491
  • Lowerbound of 95% confidence interval for alpha
    0.07177
  • Upperbound of 95% confidence interval for alpha
    0.88150
  • Treynor index (mean / b)
    -2.34519
  • Jensen alpha (a)
    0.47664
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45529
  • SD
    0.10602
  • Sharpe ratio (Glass type estimate)
    4.29453
  • Sharpe ratio (Hedges UMVUE)
    3.73034
  • df
    6.00000
  • t
    3.28000
  • p
    0.00841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.69960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40769
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.05299
  • Statistics related to Sortino ratio
  • Sortino ratio
    88.11750
  • Upside Potential Ratio
    89.42680
  • Upside part of mean
    0.46206
  • Downside part of mean
    -0.00677
  • Upside SD
    0.16395
  • Downside SD
    0.00517
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.02694
  • Mean of criterion
    0.45529
  • SD of predictor
    0.11012
  • SD of criterion
    0.10602
  • Covariance
    -0.00224
  • r
    -0.19146
  • b (slope, estimate of beta)
    -0.18432
  • a (intercept, estimate of alpha)
    0.46026
  • Mean Square Error
    0.01299
  • DF error
    5.00000
  • t(b)
    -0.43618
  • p(b)
    0.65955
  • t(a)
    3.07499
  • p(a)
    0.01381
  • Lowerbound of 95% confidence interval for beta
    -1.27064
  • Upperbound of 95% confidence interval for beta
    0.90199
  • Lowerbound of 95% confidence interval for alpha
    0.07548
  • Upperbound of 95% confidence interval for alpha
    0.84503
  • Treynor index (mean / b)
    -2.47009
  • Jensen alpha (a)
    0.46026
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01232
  • Expected Shortfall on VaR
    0.02481
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00043
  • Expected Shortfall on VaR
    0.00131
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.99838
  • Quartile 1
    1.02731
  • Median
    1.03863
  • Quartile 3
    1.04790
  • Maximum
    1.10313
  • Mean of quarter 1
    1.01159
  • Mean of quarter 2
    1.03423
  • Mean of quarter 3
    1.04229
  • Mean of quarter 4
    1.07832
  • Inter Quartile Range
    0.02059
  • 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
    0.14286
  • Mean of outliers high
    1.10313
  • Risk estimates for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00162
  • Quartile 1
    0.00162
  • Median
    0.00162
  • Quartile 3
    0.00162
  • Maximum
    0.00162
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.55817
  • Compounded annual return (geometric extrapolation)
    0.62125
  • Calmar ratio (compounded annual return / max draw down)
    383.63900
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    25.04050
  • 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
    0.47187
  • SD
    0.19863
  • Sharpe ratio (Glass type estimate)
    2.37561
  • Sharpe ratio (Hedges UMVUE)
    2.36410
  • df
    155.00000
  • t
    1.83310
  • p
    0.40759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.92559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.91771
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.76454
  • Upside Potential Ratio
    8.21934
  • Upside part of mean
    1.03027
  • Downside part of mean
    -0.55839
  • Upside SD
    0.15601
  • Downside SD
    0.12535
  • N nonnegative terms
    100.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    156.00000
  • Mean of predictor
    0.02470
  • Mean of criterion
    0.47187
  • SD of predictor
    0.17926
  • SD of criterion
    0.19863
  • Covariance
    0.00671
  • r
    0.18855
  • b (slope, estimate of beta)
    0.20893
  • a (intercept, estimate of alpha)
    0.46700
  • Mean Square Error
    0.03830
  • DF error
    154.00000
  • t(b)
    2.38256
  • p(b)
    0.40573
  • t(a)
    1.84014
  • p(a)
    0.42666
  • Lowerbound of 95% confidence interval for beta
    0.03570
  • Upperbound of 95% confidence interval for beta
    0.38216
  • Lowerbound of 95% confidence interval for alpha
    -0.03433
  • Upperbound of 95% confidence interval for alpha
    0.96776
  • Treynor index (mean / b)
    2.25855
  • Jensen alpha (a)
    0.46671
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45193
  • SD
    0.19783
  • Sharpe ratio (Glass type estimate)
    2.28447
  • Sharpe ratio (Hedges UMVUE)
    2.27340
  • df
    155.00000
  • t
    1.76278
  • p
    0.41104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.82599
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.53032
  • Upside Potential Ratio
    7.95492
  • Upside part of mean
    1.01835
  • Downside part of mean
    -0.56641
  • Upside SD
    0.15257
  • Downside SD
    0.12801
  • N nonnegative terms
    100.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    156.00000
  • Mean of predictor
    0.00874
  • Mean of criterion
    0.45193
  • SD of predictor
    0.17917
  • SD of criterion
    0.19783
  • Covariance
    0.00677
  • r
    0.19102
  • b (slope, estimate of beta)
    0.21091
  • a (intercept, estimate of alpha)
    0.45009
  • Mean Square Error
    0.03795
  • DF error
    154.00000
  • t(b)
    2.41502
  • p(b)
    0.40449
  • t(a)
    1.78273
  • p(a)
    0.42890
  • Lowerbound of 95% confidence interval for beta
    0.03839
  • Upperbound of 95% confidence interval for beta
    0.38344
  • Lowerbound of 95% confidence interval for alpha
    -0.04867
  • Upperbound of 95% confidence interval for alpha
    0.94884
  • Treynor index (mean / b)
    2.14273
  • Jensen alpha (a)
    0.45009
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01821
  • Expected Shortfall on VaR
    0.02320
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00370
  • Expected Shortfall on VaR
    0.00896
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    156.00000
  • Minimum
    0.94535
  • Quartile 1
    1.00000
  • Median
    1.00127
  • Quartile 3
    1.00347
  • Maximum
    1.07238
  • Mean of quarter 1
    0.99162
  • Mean of quarter 2
    1.00036
  • Mean of quarter 3
    1.00233
  • Mean of quarter 4
    1.01332
  • Inter Quartile Range
    0.00347
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08974
