Quant Models Volatility
(109610406)
Subscription terms. Subscriptions to this system cost $77.00 per month.
Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
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%)  +10.3%  +1311.3%  
2018  (0.1%)  (0.2%)  (2.4%)  (0.5%)  (2%)  (1.8%)  (0.4%)  (7.2%) 
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  $31,679  
Cash  $1  
Equity  $1  
Cumulative $  $29,519  
Total System Equity  $31,679  
Margined  $1  
Open P/L  $0  
Data has been delayed by 10 hours for nonsubscribers 
System developer has asked us to delay this information by 10 hours.
Trading Record
Statistics

Strategy began2/16/2017

Suggested Minimum Cap$30,000

Strategy Age (days)515.55

Age17 months ago

What it tradesStocks, Options

# Trades110

# Profitable58

% Profitable52.70%

Avg trade duration6.4 days

Max peaktovalley drawdown23.9%

drawdown periodJuly 26, 2017  Dec 01, 2017

Annual Return (Compounded)521.7%

Avg win$857.34

Avg loss$388.60
 Model Account Values (Raw)

Cash$31,679

Margin Used$0

Buying Power$31,679
 Ratios

W:L ratio2.46:1

Sharpe Ratio2.884

Sortino Ratio14.696

Calmar Ratio30.191
 CORRELATION STATISTICS

Correlation to SP5000.05400
 Return Statistics

Ann Return (w trading costs)521.7%

Ann Return (Compnd, No Fees)567.0%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss11.50%

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)869

Popularity (Last 6 weeks)946

C2 Score97.3
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$389

Avg Win$857

# Winners58

# Losers52

% Winners52.7%
 Frequency

Avg Position Time (mins)9243.87

Avg Position Time (hrs)154.06

Avg Trade Length6.4 days

Last Trade Ago28
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean7.60259

SD8.46905

Sharpe ratio (Glass type estimate)0.89769

Sharpe ratio (Hedges UMVUE)0.85192

df15.00000

t1.03656

p0.33726

Lowerbound of 95% confidence interval for Sharpe Ratio0.84359

Upperbound of 95% confidence interval for Sharpe Ratio2.61040

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.87262

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.57645
 Statistics related to Sortino ratio

Sortino ratio49.16170

Upside Potential Ratio50.86870

Upside part of mean7.86657

Downside part of mean0.26398

Upside SD8.48732

Downside SD0.15464

N nonnegative terms9.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations16.00000

Mean of predictor0.09736

Mean of criterion7.60259

SD of predictor0.09890

SD of criterion8.46905

Covariance0.18729

r0.22360

b (slope, estimate of beta)19.14650

a (intercept, estimate of alpha)9.46677

Mean Square Error73.00580

DF error14.00000

t(b)0.85836

p(b)0.61180

t(a)1.22758

p(a)0.34413

Lowerbound of 95% confidence interval for beta66.98780

Upperbound of 95% confidence interval for beta28.69480

Lowerbound of 95% confidence interval for alpha7.07329

Upperbound of 95% confidence interval for alpha26.00680

Treynor index (mean / b)0.39708

Jensen alpha (a)9.46677
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.99082

SD2.06538

Sharpe ratio (Glass type estimate)0.96390

Sharpe ratio (Hedges UMVUE)0.91475

df15.00000

t1.11301

p0.32643

Lowerbound of 95% confidence interval for Sharpe Ratio0.78284

Upperbound of 95% confidence interval for Sharpe Ratio2.68011

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.81391

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.64340
 Statistics related to Sortino ratio

Sortino ratio12.23640

Upside Potential Ratio13.93360

Upside part of mean2.26696

Downside part of mean0.27614

Upside SD2.07437

Downside SD0.16270

N nonnegative terms9.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations16.00000

Mean of predictor0.09220

Mean of criterion1.99082

SD of predictor0.09880

SD of criterion2.06538

Covariance0.03630

r0.17789

b (slope, estimate of beta)3.71858

a (intercept, estimate of alpha)2.33367

Mean Square Error4.42588

DF error14.00000

t(b)0.67640

p(b)0.58895

t(a)1.23401

p(a)0.34340

Lowerbound of 95% confidence interval for beta15.50980

Upperbound of 95% confidence interval for beta8.07267

Lowerbound of 95% confidence interval for alpha1.72238

Upperbound of 95% confidence interval for alpha6.38972

Treynor index (mean / b)0.53537

Jensen alpha (a)2.33367
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.55727

Expected Shortfall on VaR0.64719
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04658

