Quant Models Volatility (109610406)
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Subscription terms. Subscriptions to this system cost $77.00 per month.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2017  (3.7%)  +496.8%  +153.2%  +7.5%  (0.3%)  +6.8%  (11.7%)  +1248.9% 
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.
Started  $2,160  
Buy Power  $30,053  
Cash  $1  
Equity  $1  
Cumulative $  $29,085  
Total System Equity  $31,245  
Margined  $1  
Open P/L  $1,257  
Data has been delayed by 12 hours for nonsubscribers 
System developer has asked us to delay this information by 12 hours.
Trading Record
Statistics

Strategy began2/16/2017

Starting Unit Size$5,000

Strategy Age (days)182.18

Age6 months ago

What it tradesStocks, Options

# Trades70

# Profitable44

% Profitable62.90%

Avg trade duration3.3 days

Max peaktovalley drawdown15.56%

drawdown periodMarch 07, 2017  March 09, 2017

Cumul. Return1273.3%

Avg win$856.80

Avg loss$331.31
 Model Account Values (Raw)

Cash$29,645

Margin Used$0

Buying Power$30,053
 Ratios

W:L ratio4.38:1

Sharpe Ratio5.098

Sortino Ratio33.59

Calmar Ratio2270.38
 CORRELATION STATISTICS

Correlation to SP5000.05600
 Return Statistics

Ann Return (w trading costs)17149.8%

Ann Return (Compnd, No Fees)20416.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss10.50%

Chance of 20% account loss0.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)958

Popularity (Last 6 weeks)993

C2 Score98.8
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$331

Avg Win$857

# Winners44

# Losers26

% Winners62.9%
 Frequency

Avg Position Time (mins)4697.87

Avg Position Time (hrs)78.30

Avg Trade Length3.3 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean24.55430

SD15.00920

Sharpe ratio (Glass type estimate)1.63595

Sharpe ratio (Hedges UMVUE)1.30530

df4.00000

t1.05600

p0.17526

Lowerbound of 95% confidence interval for Sharpe Ratio1.67735

Upperbound of 95% confidence interval for Sharpe Ratio4.77773

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.86292

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.47352
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean24.55430

Downside part of mean0.00000

Upside SD15.18100

Downside SD0.00000

N nonnegative terms5.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.10013

Mean of criterion24.55430

SD of predictor0.05744

SD of criterion15.00920

Covariance0.74816

r0.86779

b (slope, estimate of beta)226.75000

a (intercept, estimate of alpha)47.25760

Mean Square Error74.17210

DF error3.00000

t(b)3.02470

p(b)0.97173

t(a)3.08700

p(a)0.02692

Lowerbound of 95% confidence interval for beta465.32600

Upperbound of 95% confidence interval for beta11.82590

Lowerbound of 95% confidence interval for alpha1.46121

Upperbound of 95% confidence interval for alpha95.97630

Treynor index (mean / b)0.10829

Jensen alpha (a)47.25760
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean6.65934

SD3.54093

Sharpe ratio (Glass type estimate)1.88068

Sharpe ratio (Hedges UMVUE)1.50056

df4.00000

t1.21397

p0.14577

Lowerbound of 95% confidence interval for Sharpe Ratio1.50058

Upperbound of 95% confidence interval for Sharpe Ratio5.07262

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70891

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.71003
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean6.65934

Downside part of mean0.00000

Upside SD3.70487

Downside SD0.00000

N nonnegative terms5.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.09818

Mean of criterion6.65934

SD of predictor0.05707

SD of criterion3.54093

Covariance0.17933

r0.88739

b (slope, estimate of beta)55.05640

a (intercept, estimate of alpha)12.06470

Mean Square Error3.55323

DF error3.00000

t(b)3.33387

p(b)0.97771

t(a)3.61204

p(a)0.01823

Lowerbound of 95% confidence interval for beta107.61200

Upperbound of 95% confidence interval for beta2.50061

Lowerbound of 95% confidence interval for alpha1.43490

Upperbound of 95% confidence interval for alpha22.69460

Treynor index (mean / b)0.12095

Jensen alpha (a)12.06470
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.67580

Expected Shortfall on VaR0.77525
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum1.01833

Quartile 11.07063

Median1.07731

Quartile 31.27914

Maximum10.79720

Mean of quarter 11.04448

Mean of quarter 21.07731

Mean of quarter 31.27914

Mean of quarter 410.79720

Inter Quartile Range0.20851

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high10.79720
 Risk estimates for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)36.53220

Compounded annual return (geometric extrapolation)801.10900

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal1033.35000

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean6.06208

SD1.18215

Sharpe ratio (Glass type estimate)5.12800

Sharpe ratio (Hedges UMVUE)5.09813

df129.00000

t3.61218

p0.31005

Lowerbound of 95% confidence interval for Sharpe Ratio2.26684

Upperbound of 95% confidence interval for Sharpe Ratio7.97035

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.24699

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.94927
 Statistics related to Sortino ratio