  • Mean of outliers low
    0.97961
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.12180
  • Mean of outliers high
    1.02137
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.90455
  • VaR(95%) (moments method)
    0.00458
  • Expected Shortfall (moments method)
    0.05740
  • Extreme Value Index (regression method)
    0.64142
  • VaR(95%) (regression method)
    0.00694
  • Expected Shortfall (regression method)
    0.02639
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00108
  • Median
    0.00380
  • Quartile 3
    0.02129
  • Maximum
    0.08690
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.00204
  • Mean of quarter 3
    0.01146
  • Mean of quarter 4
    0.04507
  • Inter Quartile Range
    0.02021
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.07101
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.21237
  • VaR(95%) (moments method)
    0.04861
  • Expected Shortfall (moments method)
    0.07416
  • Extreme Value Index (regression method)
    0.92125
  • VaR(95%) (regression method)
    0.05545
  • Expected Shortfall (regression method)
    0.53131
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55541
  • Compounded annual return (geometric extrapolation)
    0.61582
  • Calmar ratio (compounded annual return / max draw down)
    7.08625
  • Compounded annual return / average of 25% largest draw downs
    13.66370
  • Compounded annual return / Expected Shortfall lognormal
    26.54200
  • 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
    0.30914
  • SD
    0.16333
  • Sharpe ratio (Glass type estimate)
    1.89267
  • Sharpe ratio (Hedges UMVUE)
    1.88173
  • df
    130.00000
  • t
    1.33832
  • p
    0.44171
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89218
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.67038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.66296
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02541
  • Upside Potential Ratio
    7.34775
  • Upside part of mean
    0.75079
  • Downside part of mean
    -0.44166
  • Upside SD
    0.12806
  • Downside SD
    0.10218
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07455
  • Mean of criterion
    0.30914
  • SD of predictor
    0.17193
  • SD of criterion
    0.16333
  • Covariance
    0.00554
  • r
    0.19742
  • b (slope, estimate of beta)
    0.18755
  • a (intercept, estimate of alpha)
    0.29516
  • Mean Square Error
    0.02584
  • DF error
    129.00000
  • t(b)
    2.28730
  • p(b)
    0.37514
  • t(a)
    1.29796
  • p(a)
    0.42787
  • Lowerbound of 95% confidence interval for beta
    0.02532
  • Upperbound of 95% confidence interval for beta
    0.34977
  • Lowerbound of 95% confidence interval for alpha
    -0.15476
  • Upperbound of 95% confidence interval for alpha
    0.74507
  • Treynor index (mean / b)
    1.64832
  • Jensen alpha (a)
    0.29516
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29582
  • SD
    0.16219
  • Sharpe ratio (Glass type estimate)
    1.82393
  • Sharpe ratio (Hedges UMVUE)
    1.81338
  • df
    130.00000
  • t
    1.28971
  • p
    0.44380
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.60120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59394
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.83983
  • Upside Potential Ratio
    7.13062
  • Upside part of mean
    0.74279
  • Downside part of mean
    -0.44697
  • Upside SD
    0.12485
  • Downside SD
    0.10417
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05989
  • Mean of criterion
    0.29582
  • SD of predictor
    0.17172
  • SD of criterion
    0.16219
  • Covariance
    0.00551
  • r
    0.19785
  • b (slope, estimate of beta)
    0.18687
  • a (intercept, estimate of alpha)
    0.28463
  • Mean Square Error
    0.02547
  • DF error
    129.00000
  • t(b)
    2.29249
  • p(b)
    0.37487
  • t(a)
    1.26077
  • p(a)
    0.42991
  • Lowerbound of 95% confidence interval for beta
    0.02559
  • Upperbound of 95% confidence interval for beta
    0.34814
  • Lowerbound of 95% confidence interval for alpha
    -0.16204
  • Upperbound of 95% confidence interval for alpha
    0.73130
  • Treynor index (mean / b)
    1.58305
  • Jensen alpha (a)
    0.28463
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01524
  • Expected Shortfall on VaR
    0.01934
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00306
  • Expected Shortfall on VaR
    0.00737
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95060
  • Quartile 1
    1.00000
  • Median
    1.00087
  • Quartile 3
    1.00283
  • Maximum
    1.07238
  • Mean of quarter 1
    0.99347
  • Mean of quarter 2
    1.00025
  • Mean of quarter 3
    1.00193
  • Mean of quarter 4
    1.00952
  • Inter Quartile Range
    0.00283
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98540
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.01769
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64041
  • VaR(95%) (moments method)
    0.00360
  • Expected Shortfall (moments method)
    0.01275
  • Extreme Value Index (regression method)
    0.69604
  • VaR(95%) (regression method)
    0.00541
  • Expected Shortfall (regression method)
    0.02338
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00102
  • Median
    0.00277
  • Quartile 3
    0.01064
  • Maximum
    0.08690
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00181
  • Mean of quarter 3
    0.00673
  • Mean of quarter 4
    0.03722
  • Inter Quartile Range
    0.00961
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.05778
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14230
  • VaR(95%) (moments method)
    0.03283
  • Expected Shortfall (moments method)
    0.05194
  • Extreme Value Index (regression method)
    1.00301
  • VaR(95%) (regression method)
    0.05961
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35140
  • Compounded annual return (geometric extrapolation)
    0.38227
  • Calmar ratio (compounded annual return / max draw down)
    4.39884
  • Compounded annual return / average of 25% largest draw downs
    10.27010
  • Compounded annual return / Expected Shortfall lognormal
    19.76280

