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These are hypothetical performance results that have certain inherent limitations. Learn more

Volatility Trade (106900488)

Created by: Ultron Ultron
Started: 11/2016
Stocks
Last trade: 23 days ago

Subscriptions not available

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

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

460.2%
Cumul. Return
29.7%
Max Drawdown
76
Num Trades
60.5%
Win Trades
3.9 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +203.5%(3.1%)+194.0%
2017+62.4%+6.8%(4.8%)(3.7%)+1.1%+5.5%+1.6%(8.2%)+20.5%  -              +90.5%

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.

Trading Record

This strategy has placed 227 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/8/17 15:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 4,000 89.57 9/29 15:17 95.66 31.95%
Trade id #113044197
Max drawdown($65,039)
Time8/21/17 10:30
Quant open4,000
Worst price73.31
Drawdown as % of equity-31.95%
$24,301
Includes Typical Broker Commissions trade costs of $40.00
8/3/17 10:16 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,000 94.17 8/8 15:28 92.89 0.48%
Trade id #112965006
Max drawdown($1,282)
Time8/8/17 15:28
Quant open0
Worst price92.89
Drawdown as % of equity-0.48%
($1,292)
Includes Typical Broker Commissions trade costs of $10.00
7/27/17 13:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 90.61 8/1 13:58 95.90 1.59%
Trade id #112834738
Max drawdown($4,010)
Time7/27/17 13:41
Quant open3,000
Worst price89.27
Drawdown as % of equity-1.59%
$15,846
Includes Typical Broker Commissions trade costs of $30.00
7/17/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 25,000 11.66 7/21 9:54 11.37 3.84%
Trade id #112637566
Max drawdown($9,632)
Time7/21/17 4:20
Quant open25,000
Worst price11.27
Drawdown as % of equity-3.84%
($7,357)
Includes Typical Broker Commissions trade costs of $250.00
7/7/17 9:49 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,000 79.66 7/7 14:06 80.51 0.1%
Trade id #112465759
Max drawdown($248)
Time7/7/17 10:21
Quant open1,000
Worst price79.41
Drawdown as % of equity-0.10%
$842
Includes Typical Broker Commissions trade costs of $10.00
7/6/17 10:10 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,000 79.00 7/6 15:55 78.38 0.57%
Trade id #112442561
Max drawdown($1,479)
Time7/6/17 15:46
Quant open1,000
Worst price77.52
Drawdown as % of equity-0.57%
($630)
Includes Typical Broker Commissions trade costs of $10.00
6/29/17 13:00 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 20,000 13.53 6/29 15:21 12.83 5.21%
Trade id #112287119
Max drawdown($12,606)
Time6/29/17 13:30
Quant open-20,000
Worst price14.16
Drawdown as % of equity-5.21%
$13,816
Includes Typical Broker Commissions trade costs of $200.00
6/12/17 10:14 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,000 78.82 6/12 10:29 78.59 0.33%
Trade id #112013709
Max drawdown($796)
Time6/12/17 10:16
Quant open2,000
Worst price78.42
Drawdown as % of equity-0.33%
($471)
Includes Typical Broker Commissions trade costs of $20.00
5/17/17 10:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 4,000 75.66 5/19 11:05 74.47 18.33%
Trade id #111641621
Max drawdown($39,944)
Time5/18/17 6:01
Quant open4,000
Worst price65.67
Drawdown as % of equity-18.33%
($4,775)
Includes Typical Broker Commissions trade costs of $40.00
5/15/17 13:50 VXX IPATH S&P 500 VIX ST FUTURES E LONG 10,000 13.67 5/16 12:16 13.61 0.47%
Trade id #111604725
Max drawdown($1,181)
Time5/16/17 10:21
Quant open10,000
Worst price13.55
Drawdown as % of equity-0.47%
($690)
Includes Typical Broker Commissions trade costs of $100.00
5/11/17 10:38 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 77.40 5/11 13:30 79.06 0.12%
Trade id #111545477
Max drawdown($285)
Time5/11/17 10:40
Quant open3,000
Worst price77.30
Drawdown as % of equity-0.12%
$4,972
Includes Typical Broker Commissions trade costs of $30.00
5/3/17 11:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 76.04 5/3 14:52 77.08 0.06%
Trade id #111386608
Max drawdown($152)
Time5/3/17 11:33
Quant open3,000
Worst price75.99
Drawdown as % of equity-0.06%
$3,102
Includes Typical Broker Commissions trade costs of $30.00
4/20/17 9:48 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 65.02 4/20 11:00 64.71 0.39%
Trade id #111152955
Max drawdown($944)
Time4/20/17 11:00
Quant open0
Worst price64.71
Drawdown as % of equity-0.39%
($974)
Includes Typical Broker Commissions trade costs of $30.00
4/19/17 15:03 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 65.47 4/19 15:26 65.04 0.53%
