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%  +7.8%  +1350.7% 
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  $12,551  
Cash  $1  
Equity  $1  
Cumulative $  $31,353  
Total System Equity  $33,513  
Margined  $1  
Open P/L  ($760)  
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$2,160

Strategy Age (days)247.51

Age8 months ago

What it tradesStocks, Options

# Trades78

# Profitable47

% Profitable60.30%

Avg trade duration4.6 days

Max peaktovalley drawdown22.17%

drawdown periodJuly 26, 2017  Sept 05, 2017

Cumul. Return1367.9%

Avg win$883.38

Avg loss$327.90
 Model Account Values (Raw)

Cash$12,504

Margin Used$0

Buying Power$12,551
 Ratios

W:L ratio4.08:1

Sharpe Ratio4.374

Sortino Ratio26.527

Calmar Ratio306.591
 CORRELATION STATISTICS

Correlation to SP5000.05600
 Return Statistics

Ann Return (w trading costs)4899.0%

Ann Return (Compnd, No Fees)5510.1%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss6.50%

Chance of 20% account loss1.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)974

Popularity (Last 6 weeks)986

C2 Score98.5
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$328

Avg Win$883

# Winners47

# Losers31

% Winners60.3%
 Frequency

Avg Position Time (mins)6555.20

Avg Position Time (hrs)109.25

Avg Trade Length4.6 days

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

Mean15.29620

SD11.93170

Sharpe ratio (Glass type estimate)1.28198

Sharpe ratio (Hedges UMVUE)1.13866

df7.00000

t1.04673

p0.16501

Lowerbound of 95% confidence interval for Sharpe Ratio1.24873

Upperbound of 95% confidence interval for Sharpe Ratio3.72959

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.33479

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.61211
 Statistics related to Sortino ratio

Sortino ratio114.57700

Upside Potential Ratio115.85400

Upside part of mean15.46670

Downside part of mean0.17047

Upside SD12.00210

Downside SD0.13350

N nonnegative terms6.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations8.00000

Mean of predictor0.10616

Mean of criterion15.29620

SD of predictor0.06751

SD of criterion11.93170

Covariance0.42929

r0.53297

b (slope, estimate of beta)94.19950

a (intercept, estimate of alpha)25.29650

Mean Square Error118.91300

DF error6.00000

t(b)1.54289

p(b)0.91310

t(a)1.70402

p(a)0.06963

Lowerbound of 95% confidence interval for beta243.59500

Upperbound of 95% confidence interval for beta55.19580

Lowerbound of 95% confidence interval for alpha11.02890

Upperbound of 95% confidence interval for alpha61.62190

Treynor index (mean / b)0.16238

Jensen alpha (a)25.29650
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean4.09783

SD2.87018

Sharpe ratio (Glass type estimate)1.42772

Sharpe ratio (Hedges UMVUE)1.26811

df7.00000

t1.16573

p0.14095

Lowerbound of 95% confidence interval for Sharpe Ratio1.12773

Upperbound of 95% confidence interval for Sharpe Ratio3.89227

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.22256

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.75878
 Statistics related to Sortino ratio

Sortino ratio29.06600

Upside Potential Ratio30.34020

Upside part of mean4.27747

Downside part of mean0.17964

Upside SD2.93048

Downside SD0.14098

N nonnegative terms6.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations8.00000

Mean of predictor0.10349

Mean of criterion4.09783

SD of predictor0.06711

SD of criterion2.87018

Covariance0.09727

r0.50496

b (slope, estimate of beta)21.59510

a (intercept, estimate of alpha)6.33263

Mean Square Error7.16030

DF error6.00000

t(b)1.43301

p(b)0.89908

t(a)1.74482

p(a)0.06582

Lowerbound of 95% confidence interval for beta58.46980

Upperbound of 95% confidence interval for beta15.27960

Lowerbound of 95% confidence interval for alpha2.54829

Upperbound of 95% confidence interval for alpha15.21360

Treynor index (mean / b)0.18976

Jensen alpha (a)6.33263
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.63989

Expected Shortfall on VaR0.73458
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01893

