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

Quant Models Volatility
(109610406)

Created by: QuantitativeModels QuantitativeModels
Started: 02/2017
Stocks, Options
Last trade: Yesterday

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $77.00 per month.

1297.6%
Cumul. Return
23.9%
Max Drawdown
81
Num Trades
58.0%
Win Trades
3.2 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
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.

System developer has asked us to delay this information by 12 hours.

Trading Record

This strategy has placed 72 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/20/17 10:01 VXX1717W34 VXX Nov17'17 34 put LONG 3 2.22 11/18 9:35 0.00 2.21%
Trade id #114392115
Max drawdown($667)
Time11/18/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-2.21%
($669)
Includes Typical Broker Commissions trade costs of $2.10
10/31/17 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 708 111.76 11/15 9:34 110.31 3.37%
Trade id #114618947
Max drawdown($1,029)
Time11/15/17 9:34
Quant open648
Worst price103.92
Drawdown as % of equity-3.37%
($1,037)
Includes Typical Broker Commissions trade costs of $8.18
10/20/17 9:57 VXX1727V34 VXX Oct27'17 34 put LONG 8 0.85 10/23 15:38 0.35 1.2%
Trade id #114391957
Max drawdown($400)
Time10/23/17 15:38
Quant open0
Worst price0.35
Drawdown as % of equity-1.20%
($411)
Includes Typical Broker Commissions trade costs of $11.20
10/20/17 9:54 XIV VELOCITYSHARES DAILY INVERSE V LONG 340 112.54 10/23 15:38 109.19 3.61%
Trade id #114391831
Max drawdown($1,204)
Time10/23/17 15:38
Quant open340
Worst price109.00
Drawdown as % of equity-3.61%
($1,144)
Includes Typical Broker Commissions trade costs of $3.90
9/29/17 15:59 XIV VELOCITYSHARES DAILY INVERSE V LONG 342 99.25 10/17 13:44 107.19 0.19%
Trade id #113952317
Max drawdown($57)
Time9/29/17 17:44
Quant open290
Worst price97.35
Drawdown as % of equity-0.19%
$2,710
Includes Typical Broker Commissions trade costs of $5.45
10/13/17 12:18 VXX1720V35.5 VXX Oct20'17 35.5 put LONG 16 1.06 10/16 15:59 1.19 0.68%
Trade id #114245313
Max drawdown($227)
Time10/13/17 15:52
Quant open16
Worst price0.92
Drawdown as % of equity-0.68%
$183
Includes Typical Broker Commissions trade costs of $22.40
8/31/17 15:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 452 84.27 9/27 15:59 87.05 7.4%
Trade id #113477967
Max drawdown($2,124)
Time9/5/17 13:13
Quant open272
Worst price76.12
Drawdown as % of equity-7.40%
$1,255
Includes Typical Broker Commissions trade costs of $6.36
8/29/17 10:13 VXX IPATH S&P 500 VIX ST FUTURES E LONG 100 50.01 8/29 13:53 48.39 0.6%
Trade id #113406996
Max drawdown($180)
Time8/29/17 13:48
Quant open100
Worst price48.20
Drawdown as % of equity-0.60%
($164)
Includes Typical Broker Commissions trade costs of $2.00
8/21/17 15:51 XIV VELOCITYSHARES DAILY INVERSE V LONG 260 80.99 8/29 10:12 78.38 5.55%
Trade id #113263114
Max drawdown($1,731)
Time8/29/17 5:08
Quant open228
Worst price73.40
Drawdown as % of equity-5.55%
($684)
Includes Typical Broker Commissions trade costs of $4.14
8/14/17 9:36 XIV VELOCITYSHARES DAILY INVERSE V LONG 380 81.59 8/17 13:31 78.85 5.1%
Trade id #113127941
Max drawdown($1,634)
Time8/17/17 13:05
Quant open248
Worst price75.00
Drawdown as % of equity-5.10%
($1,045)
Includes Typical Broker Commissions trade costs of $4.24
7/31/17 15:38 XIV VELOCITYSHARES DAILY INVERSE V LONG 320 94.64 8/10 15:27 84.30 10.54%