Trade id #111131517
Max drawdown($1,291)
Time4/19/17 15:26
Quant open0
Worst price65.04
Drawdown as % of equity-0.53%
($1,321)
Includes Typical Broker Commissions trade costs of $30.00
4/19/17 14:54 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 65.51 4/19 15:00 65.26 0.31%
Trade id #111131156
Max drawdown($752)
Time4/19/17 15:00
Quant open0
Worst price65.26
Drawdown as % of equity-0.31%
($782)
Includes Typical Broker Commissions trade costs of $30.00
4/19/17 14:22 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 65.86 4/19 14:50 65.48 0.46%
Trade id #111129924
Max drawdown($1,136)
Time4/19/17 14:50
Quant open0
Worst price65.48
Drawdown as % of equity-0.46%
($1,166)
Includes Typical Broker Commissions trade costs of $30.00
4/19/17 13:21 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 66.23 4/19 14:15 65.80 0.52%
Trade id #111127951
Max drawdown($1,276)
Time4/19/17 14:15
Quant open0
Worst price65.80
Drawdown as % of equity-0.52%
($1,306)
Includes Typical Broker Commissions trade costs of $30.00
4/18/17 12:05 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 64.27 4/18 13:55 65.31 0.35%
Trade id #111091355
Max drawdown($850)
Time4/18/17 12:38
Quant open3,000
Worst price63.99
Drawdown as % of equity-0.35%
$3,067
Includes Typical Broker Commissions trade costs of $30.00
4/17/17 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 64.09 4/17 14:49 65.16 0.26%
Trade id #111049813
Max drawdown($620)
Time4/17/17 12:00
Quant open3,000
Worst price63.88
Drawdown as % of equity-0.26%
$3,202
Includes Typical Broker Commissions trade costs of $30.00
4/12/17 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 63.73 4/12 11:37 63.65 0.56%
Trade id #110938774
Max drawdown($1,349)
Time4/12/17 9:52
Quant open3,000
Worst price63.28
Drawdown as % of equity-0.56%
($261)
Includes Typical Broker Commissions trade costs of $30.00
4/11/17 12:12 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 64.29 4/11 13:14 65.02 n/a $2,156
Includes Typical Broker Commissions trade costs of $30.00
4/11/17 11:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 64.25 4/11 12:02 64.30 0.32%
Trade id #110914147
Max drawdown($759)
Time4/11/17 11:46
Quant open3,000
Worst price64.00
Drawdown as % of equity-0.32%
$122
Includes Typical Broker Commissions trade costs of $30.00
4/10/17 11:25 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,000 69.08 4/11 11:29 63.78 6.9%
Trade id #110880444
Max drawdown($16,672)
Time4/11/17 11:01
Quant open3,000
Worst price63.52
Drawdown as % of equity-6.90%
($15,933)
Includes Typical Broker Commissions trade costs of $30.00
4/10/17 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,000 69.94 4/10 10:51 69.60 0.27%
Trade id #110876289
Max drawdown($684)
Time4/10/17 10:51
Quant open0
Worst price69.60
Drawdown as % of equity-0.27%
($704)
Includes Typical Broker Commissions trade costs of $20.00
4/7/17 9:59 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 5,000 16.30 4/7 14:14 16.16 0.38%
Trade id #110812393
Max drawdown($960)
Time4/7/17 12:48
Quant open-5,000
Worst price16.49
Drawdown as % of equity-0.38%
$640
Includes Typical Broker Commissions trade costs of $50.00
4/5/17 10:25 VXX IPATH S&P 500 VIX ST FUTURES E LONG 7,500 15.39 4/6 15:07 15.99 0.16%
Trade id #110724389
Max drawdown($411)
Time4/5/17 13:39
Quant open5,000
Worst price15.33
Drawdown as % of equity-0.16%
$4,425
Includes Typical Broker Commissions trade costs of $75.00
3/29/17 9:52 VXX IPATH S&P 500 VIX ST FUTURES E LONG 10,000 15.49 3/30 9:35 15.47 0.78%
Trade id #110515026
Max drawdown($1,939)
Time3/29/17 15:10
Quant open10,000
Worst price15.30
Drawdown as % of equity-0.78%
($327)
Includes Typical Broker Commissions trade costs of $100.00
3/24/17 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 27,500 17.04 3/27 15:35 16.75 3.6%
Trade id #110419299
Max drawdown($8,862)
Time3/27/17 4:01
Quant open-15,000
Worst price17.63
Drawdown as % of equity-3.60%
$7,691
Includes Typical Broker Commissions trade costs of $275.00
3/21/17 10:18 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 22,500 15.96 3/23 15:04 16.60 8.87%
Trade id #110352803
Max drawdown($21,811)
Time3/22/17 4:44
Quant open-17,500
Worst price17.00
Drawdown as % of equity-8.87%
($14,502)
Includes Typical Broker Commissions trade costs of $225.00
3/21/17 10:06 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 10,000 15.55 3/21 10:16 15.70 0.6%
Trade id #110352400
Max drawdown($1,543)
Time3/21/17 10:16
Quant open0
Worst price15.70
Drawdown as % of equity-0.60%
($1,643)
Includes Typical Broker Commissions trade costs of $100.00