Expected Shortfall on VaR0.09253
 ORDER STATISTICS
 Quartiles of return rates

Number of observations16.00000

Minimum0.89343

Quartile 10.98804

Median1.02251

Quartile 31.07860

Maximum10.79720

Mean of quarter 10.92226

Mean of quarter 20.99840

Mean of quarter 31.05786

Mean of quarter 43.56499

Inter Quartile Range0.09056

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.12500

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

Extreme Value Index (moments method)203.52900

VaR(95%) (moments method)0.03955

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)4.90818

VaR(95%) (regression method)0.21627

Expected Shortfall (regression method)0.21635
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.09420

Quartile 10.10491

Median0.11562

Quartile 30.12633

Maximum0.13704

Mean of quarter 10.09420

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.13704

Inter Quartile Range0.02142

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)10.31680

Compounded annual return (geometric extrapolation)6.52872

Calmar ratio (compounded annual return / max draw down)47.64160

Compounded annual return / average of 25% largest draw downs47.64160

Compounded annual return / Expected Shortfall lognormal10.08790

0.00000

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

Mean2.13206

SD0.73779

Sharpe ratio (Glass type estimate)2.88978

Sharpe ratio (Hedges UMVUE)2.88384

df365.00000

t3.41550

p0.00035

Lowerbound of 95% confidence interval for Sharpe Ratio1.21638

Upperbound of 95% confidence interval for Sharpe Ratio4.55934

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.21241

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.55526
 Statistics related to Sortino ratio

Sortino ratio14.69630

Upside Potential Ratio20.41110

Upside part of mean2.96114

Downside part of mean0.82908

Upside SD0.73427

Downside SD0.14508

N nonnegative terms149.00000

N negative terms217.00000
 Statistics related to linear regression on benchmark

N of observations366.00000

Mean of predictor0.10434

Mean of criterion2.13206

SD of predictor0.11256

SD of criterion0.73779

Covariance0.00386

r0.04646

b (slope, estimate of beta)0.30455

a (intercept, estimate of alpha)2.10000

Mean Square Error0.54466

DF error364.00000

t(b)0.88743

p(b)0.18771

t(a)3.35810

p(a)0.00043

Lowerbound of 95% confidence interval for beta0.37032

Upperbound of 95% confidence interval for beta0.97943

Lowerbound of 95% confidence interval for alpha0.87036

Upperbound of 95% confidence interval for alpha3.33021

Treynor index (mean / b)7.00061

Jensen alpha (a)2.10029
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.89889

SD0.64336

Sharpe ratio (Glass type estimate)2.95153

Sharpe ratio (Hedges UMVUE)2.94546

df365.00000

t3.48848

p0.00027

Lowerbound of 95% confidence interval for Sharpe Ratio1.27752

Upperbound of 95% confidence interval for Sharpe Ratio4.62161

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.27347

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.61745
 Statistics related to Sortino ratio

Sortino ratio12.81240

Upside Potential Ratio18.47890

Upside part of mean2.73870

Downside part of mean0.83981

Upside SD0.63606

Downside SD0.14821

N nonnegative terms149.00000

N negative terms217.00000
 Statistics related to linear regression on benchmark

N of observations366.00000

Mean of predictor0.09796

Mean of criterion1.89889

SD of predictor0.11302

SD of criterion0.64336

Covariance0.00425

r0.05850

b (slope, estimate of beta)0.33304

a (intercept, estimate of alpha)1.86627

Mean Square Error0.41363

DF error364.00000

t(b)1.11810

p(b)0.13213

t(a)3.42480

p(a)0.00034

Lowerbound of 95% confidence interval for beta0.25271

Upperbound of 95% confidence interval for beta0.91879

Lowerbound of 95% confidence interval for alpha0.79467

Upperbound of 95% confidence interval for alpha2.93787

Treynor index (mean / b)5.70169

Jensen alpha (a)1.86627
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05647

Expected Shortfall on VaR0.07191
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00796

Expected Shortfall on VaR0.01709
 ORDER STATISTICS
 Quartiles of return rates

Number of observations366.00000

Minimum0.92020

Quartile 10.99819

Median1.00000

Quartile 31.00430

Maximum1.54709

Mean of quarter 10.98802

Mean of quarter 20.99964

Mean of quarter 31.00130

Mean of quarter 41.04385

Inter Quartile Range0.00611

Number outliers low29.00000

Percentage of outliers low0.07923

Mean of outliers low0.97304

Number of outliers high55.00000

Percentage of outliers high0.15027

Mean of outliers high1.06825
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.77407