Expected Shortfall on VaR0.04692
 ORDER STATISTICS
 Quartiles of return rates

Number of observations8.00000

Minimum0.89343

Quartile 11.01315

Median1.07397

Quartile 31.13164

Maximum10.79720

Mean of quarter 10.94551

Mean of quarter 21.04448

Mean of quarter 31.07989

Mean of quarter 46.03816

Inter Quartile Range0.11849

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

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 observations1.00000

Minimum0.10873

Quartile 10.10873

Median0.10873

Quartile 30.10873

Maximum0.10873

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)21.97550

Compounded annual return (geometric extrapolation)60.91360

Calmar ratio (compounded annual return / max draw down)560.22500

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

Compounded annual return / Expected Shortfall lognormal82.92330

0.00000

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

Mean4.53139

SD1.03165

Sharpe ratio (Glass type estimate)4.39237

Sharpe ratio (Hedges UMVUE)4.37352

df175.00000

t3.60002

p0.33477

Lowerbound of 95% confidence interval for Sharpe Ratio1.95121

Upperbound of 95% confidence interval for Sharpe Ratio6.82155

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.93868

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.80836
 Statistics related to Sortino ratio

Sortino ratio26.52670

Upside Potential Ratio32.27250

Upside part of mean5.51290

Downside part of mean0.98151

Upside SD1.05235

Downside SD0.17082

N nonnegative terms102.00000

N negative terms74.00000
 Statistics related to linear regression on benchmark

N of observations176.00000

Mean of predictor0.11257

Mean of criterion4.53139

SD of predictor0.07014

SD of criterion1.03165

Covariance0.00279

r0.03855

b (slope, estimate of beta)0.56696

a (intercept, estimate of alpha)4.46800

Mean Square Error1.06883

DF error174.00000

t(b)0.50885

p(b)0.48073

t(a)3.52441

p(a)0.37094

Lowerbound of 95% confidence interval for beta1.63215

Upperbound of 95% confidence interval for beta2.76608

Lowerbound of 95% confidence interval for alpha1.96570

Upperbound of 95% confidence interval for alpha6.96943

Treynor index (mean / b)7.99238

Jensen alpha (a)4.46757
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean4.06069

SD0.89454

Sharpe ratio (Glass type estimate)4.53942

Sharpe ratio (Hedges UMVUE)4.51993

df175.00000

t3.72054

p0.32977

Lowerbound of 95% confidence interval for Sharpe Ratio2.09511

Upperbound of 95% confidence interval for Sharpe Ratio6.97137

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.08216

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.95771
 Statistics related to Sortino ratio

Sortino ratio23.20450

Upside Potential Ratio28.89880

Upside part of mean5.05716

Downside part of mean0.99647

Upside SD0.90993

Downside SD0.17500

N nonnegative terms102.00000

N negative terms74.00000
 Statistics related to linear regression on benchmark

N of observations176.00000

Mean of predictor0.11009

Mean of criterion4.06069

SD of predictor0.07021

SD of criterion0.89454

Covariance0.00355

r0.05655

b (slope, estimate of beta)0.72056

a (intercept, estimate of alpha)3.98136

Mean Square Error0.80222

DF error174.00000

t(b)0.74717

p(b)0.47172

t(a)3.62618

p(a)0.36747

Lowerbound of 95% confidence interval for beta1.18283

Upperbound of 95% confidence interval for beta2.62395

Lowerbound of 95% confidence interval for alpha1.81435

Upperbound of 95% confidence interval for alpha6.14837

Treynor index (mean / b)5.63546

Jensen alpha (a)3.98136
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07263

Expected Shortfall on VaR0.09361
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00745

Expected Shortfall on VaR0.01677
 ORDER STATISTICS
 Quartiles of return rates

Number of observations176.00000

Minimum0.92020

Quartile 10.99773

Median1.00182

Quartile 31.01222

Maximum1.54709

Mean of quarter 10.98560

Mean of quarter 20.99991

Mean of quarter 31.00543

Mean of quarter 41.07866

Inter Quartile Range0.01449

Number outliers low10.00000

Percentage of outliers low0.05682

Mean of outliers low0.96322

Number of outliers high21.00000

Percentage of outliers high0.11932

Mean of outliers high1.14308
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.75647

VaR(95%) (moments method)0.01222

Expected Shortfall (moments method)0.05630

Extreme Value Index (regression method)0.42793

VaR(95%) (regression method)0.01236

Expected Shortfall (regression method)0.02751
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00056

Quartile 10.01291

Median0.02480

Quartile 30.02620

Maximum0.19132

Mean of quarter 10.00714

Mean of quarter 20.02437

Mean of quarter 30.02612

Mean of quarter 40.14714

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 high0.14714
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)12.50340