Statistics

  • Strategy began
    11/3/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    352.7
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    76
  • # Profitable
    46
  • % Profitable
    60.50%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    29.7%
  • drawdown period
    Aug 08, 2017 - Aug 17, 2017
  • Cumul. Return
    449.9%
  • Avg win
    $7,007
  • Avg loss
    $2,723
  • Model Account Values (Raw)
  • Cash
    $290,629
  • Margin Used
    $0
  • Buying Power
    $290,629
  • Ratios
  • W:L ratio
    3.95:1
  • Sharpe Ratio
    2.448
  • Sortino Ratio
    8.192
  • Calmar Ratio
    20.755
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.44500
  • Return Statistics
  • Ann Return (w trading costs)
    475.0%
  • Ann Return (Compnd, No Fees)
    514.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.00%
  • Chance of 20% account loss
    6.00%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    797
  • Popularity (Last 6 weeks)
    942
  • C2 Score
    95.4
  • 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
    $2,724
  • Avg Win
    $7,007
  • # Winners
    46
  • # Losers
    30
  • % Winners
    60.5%
  • Frequency
  • Avg Position Time (mins)
    2746.72
  • Avg Position Time (hrs)
    45.78
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    23
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.03162
  • SD
    2.16276
  • Sharpe ratio (Glass type estimate)
    1.40174
  • Sharpe ratio (Hedges UMVUE)
    1.29345
  • df
    10.00000
  • t
    1.34206
  • p
    0.10462
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76495
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50501
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41760
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.90440
  • Upside Potential Ratio
    22.38480
  • Upside part of mean
    3.24632
  • Downside part of mean
    -0.21470
  • Upside SD
    2.23543
  • Downside SD
    0.14502
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.19512
  • Mean of criterion
    3.03162
  • SD of predictor
    0.07427
  • SD of criterion
    2.16276
  • Covariance
    0.10540
  • r
    0.65617
  • b (slope, estimate of beta)
    19.10710
  • a (intercept, estimate of alpha)
    -0.69663
  • Mean Square Error
    2.95955
  • DF error
    9.00000
  • t(b)
    2.60860
  • p(b)
    0.01417
  • t(a)
    -0.30342
  • p(a)
    0.61577
  • Lowerbound of 95% confidence interval for beta
    2.53758
  • Upperbound of 95% confidence interval for beta
    35.67660
  • Lowerbound of 95% confidence interval for alpha
    -5.89037
  • Upperbound of 95% confidence interval for alpha
    4.49711
  • Treynor index (mean / b)
    0.15867
  • Jensen alpha (a)
    -0.69663
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.87358
  • SD
    1.19017
  • Sharpe ratio (Glass type estimate)
    1.57421
  • Sharpe ratio (Hedges UMVUE)
    1.45259
  • df
    10.00000
  • t
    1.50719
  • p
    0.08134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59641
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.14050
  • Upside Potential Ratio
    13.60240
  • Upside part of mean
    2.09918
  • Downside part of mean
    -0.22561
  • Upside SD
    1.24758
  • Downside SD
    0.15432
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.19069
  • Mean of criterion
    1.87358
  • SD of predictor
    0.07293
  • SD of criterion
    1.19017
  • Covariance
    0.06044
  • r
    0.69630
  • b (slope, estimate of beta)
    11.36340
  • a (intercept, estimate of alpha)
    -0.29333
  • Mean Square Error
    0.81083
  • DF error
    9.00000
  • t(b)
    2.91032
  • p(b)
    0.00865
  • t(a)
    -0.24454
  • p(a)
    0.59385
  • Lowerbound of 95% confidence interval for beta
    2.53075
  • Upperbound of 95% confidence interval for beta
