Quant Models Volatility
(109610406)
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  (9.3%)  +486.7%  +152.3%  +7.6%  (0.2%)  +6.9%  (15.3%)  +3.0%  +2.0%  (6.7%)  +9.7%  +1304.2% 
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  $14,619  
Cash  $1  
Equity  $1  
Cumulative $  $30,353  
Total System Equity  $32,513  
Margined  $1  
Open P/L  $1,759  
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$30,000

Strategy Age (days)302.63

Age10 months ago

What it tradesStocks, Options

# Trades81

# Profitable47

% Profitable58.00%

Avg trade duration5.8 days

Max peaktovalley drawdown23.9%

drawdown periodJuly 26, 2017  Dec 01, 2017

Cumul. Return1312.5%

Avg win$942.34

Avg loss$409.88
 Model Account Values (Raw)

Cash$11,784

Margin Used$0

Buying Power$14,619
 Ratios

W:L ratio3.18:1

Sharpe Ratio3.874

Sortino Ratio21.551

Calmar Ratio135.187
 CORRELATION STATISTICS

Correlation to SP5000.05800
 Return Statistics

Ann Return (w trading costs)2261.9%

Ann Return (Compnd, No Fees)2521.0%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss14.50%

Chance of 20% account loss1.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)877

Popularity (Last 6 weeks)974

C2 Score97.1
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$410

Avg Win$942

# Winners47

# Losers34

% Winners58.0%
 Frequency

Avg Position Time (mins)8381.15

Avg Position Time (hrs)139.69

Avg Trade Length5.8 days

Last Trade Ago1
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean13.45280

SD11.27470

Sharpe ratio (Glass type estimate)1.19319

Sharpe ratio (Hedges UMVUE)1.07710

df8.00000

t1.03333

p0.16584

Lowerbound of 95% confidence interval for Sharpe Ratio1.17621

Upperbound of 95% confidence interval for Sharpe Ratio3.49397

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.24680

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.40099
 Statistics related to Sortino ratio

Sortino ratio75.97390

Upside Potential Ratio77.64180

Upside part of mean13.74810

Downside part of mean0.29534

Upside SD11.31560

Downside SD0.17707

N nonnegative terms6.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations9.00000

Mean of predictor0.10169

Mean of criterion13.45280

SD of predictor0.06327

SD of criterion11.27470

Covariance0.36945

r0.51794

b (slope, estimate of beta)92.30220

a (intercept, estimate of alpha)22.83900

Mean Square Error106.30500

DF error7.00000

t(b)1.60196

p(b)0.92340

t(a)1.72121

p(a)0.06444

Lowerbound of 95% confidence interval for beta228.54800

Upperbound of 95% confidence interval for beta43.94370

Lowerbound of 95% confidence interval for alpha8.53765

Upperbound of 95% confidence interval for alpha54.21570

Treynor index (mean / b)0.14575

Jensen alpha (a)22.83900
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean3.49072

SD2.73581

Sharpe ratio (Glass type estimate)1.27593

Sharpe ratio (Hedges UMVUE)1.15179

df8.00000

t1.10499

p0.15064

Lowerbound of 95% confidence interval for Sharpe Ratio1.10564

Upperbound of 95% confidence interval for Sharpe Ratio3.58478

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.18069

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.48427
 Statistics related to Sortino ratio

Sortino ratio18.67170

Upside Potential Ratio20.33780

Upside part of mean3.80220

Downside part of mean0.31148

Upside SD2.76288

Downside SD0.18695

N nonnegative terms6.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations9.00000

Mean of predictor0.09928

Mean of criterion3.49072

SD of predictor0.06288

SD of criterion2.73581

Covariance0.08319

r0.48357

b (slope, estimate of beta)21.03760

a (intercept, estimate of alpha)5.57924

Mean Square Error6.55366

DF error7.00000

t(b)1.46166

p(b)0.90639

t(a)1.69929

p(a)0.06653

Lowerbound of 95% confidence interval for beta55.07170

Upperbound of 95% confidence interval for beta12.99640

Lowerbound of 95% confidence interval for alpha2.18450

Upperbound of 95% confidence interval for alpha13.34300

Treynor index (mean / b)0.16593

Jensen alpha (a)5.57924
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.63511

Expected Shortfall on VaR0.72762
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04310

Expected Shortfall on VaR0.09083
 ORDER STATISTICS
 Quartiles of return rates

Number of observations9.00000

Minimum0.89343

Quartile 10.99758

Median1.07063

Quartile 31.08247

Maximum10.79720

Mean of quarter 10.92849

Mean of quarter 21.04448

Mean of quarter 31.07989

Mean of quarter 46.03816

Inter Quartile Range0.08489

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 high6.03816
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)297693.00000