VaR(95%) (moments method)0.01013

Expected Shortfall (moments method)0.05011

Extreme Value Index (regression method)0.42643

VaR(95%) (regression method)0.01030

Expected Shortfall (regression method)0.02298
 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)9.84703

Compounded annual return (geometric extrapolation)5.86749

Calmar ratio (compounded annual return / max draw down)30.19120

Compounded annual return / average of 25% largest draw downs39.46950

Compounded annual return / Expected Shortfall lognormal81.59090

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

Mean0.24994

SD0.12080

Sharpe ratio (Glass type estimate)2.06904

Sharpe ratio (Hedges UMVUE)2.05708

df130.00000

t1.46303

p0.56364

Lowerbound of 95% confidence interval for Sharpe Ratio4.84836

Upperbound of 95% confidence interval for Sharpe Ratio0.71803

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.84014

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72598
 Statistics related to Sortino ratio

Sortino ratio2.45468

Upside Potential Ratio2.76083

Upside part of mean0.28111

Downside part of mean0.53105

Upside SD0.06597

Downside SD0.10182

N nonnegative terms23.00000

N negative terms108.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00567

Mean of criterion0.24994

SD of predictor0.16441

SD of criterion0.12080

Covariance0.00444

r0.22370

b (slope, estimate of beta)0.16436

a (intercept, estimate of alpha)0.24901

Mean Square Error0.01397

DF error129.00000

t(b)2.60679

p(b)0.35879

t(a)1.48970

p(a)0.58256

Lowerbound of 95% confidence interval for beta0.03961

Upperbound of 95% confidence interval for beta0.28910

Lowerbound of 95% confidence interval for alpha0.57972

Upperbound of 95% confidence interval for alpha0.08171

Treynor index (mean / b)1.52071

Jensen alpha (a)0.24901
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.25735

SD0.12177

Sharpe ratio (Glass type estimate)2.11348

Sharpe ratio (Hedges UMVUE)2.10127

df130.00000

t1.49446

p0.56498

Lowerbound of 95% confidence interval for Sharpe Ratio4.89317

Upperbound of 95% confidence interval for Sharpe Ratio0.67420

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.88481

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.68228
 Statistics related to Sortino ratio

Sortino ratio2.48686

Upside Potential Ratio2.69543

Upside part of mean0.27894

Downside part of mean0.53629

Upside SD0.06525

Downside SD0.10349

N nonnegative terms23.00000

N negative terms108.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01918

Mean of criterion0.25735

SD of predictor0.16525

SD of criterion0.12177

Covariance0.00447

r0.22205

b (slope, estimate of beta)0.16363

a (intercept, estimate of alpha)0.25422

Mean Square Error0.01421

DF error129.00000

t(b)2.58660

p(b)0.35981

t(a)1.50816

p(a)0.58356

Lowerbound of 95% confidence interval for beta0.03847

Upperbound of 95% confidence interval for beta0.28879

Lowerbound of 95% confidence interval for alpha0.58772

Upperbound of 95% confidence interval for alpha0.07928

Treynor index (mean / b)1.57280

Jensen alpha (a)0.25422
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01327

Expected Shortfall on VaR0.01636
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00627

Expected Shortfall on VaR0.01327
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95354

Quartile 10.99964

Median1.00000

Quartile 31.00000

Maximum1.02884

Mean of quarter 10.99237

Mean of quarter 20.99992

Mean of quarter 31.00000

Mean of quarter 41.00434

Inter Quartile Range0.00036

Number outliers low29.00000

Percentage of outliers low0.22137

Mean of outliers low0.99140

Number of outliers high22.00000

Percentage of outliers high0.16794

Mean of outliers high1.00649
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.79318

VaR(95%) (moments method)0.00527

Expected Shortfall (moments method)0.02967

Extreme Value Index (regression method)0.53073

VaR(95%) (regression method)0.00788

Expected Shortfall (regression method)0.02234
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.11088

Quartile 10.11088

Median0.11088

Quartile 30.11088

Maximum0.11088

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)0.21677

Compounded annual return (geometric extrapolation)0.20503

Calmar ratio (compounded annual return / max draw down)1.84905

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

Compounded annual return / Expected Shortfall lognormal12.53180
Strategy Description
2. This strategy uses options to protect partially in case there is an unanticipated catastrophic "black swan" spike in volatility. Accordingly, the portfolio will typically own longterm, outofthemoney VXX (or similar) call options. Nonetheless, volatility systems tend to be riskier than most other trading systems.
3. My basic volatility timing model suggests when to be long VMIN (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. 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, I was not able to scale this part of the strategy up with subscribers.
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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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.