    20.19610
  • Lowerbound of 95% confidence interval for alpha
    -3.00690
  • Upperbound of 95% confidence interval for alpha
    2.42023
  • Treynor index (mean / b)
    0.16488
  • Jensen alpha (a)
    -0.29333
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.33568
  • Expected Shortfall on VaR
    0.42010
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03272
  • Expected Shortfall on VaR
    0.07137
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.87061
  • Quartile 1
    0.98704
  • Median
    1.04696
  • Quartile 3
    1.24353
  • Maximum
    3.09699
  • Mean of quarter 1
    0.93794
  • Mean of quarter 2
    1.02727
  • Mean of quarter 3
    1.14977
  • Mean of quarter 4
    1.86981
  • Inter Quartile Range
    0.25649
  • 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
    0.09091
  • Mean of outliers high
    3.09699
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50276
  • VaR(95%) (moments method)
    0.06772
  • Expected Shortfall (moments method)
    0.15904
  • Extreme Value Index (regression method)
    2.67707
  • VaR(95%) (regression method)
    0.16520
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05724
  • Quartile 1
    0.07528
  • Median
    0.09332
  • Quartile 3
    0.11135
  • Maximum
    0.12939
  • Mean of quarter 1
    0.05724
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12939
  • Inter Quartile Range
    0.03607
  • 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)
    5.14322
  • Compounded annual return (geometric extrapolation)
    5.69582
  • Calmar ratio (compounded annual return / max draw down)
    44.02120
  • Compounded annual return / average of 25% largest draw downs
    44.02120
  • Compounded annual return / Expected Shortfall lognormal
    13.55840
  • 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
    2.08881
  • SD
    0.85085
  • Sharpe ratio (Glass type estimate)
    2.45496
  • Sharpe ratio (Hedges UMVUE)
    2.44758
  • df
    250.00000
  • t
    2.40287
  • p
    0.00850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46149
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.19165
  • Upside Potential Ratio
    12.77810
  • Upside part of mean
    3.25832
  • Downside part of mean
    -1.16951
  • Upside SD
    0.82018
  • Downside SD
    0.25499
  • N nonnegative terms
    114.00000
  • N negative terms
    137.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    251.00000
  • Mean of predictor
    0.19339
  • Mean of criterion
    2.08881
  • SD of predictor
    0.07260
  • SD of criterion
    0.85085
  • Covariance
    0.02671
  • r
    0.43237
  • b (slope, estimate of beta)
    5.06757
  • a (intercept, estimate of alpha)
    1.10900
  • Mean Square Error
    0.59098
  • DF error
    249.00000
  • t(b)
    7.56650
  • p(b)
    -0.00000
  • t(a)
    1.39291
  • p(a)
    0.08245
  • Lowerbound of 95% confidence interval for beta
    3.74850
  • Upperbound of 95% confidence interval for beta
    6.38665
  • Lowerbound of 95% confidence interval for alpha
    -0.45901
  • Upperbound of 95% confidence interval for alpha
    2.67659
  • Treynor index (mean / b)
    0.41219
  • Jensen alpha (a)
    1.10879
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.79151
  • SD
    0.72607
  • Sharpe ratio (Glass type estimate)
    2.46740
  • Sharpe ratio (Hedges UMVUE)
    2.45999
  • df
    250.00000
  • t
    2.41505
  • p
    0.00823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47402
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.74369
  • Upside Potential Ratio
    11.27480
  • Upside part of mean
    2.99522
  • Downside part of mean
    -1.20371
  • Upside SD
    0.68319
  • Downside SD
    0.26566
  • N nonnegative terms
    114.00000
  • N negative terms
    137.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    251.00000