Strategy Description

NQ VX Timer employs two strategies related to Nasdaq 100 futures and Volatility futures, each of which uses approximately half of its total account value.

One strategy trades the Nasdaq 100 (NQ) futures on primarily an intraday basis, generally lasting from several minutes to a few days.

The second strategy trades Volatility (VIX) futures calendar spreads, which generally lasts from one to five weeks. This strategy typically sells the front month VIX contract and simultaneously buys a different VIX contract two to four months further out. This essentially creates a partially hedged position. Under no circumstances will a VIX futures contract be sold without an offsetting long position being put on within several minutes.

It is important to note that certain statistics will be skewed relating to the Volatility futures calendar spreads because C2 treats each leg of the calendar spread as a separate trade. What should happen with this trade is that the short front month leg will result in a gain, while the long back month leg will results in a loss that is less than the gain. This should result in an overall gain on the calendar spread. However, C2 will record this as one gain and one loss (2 trades), instead of one gain on the overall trade. Therefore, this will result in a lower win rate.

Also, this will distort the Average Win and Average Loss statistics and the APD ratio, because the Average Loss on one leg of the VIX futures calendar spread will be several times as large as the average win for the NQ futures intraday trades. So C2 will display that the Average Loss is two to three times as large as the Average Win, when that is not the case since the VIX futures calendar spread is actually one overall trade and not two separate trades.

The profit target of the total of both of these strategies is an annualized return of 35-45%, while keeping the maximum drawdown below 15%.

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS

Summary Statistics

Strategy began
2018-10-15
Suggested Minimum Capital
$60,000
# Trades
180
# Profitable
156
% Profitable
86.7%
Correlation S&P500
0.193
Sharpe Ratio
1.72
Sortino Ratio
2.50
Beta
0.21
Alpha
0.11
Leverage
3.03 Average
11.49 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

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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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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.