VaR(95%) (moments method)0.07370

Expected Shortfall (moments method)0.07370

Extreme Value Index (regression method)0.79746

VaR(95%) (regression method)0.22850

Expected Shortfall (regression method)0.25678
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)21.71700

Compounded annual return (geometric extrapolation)58.65580

Calmar ratio (compounded annual return / max draw down)306.59100

Compounded annual return / average of 25% largest draw downs398.62600

Compounded annual return / Expected Shortfall lognormal626.58400

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

Mean0.28927

SD0.24752

Sharpe ratio (Glass type estimate)1.16867

Sharpe ratio (Hedges UMVUE)1.16192

df130.00000

t0.82638

p0.46386

Lowerbound of 95% confidence interval for Sharpe Ratio1.60895

Upperbound of 95% confidence interval for Sharpe Ratio3.94194

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.61348

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.93732
 Statistics related to Sortino ratio

Sortino ratio1.52413

Upside Potential Ratio7.53391

Upside part of mean1.42989

Downside part of mean1.14062

Upside SD0.15842

Downside SD0.18979

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15265

Mean of criterion0.28927

SD of predictor0.06992

SD of criterion0.24752

Covariance0.01009

r0.58299

b (slope, estimate of beta)2.06371

a (intercept, estimate of alpha)0.02576

Mean Square Error0.04076

DF error129.00000

t(b)8.14964

p(b)0.15111

t(a)0.08940

p(a)0.50501

Lowerbound of 95% confidence interval for beta1.56269

Upperbound of 95% confidence interval for beta2.56473

Lowerbound of 95% confidence interval for alpha0.59579

Upperbound of 95% confidence interval for alpha0.54428

Treynor index (mean / b)0.14017

Jensen alpha (a)0.02576
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.25826

SD0.25030

Sharpe ratio (Glass type estimate)1.03180

Sharpe ratio (Hedges UMVUE)1.02583

df130.00000

t0.72959

p0.46807

Lowerbound of 95% confidence interval for Sharpe Ratio1.74478

Upperbound of 95% confidence interval for Sharpe Ratio3.80451

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.74878

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.80044
 Statistics related to Sortino ratio

Sortino ratio1.32673

Upside Potential Ratio7.28150

Upside part of mean1.41738

Downside part of mean1.15913

Upside SD0.15663

Downside SD0.19465

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15016

Mean of criterion0.25826

SD of predictor0.07004

SD of criterion0.25030

Covariance0.01033

r0.58901

b (slope, estimate of beta)2.10480

a (intercept, estimate of alpha)0.05780

Mean Square Error0.04123

DF error129.00000

t(b)8.27826

p(b)0.14800

t(a)0.19953

p(a)0.51118

Lowerbound of 95% confidence interval for beta1.60175

Upperbound of 95% confidence interval for beta2.60785

Lowerbound of 95% confidence interval for alpha0.63096

Upperbound of 95% confidence interval for alpha0.51535

Treynor index (mean / b)0.12270

Jensen alpha (a)0.05780
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02415

Expected Shortfall on VaR0.03042
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00890

Expected Shortfall on VaR0.01971
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.92020

Quartile 10.99685

Median1.00127

Quartile 31.00724

Maximum1.03860

Mean of quarter 10.98365

Mean of quarter 20.99945

Mean of quarter 31.00421

Mean of quarter 41.01762

Inter Quartile Range0.01040

Number outliers low11.00000

Percentage of outliers low0.08397

Mean of outliers low0.96442

Number of outliers high7.00000

Percentage of outliers high0.05344

Mean of outliers high1.02861
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.75231

VaR(95%) (moments method)0.01543

Expected Shortfall (moments method)0.06867

Extreme Value Index (regression method)0.47633

VaR(95%) (regression method)0.01446

Expected Shortfall (regression method)0.03355
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00056

Quartile 10.00431

Median0.01708

Quartile 30.08378

Maximum0.19132

Mean of quarter 10.00182

Mean of quarter 20.00796

Mean of quarter 30.02620

Mean of quarter 40.14714

Inter Quartile Range0.07947

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)0.30765

Compounded annual return (geometric extrapolation)0.33131

Calmar ratio (compounded annual return / max draw down)1.73173

Compounded annual return / average of 25% largest draw downs2.25157

Compounded annual return / Expected Shortfall lognormal10.89040
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 “black swan” 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 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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