  • Mean of predictor
    0.19068
  • Mean of criterion
    1.79151
  • SD of predictor
    0.07254
  • SD of criterion
    0.72607
  • Covariance
    0.02317
  • r
    0.43992
  • b (slope, estimate of beta)
    4.40348
  • a (intercept, estimate of alpha)
    0.95186
  • Mean Square Error
    0.42686
  • DF error
    249.00000
  • t(b)
    7.73000
  • p(b)
    -0.00000
  • t(a)
    1.40747
  • p(a)
    0.08027
  • Lowerbound of 95% confidence interval for beta
    3.28151
  • Upperbound of 95% confidence interval for beta
    5.52544
  • Lowerbound of 95% confidence interval for alpha
    -0.38012
  • Upperbound of 95% confidence interval for alpha
    2.28383
  • Treynor index (mean / b)
    0.40684
  • Jensen alpha (a)
    0.95186
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06475
  • Expected Shortfall on VaR
    0.08199
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01051
  • Expected Shortfall on VaR
    0.02380
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    251.00000
  • Minimum
    0.89372
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00767
  • Maximum
    1.62489
  • Mean of quarter 1
    0.98245
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00282
  • Mean of quarter 4
    1.04697
  • Inter Quartile Range
    0.00767
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.09163
  • Mean of outliers low
    0.95781
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.11155
  • Mean of outliers high
    1.08895
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.95694
  • VaR(95%) (moments method)
    0.00666
  • Expected Shortfall (moments method)
    0.18169
  • Extreme Value Index (regression method)
    0.37055
  • VaR(95%) (regression method)
    0.01370
  • Expected Shortfall (regression method)
    0.03184
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00401
  • Median
    0.01355
  • Quartile 3
    0.04210
  • Maximum
    0.24902
  • Mean of quarter 1
    0.00241
  • Mean of quarter 2
    0.00840
  • Mean of quarter 3
    0.03105
  • Mean of quarter 4
    0.17993
  • Inter Quartile Range
    0.03809
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    0.17993
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -13.54790
  • VaR(95%) (moments method)
    0.10623
  • Expected Shortfall (moments method)
    0.10623
  • Extreme Value Index (regression method)
    -0.61821
  • VaR(95%) (regression method)
    0.18096
  • Expected Shortfall (regression method)
    0.20835
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.92123
  • Compounded annual return (geometric extrapolation)
    5.16825
  • Calmar ratio (compounded annual return / max draw down)
    20.75460
  • Compounded annual return / average of 25% largest draw downs
    28.72310
  • Compounded annual return / Expected Shortfall lognormal
    63.03230
  • 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
    0.41836
  • SD
    0.41448
  • Sharpe ratio (Glass type estimate)
    1.00936
  • Sharpe ratio (Hedges UMVUE)
    1.00352
  • df
    130.00000
  • t
    0.71372
  • p
    0.46876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.78194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77097
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77801
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36968
  • Upside Potential Ratio
    5.61180
  • Upside part of mean
    1.71409
  • Downside part of mean
    -1.29573
  • Upside SD
    0.27903
  • Downside SD
    0.30544
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15265
  • Mean of criterion
    0.41836
  • SD of predictor
    0.06992
  • SD of criterion
    0.41448
  • Covariance
    0.01419
  • r
    0.48955
  • b (slope, estimate of beta)
    2.90190
  • a (intercept, estimate of alpha)
    -0.02462
  • Mean Square Error
    0.13164
  • DF error