VaR(95%) (moments method)0.01155

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)7.63220

VaR(95%) (regression method)0.59900

Expected Shortfall (regression method)0.59900
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.13704

Quartile 10.13704

Median0.13704

Quartile 30.13704

Maximum0.13704

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)17.33160

Compounded annual return (geometric extrapolation)32.73790

Calmar ratio (compounded annual return / max draw down)238.89600

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

Compounded annual return / Expected Shortfall lognormal44.99340

0.00000

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

Mean3.66700

SD0.94336

Sharpe ratio (Glass type estimate)3.88718

Sharpe ratio (Hedges UMVUE)3.87361

df215.00000

t3.52948

p0.00025

Lowerbound of 95% confidence interval for Sharpe Ratio1.69323

Upperbound of 95% confidence interval for Sharpe Ratio6.07245

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.68418

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.06303
 Statistics related to Sortino ratio

Sortino ratio21.55100

Upside Potential Ratio27.62470

Upside part of mean4.70047

Downside part of mean1.03347

Upside SD0.95298

Downside SD0.17016

N nonnegative terms115.00000

N negative terms101.00000
 Statistics related to linear regression on benchmark

N of observations216.00000

Mean of predictor0.13343

Mean of criterion3.66700

SD of predictor0.06890

SD of criterion0.94336

Covariance0.00277

r0.04259

b (slope, estimate of beta)0.58312

a (intercept, estimate of alpha)3.58900

Mean Square Error0.89246

DF error214.00000

t(b)0.62364

p(b)0.26676

t(a)3.42515

p(a)0.00037

Lowerbound of 95% confidence interval for beta1.25993

Upperbound of 95% confidence interval for beta2.42617

Lowerbound of 95% confidence interval for alpha1.52368

Upperbound of 95% confidence interval for alpha5.65472

Treynor index (mean / b)6.28857

Jensen alpha (a)3.58920
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean3.27798

SD0.82016

Sharpe ratio (Glass type estimate)3.99678

Sharpe ratio (Hedges UMVUE)3.98282

df215.00000

t3.62900

p0.00018

Lowerbound of 95% confidence interval for Sharpe Ratio1.80092

Upperbound of 95% confidence interval for Sharpe Ratio6.18365

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.79165

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.17400
 Statistics related to Sortino ratio

Sortino ratio18.83230

Upside Potential Ratio24.85470

Upside part of mean4.32626

Downside part of mean1.04828

Upside SD0.82478

Downside SD0.17406

N nonnegative terms115.00000

N negative terms101.00000
 Statistics related to linear regression on benchmark

N of observations216.00000

Mean of predictor0.13102

Mean of criterion3.27798

SD of predictor0.06894

SD of criterion0.82016

Covariance0.00342

r0.06044

b (slope, estimate of beta)0.71910

a (intercept, estimate of alpha)3.18377

Mean Square Error0.67333

DF error214.00000

t(b)0.88583

p(b)0.18835

t(a)3.49878

p(a)0.00028

Lowerbound of 95% confidence interval for beta0.88101

Upperbound of 95% confidence interval for beta2.31921

Lowerbound of 95% confidence interval for alpha1.39013

Upperbound of 95% confidence interval for alpha4.97741

Treynor index (mean / b)4.55845

Jensen alpha (a)3.18377
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06838

Expected Shortfall on VaR0.08774
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00849

Expected Shortfall on VaR0.01853
 ORDER STATISTICS
 Quartiles of return rates

Number of observations216.00000

Minimum0.92020

Quartile 10.99741

Median1.00092

Quartile 31.00969

Maximum1.54709

Mean of quarter 10.98512

Mean of quarter 20.99935

Mean of quarter 31.00411

Mean of quarter 41.06783

Inter Quartile Range0.01228

Number outliers low16.00000

Percentage of outliers low0.07407

Mean of outliers low0.96649

Number of outliers high24.00000

Percentage of outliers high0.11111

Mean of outliers high1.12978
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.65057

VaR(95%) (moments method)0.01254

Expected Shortfall (moments method)0.04118

Extreme Value Index (regression method)0.32355

VaR(95%) (regression method)0.01360

Expected Shortfall (regression method)0.02658
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00056

Quartile 10.01291

Median0.02480

Quartile 30.02620

Maximum0.19434

Mean of quarter 10.00714

Mean of quarter 20.02437

Mean of quarter 30.02612

Mean of quarter 40.14866

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 high0.14866
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)11.90960

VaR(95%) (moments method)0.07409

Expected Shortfall (moments method)0.07409

Extreme Value Index (regression method)0.74884

VaR(95%) (regression method)0.23137

Expected Shortfall (regression method)0.26247
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)17.30120