Sortino ratio33.59000

Upside Potential Ratio39.35870

Upside part of mean7.10318

Downside part of mean1.04110

Upside SD1.22247

Downside SD0.18047

N nonnegative terms77.00000

N negative terms53.00000
 Statistics related to linear regression on benchmark

N of observations130.00000

Mean of predictor0.04478

Mean of criterion6.06208

SD of predictor0.07530

SD of criterion1.18215

Covariance0.00384

r0.04318

b (slope, estimate of beta)0.67783

a (intercept, estimate of alpha)6.03200

Mean Square Error1.40577

DF error128.00000

t(b)0.48893

p(b)0.47841

t(a)3.58104

p(a)0.34912

Lowerbound of 95% confidence interval for beta2.06532

Upperbound of 95% confidence interval for beta3.42098

Lowerbound of 95% confidence interval for alpha2.69895

Upperbound of 95% confidence interval for alpha9.36449

Treynor index (mean / b)8.94335

Jensen alpha (a)6.03172
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean5.43078

SD1.02269

Sharpe ratio (Glass type estimate)5.31027

Sharpe ratio (Hedges UMVUE)5.27934

df129.00000

t3.74057

p0.30416

Lowerbound of 95% confidence interval for Sharpe Ratio2.44376

Upperbound of 95% confidence interval for Sharpe Ratio8.15731

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42329

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8.13538
 Statistics related to Sortino ratio

Sortino ratio29.32660

Upside Potential Ratio35.03900

Upside part of mean6.48862

Downside part of mean1.05784

Upside SD1.05647

Downside SD0.18518

N nonnegative terms77.00000

N negative terms53.00000
 Statistics related to linear regression on benchmark

N of observations130.00000

Mean of predictor0.04195

Mean of criterion5.43078

SD of predictor0.07540

SD of criterion1.02269

Covariance0.00470

r0.06093

b (slope, estimate of beta)0.82643

a (intercept, estimate of alpha)5.39611

Mean Square Error1.05016

DF error128.00000

t(b)0.69068

p(b)0.46953

t(a)3.70694

p(a)0.34432

Lowerbound of 95% confidence interval for beta1.54116

Upperbound of 95% confidence interval for beta3.19403

Lowerbound of 95% confidence interval for alpha2.51580

Upperbound of 95% confidence interval for alpha8.27641

Treynor index (mean / b)6.57134

Jensen alpha (a)5.39611
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07983

Expected Shortfall on VaR0.10356
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00773

Expected Shortfall on VaR0.01747
 ORDER STATISTICS
 Quartiles of return rates

Number of observations130.00000

Minimum0.92020

Quartile 10.99749

Median1.00257

Quartile 31.01738

Maximum1.54709

Mean of quarter 10.98485

Mean of quarter 21.00022

Mean of quarter 31.00718

Mean of quarter 41.09955

Inter Quartile Range0.01990

Number outliers low3.00000

Percentage of outliers low0.02308

Mean of outliers low0.94539

Number of outliers high18.00000

Percentage of outliers high0.13846

Mean of outliers high1.16025
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.73976

VaR(95%) (moments method)0.01333

Expected Shortfall (moments method)0.05744

Extreme Value Index (regression method)0.28547

VaR(95%) (regression method)0.01294

Expected Shortfall (regression method)0.02414
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00056

Quartile 10.01291

Median0.02480

Quartile 30.02620

Maximum0.10297

Mean of quarter 10.00714

Mean of quarter 20.02437

Mean of quarter 30.02612

Mean of quarter 40.10011

Inter Quartile Range0.01329

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.22222

Mean of outliers high0.10011
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1096.52000

VaR(95%) (moments method)0.06135

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)4.63394

VaR(95%) (regression method)0.22689

Expected Shortfall (regression method)0.22693
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)28.22930

Compounded annual return (geometric extrapolation)233.78900

Calmar ratio (compounded annual return / max draw down)2270.38000

Compounded annual return / average of 25% largest draw downs2335.27000

Compounded annual return / Expected Shortfall lognormal2257.48000

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

Mean6.06208

SD1.18215

Sharpe ratio (Glass type estimate)5.12800

Sharpe ratio (Hedges UMVUE)5.09813

df129.00000

t3.61218

p0.31005

Lowerbound of 95% confidence interval for Sharpe Ratio2.26684

Upperbound of 95% confidence interval for Sharpe Ratio7.97035

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.24699

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.94927
 Statistics related to Sortino ratio

Sortino ratio33.59000

Upside Potential Ratio39.35870

Upside part of mean7.10318

Downside part of mean1.04110

Upside SD1.22247

Downside SD0.18047

N nonnegative terms77.00000

N negative terms53.00000
 Statistics related to linear regression on benchmark

N of observations130.00000

Mean of predictor0.04478

Mean of criterion6.06208

SD of predictor0.07530

SD of criterion1.18215

Covariance0.00384

r0.04318

b (slope, estimate of beta)0.67783

a (intercept, estimate of alpha)6.03172

Mean Square Error1.40577

DF error128.00000

t(b)0.48893

p(b)0.47841

t(a)3.58104

p(a)0.34912

Lowerbound of 95% confidence interval for beta2.06532

Upperbound of 95% confidence interval for beta3.42098

Lowerbound of 95% confidence interval for alpha2.69895

Upperbound of 95% confidence interval for alpha9.36449

Treynor index (mean / b)8.94335

Jensen alpha (a)6.03172
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean5.43078