    129.00000
  • t(b)
    6.37657
  • p(b)
    0.20128
  • t(a)
    -0.04755
  • p(a)
    0.50267
  • Lowerbound of 95% confidence interval for beta
    2.00150
  • Upperbound of 95% confidence interval for beta
    3.80230
  • Lowerbound of 95% confidence interval for alpha
    -1.04906
  • Upperbound of 95% confidence interval for alpha
    0.99982
  • Treynor index (mean / b)
    0.14417
  • Jensen alpha (a)
    -0.02462
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33130
  • SD
    0.42028
  • Sharpe ratio (Glass type estimate)
    0.78827
  • Sharpe ratio (Hedges UMVUE)
    0.78371
  • df
    130.00000
  • t
    0.55739
  • p
    0.47559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55715
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03523
  • Upside Potential Ratio
    5.23875
  • Upside part of mean
    1.67652
  • Downside part of mean
    -1.34522
  • Upside SD
    0.27073
  • Downside SD
    0.32002
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15016
  • Mean of criterion
    0.33130
  • SD of predictor
    0.07004
  • SD of criterion
    0.42028
  • Covariance
    0.01439
  • r
    0.48883
  • b (slope, estimate of beta)
    2.93312
  • a (intercept, estimate of alpha)
    -0.10914
  • Mean Square Error
    0.13547
  • DF error
    129.00000
  • t(b)
    6.36419
  • p(b)
    0.20168
  • t(a)
    -0.20785
  • p(a)
    0.51165
  • Lowerbound of 95% confidence interval for beta
    2.02126
  • Upperbound of 95% confidence interval for beta
    3.84497
  • Lowerbound of 95% confidence interval for alpha
    -1.14807
  • Upperbound of 95% confidence interval for alpha
    0.92978
  • Treynor index (mean / b)
    0.11295
  • Jensen alpha (a)
    -0.10914
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04060
  • Expected Shortfall on VaR
    0.05091
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01295
  • Expected Shortfall on VaR
    0.02907
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89372
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00557
  • Maximum
    1.08530
  • Mean of quarter 1
    0.98064
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00080
  • Mean of quarter 4
    1.02535
  • Inter Quartile Range
    0.00557
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.94551
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.03928
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.64111
  • VaR(95%) (moments method)
    0.00872
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.49486
  • VaR(95%) (regression method)
    0.01321
  • Expected Shortfall (regression method)
    0.03912
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00270
  • Quartile 1
    0.00603
  • Median
    0.02938
  • Quartile 3
    0.10082
  • Maximum
    0.24902
  • Mean of quarter 1
    0.00437
  • Mean of quarter 2
    0.02938
  • Mean of quarter 3
    0.10082
  • Mean of quarter 4
    0.24902
  • Inter Quartile Range
    0.09479
  • 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
    0.20000
  • Mean of outliers high
    0.24902
  • 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)
    0.39348
  • Compounded annual return (geometric extrapolation)
    0.43219
  • Calmar ratio (compounded annual return / max draw down)
    1.73557
  • Compounded annual return / average of 25% largest draw downs
    1.73557
  • Compounded annual return / Expected Shortfall lognormal
    8.48984

Strategy Description

This system will take daytrades or swingtrades in XIV/UVXY based on propreitary volatlity indicators.

Summary Statistics

Strategy began
2016-11-03
Minimum Capital Required
$5,000
# Trades
76
# Profitable
46
% Profitable
60.5%
Correlation S&P500
0.445
Sharpe Ratio
2.448

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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