Compounded annual return (geometric extrapolation)26.27280

Calmar ratio (compounded annual return / max draw down)135.18700

Compounded annual return / average of 25% largest draw downs176.73200

Compounded annual return / Expected Shortfall lognormal299.44200

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

Mean0.00454

SD0.21487

Sharpe ratio (Glass type estimate)0.02111

Sharpe ratio (Hedges UMVUE)0.02099

df130.00000

t0.01493

p0.49934

Lowerbound of 95% confidence interval for Sharpe Ratio2.75070

Upperbound of 95% confidence interval for Sharpe Ratio2.79292

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.75082

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.79280
 Statistics related to Sortino ratio

Sortino ratio0.02819

Upside Potential Ratio6.85589

Upside part of mean1.10303

Downside part of mean1.09850

Upside SD0.14118

Downside SD0.16089

N nonnegative terms61.00000

N negative terms70.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.16514

Mean of criterion0.00454

SD of predictor0.06774

SD of criterion0.21487

Covariance0.00652

r0.44821

b (slope, estimate of beta)1.42179

a (intercept, estimate of alpha)0.23025

Mean Square Error0.03718

DF error129.00000

t(b)5.69480

p(b)0.22452

t(a)0.83490

p(a)0.54663

Lowerbound of 95% confidence interval for beta0.92782

Upperbound of 95% confidence interval for beta1.91576

Lowerbound of 95% confidence interval for alpha0.77590

Upperbound of 95% confidence interval for alpha0.31540

Treynor index (mean / b)0.00319

Jensen alpha (a)0.23025
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01850

SD0.21578

Sharpe ratio (Glass type estimate)0.08573

Sharpe ratio (Hedges UMVUE)0.08523

df130.00000

t0.06062

p0.50266

Lowerbound of 95% confidence interval for Sharpe Ratio2.85743

Upperbound of 95% confidence interval for Sharpe Ratio2.68622

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.85706

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.68659
 Statistics related to Sortino ratio

Sortino ratio0.11306

Upside Potential Ratio6.68102

Upside part of mean1.09312

Downside part of mean1.11162

Upside SD0.13941

Downside SD0.16362

N nonnegative terms61.00000

N negative terms70.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.16279

Mean of criterion0.01850

SD of predictor0.06776

SD of criterion0.21578

Covariance0.00661

r0.45235

b (slope, estimate of beta)1.44043

a (intercept, estimate of alpha)0.25299

Mean Square Error0.03732

DF error129.00000

t(b)5.76083

p(b)0.22217

t(a)0.91590

p(a)0.55112

Lowerbound of 95% confidence interval for beta0.94572

Upperbound of 95% confidence interval for beta1.93514

Lowerbound of 95% confidence interval for alpha0.79949

Upperbound of 95% confidence interval for alpha0.29351

Treynor index (mean / b)0.01284

Jensen alpha (a)0.25299
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02176

Expected Shortfall on VaR0.02718
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00996

Expected Shortfall on VaR0.02056
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95123

Quartile 10.99629

Median0.99983

Quartile 31.00557

Maximum1.04813

Mean of quarter 10.98487

Mean of quarter 20.99871

Mean of quarter 31.00200

Mean of quarter 41.01498

Inter Quartile Range0.00927

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.96617

Number of outliers high10.00000

Percentage of outliers high0.07634

Mean of outliers high1.02485
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.57833

VaR(95%) (moments method)0.01481

Expected Shortfall (moments method)0.03974

Extreme Value Index (regression method)0.08819

VaR(95%) (regression method)0.01369

Expected Shortfall (regression method)0.02085
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00062

Quartile 10.00697

Median0.03235

Quartile 30.09029

Maximum0.19434

Mean of quarter 10.00062

Mean of quarter 20.00909

Mean of quarter 30.05560

Mean of quarter 40.19434

Inter Quartile Range0.08332

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)0.00943

Compounded annual return (geometric extrapolation)0.00945

Calmar ratio (compounded annual return / max draw down)0.04864

Compounded annual return / average of 25% largest draw downs0.04864

Compounded annual return / Expected Shortfall lognormal0.34781
Strategy Description
1. Quant Models Volatility trades volatility ETPs & options (chiefly XIV, VIX, UVXY, & VXX). Most of its future returns are expected to be from holding XIV, not from options trading. Instead of holding cash, sometimes ordinary stocks or ETFs (not based on volatility) will be purchased and held.2. This strategy uses options to protect partially in case there is an unanticipated catastrophic â€œblack swanâ€ spike in volatility. Accordingly, the portfolio will typically own longterm, outofthemoney VIX call options. Nonetheless, volatility systems tend to be riskier than most other trading systems.
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 everyoneâ€™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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