SD1.02269

Sharpe ratio (Glass type estimate)5.31027

Sharpe ratio (Hedges UMVUE)5.27934

df129.00000

t3.74057

p0.30416

Lowerbound of 95% confidence interval for Sharpe Ratio2.44376

Upperbound of 95% confidence interval for Sharpe Ratio8.15731

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42329

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8.13538
 Statistics related to Sortino ratio

Sortino ratio29.32660

Upside Potential Ratio35.03900

Upside part of mean6.48862

Downside part of mean1.05784

Upside SD1.05647

Downside SD0.18518

N nonnegative terms77.00000

N negative terms53.00000
 Statistics related to linear regression on benchmark

N of observations130.00000

Mean of predictor0.04195

Mean of criterion5.43078

SD of predictor0.07540

SD of criterion1.02269

Covariance0.00470

r0.06093

b (slope, estimate of beta)0.82643

a (intercept, estimate of alpha)5.39611

Mean Square Error1.05016

DF error128.00000

t(b)0.69068

p(b)0.46953

t(a)3.70694

p(a)0.34432

Lowerbound of 95% confidence interval for beta1.54116

Upperbound of 95% confidence interval for beta3.19403

Lowerbound of 95% confidence interval for alpha2.51580

Upperbound of 95% confidence interval for alpha8.27641

Treynor index (mean / b)6.57134

Jensen alpha (a)5.39611
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07983

Expected Shortfall on VaR0.10356
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00773

Expected Shortfall on VaR0.01747
 ORDER STATISTICS
 Quartiles of return rates

Number of observations130.00000

Minimum0.92020

Quartile 10.99749

Median1.00257

Quartile 31.01738

Maximum1.54709

Mean of quarter 10.98485

Mean of quarter 21.00022

Mean of quarter 31.00718

Mean of quarter 41.09955

Inter Quartile Range0.01990

Number outliers low3.00000

Percentage of outliers low0.02308

Mean of outliers low0.94539

Number of outliers high18.00000

Percentage of outliers high0.13846

Mean of outliers high1.16025
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.73976

VaR(95%) (moments method)0.01333

Expected Shortfall (moments method)0.05744

Extreme Value Index (regression method)0.28547

VaR(95%) (regression method)0.01294

Expected Shortfall (regression method)0.02414
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00056

Quartile 10.01291

Median0.02480

Quartile 30.02620

Maximum0.10297

Mean of quarter 10.00714

Mean of quarter 20.02437

Mean of quarter 30.02612

Mean of quarter 40.10011

Inter Quartile Range0.01329

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.22222

Mean of outliers high0.10011
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1096.52000

VaR(95%) (moments method)0.06135

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)4.63394

VaR(95%) (regression method)0.22689

Expected Shortfall (regression method)0.22693
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)28.22930

Compounded annual return (geometric extrapolation)233.78900

Calmar ratio (compounded annual return / max draw down)2270.38000

Compounded annual return / average of 25% largest draw downs2335.27000

Compounded annual return / Expected Shortfall lognormal2257.48000
Strategy Description
1. Quant Models Volatility trades volatility ETPs & options (chiefly XIV, EXIV, VMIN, VIX, UVXY, & VXX). Most of its future returns are expected to be from holding XIV or EXIV, not from options trading.2. Going forward, this strategy will usually use options to reduce volatility and to protect partially in case there is an unanticipated catastrophic “black swan” spike in volatility. Accordingly, in the last half of 2017 the portfolio will typically own longterm, outofthemoney VIX call options. Nonetheless, volatility systems tend to be riskier than most other trading systems. Though this strategy's maximum intraday drawdown at C2 so far is 15.6%, I expect maximum drawdowns going forward to be higher.
3. My basic volatility timing model determines when to be long XIV (or in similar positions) and when to be in cash. Other indicators are used to determine the relative size of the position, which can range up to 1.5x the size of the portfolio. To supplement this basic model, other volatility ETPs and options are traded.
4. A backtest of my basic timing model from April 2004 to March 2017 is available on request (by private messaging at C2). Offsite, backtested results are not verified by C2.
5. NOTE: During part of the period my strategy was private, it was extraordinarily successful in selling UVXY puts whose prices had temporarily spiked upward. I suspended that part of the strategy on April 26, 2017, when I realized how C2 quite reasonably handles limit orders on autotrading. (At C2, once limit orders are filled for anyone, they soon become market orders for everyone else. That importantly ensures that everyone’s portfolios match, adjusted by their scaling percentages, but it means that some subscribers are likely to get very different fills in unliquid markets with temporary price spikes.) Thus, it appears that I will not be able to scale this part of the strategy up with subscribers, and for that reason, it remains suspended.
Summary Statistics
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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