Trade id #112902607
Max drawdown($3,395)
Time8/10/17 15:22
Quant open220
Worst price79.21
Drawdown as % of equity-10.54%
($3,312)
Includes Typical Broker Commissions trade costs of $3.70
6/30/17 15:52 XIV VELOCITYSHARES DAILY INVERSE V LONG 412 84.67 7/27 13:01 90.21 7.32%
Trade id #112311498
Max drawdown($2,276)
Time7/6/17 15:46
Quant open340
Worst price77.52
Drawdown as % of equity-7.32%
$2,274
Includes Typical Broker Commissions trade costs of $5.94
6/20/17 15:56 XIV VELOCITYSHARES DAILY INVERSE V LONG 280 83.40 6/28 15:45 85.47 0.6%
Trade id #112141366
Max drawdown($193)
Time6/21/17 5:39
Quant open200
Worst price81.83
Drawdown as % of equity-0.60%
$575
Includes Typical Broker Commissions trade costs of $4.00
5/31/17 15:08 XIV VELOCITYSHARES DAILY INVERSE V LONG 500 79.44 6/15 10:27 79.30 2.44%
Trade id #111857402
Max drawdown($794)
Time6/9/17 14:51
Quant open300
Worst price76.79
Drawdown as % of equity-2.44%
($76)
Includes Typical Broker Commissions trade costs of $5.50
5/22/17 11:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 400 76.30 5/30 9:32 78.35 0.35%
Trade id #111711873
Max drawdown($111)
Time5/22/17 19:11
Quant open400
Worst price76.02
Drawdown as % of equity-0.35%
$815
Includes Typical Broker Commissions trade costs of $4.00
5/22/17 14:12 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 244 11.93 5/25 15:39 11.28 0.71%
Trade id #111715512
Max drawdown($232)
Time5/25/17 10:33
Quant open244
Worst price10.98
Drawdown as % of equity-0.71%
($162)
Includes Typical Broker Commissions trade costs of $3.22
5/12/17 13:00 UVXY1719E19.5 UVXY May19'17 19.5 call LONG 4 0.04 5/20 9:35 0.00 0.05%
Trade id #111576510
Max drawdown($16)
Time5/20/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.05%
($19)
Includes Typical Broker Commissions trade costs of $2.80
5/9/17 10:27 XIV VELOCITYSHARES DAILY INVERSE V LONG 788 80.34 5/17 11:57 77.48 8.23%
Trade id #111475298
Max drawdown($2,642)
Time5/17/17 11:09
Quant open360
Worst price73.00
Drawdown as % of equity-8.23%
($2,261)
Includes Typical Broker Commissions trade costs of $9.34
4/24/17 12:17 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,024 74.37 5/9 9:33 79.07 0.33%
Trade id #111231657
Max drawdown($96)
Time4/24/17 12:59
Quant open320
Worst price72.32
Drawdown as % of equity-0.33%
$4,801
Includes Typical Broker Commissions trade costs of $11.12
5/8/17 9:34 UVXY1712E19 UVXY May12'17 19 call LONG 12 0.05 5/9 9:31 0.01 0.14%
Trade id #111456329
Max drawdown($48)
Time5/9/17 9:31
Quant open0
Worst price0.01
Drawdown as % of equity-0.14%
($65)
Includes Typical Broker Commissions trade costs of $16.80
5/1/17 9:31 UVXY1705E17 UVXY May5'17 17 call LONG 24 0.08 5/6 9:35 0.00 0.04%
Trade id #111341617
Max drawdown$1
Time5/1/17 9:50
Quant open
Worst price0.01
Drawdown as % of equity0.04%
($209)
Includes Typical Broker Commissions trade costs of $16.80
4/28/17 15:59 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 180 14.22 5/5 15:59 13.13 9.77%
Trade id #111328474
Max drawdown$266
Time4/28/17 16:11
Quant open
Worst price12.82
Drawdown as % of equity9.77%
($198)
Includes Typical Broker Commissions trade costs of $2.00
4/25/17 9:33 UVXY1728P17 UVXY Apr28'17 17 put SHORT 4 2.66 4/25 10:04 2.66 0%
Trade id #111245821
Max drawdown$0
Time4/25/17 9:34
Quant open
Worst price2.73
Drawdown as % of equity0.00%
($6)
Includes Typical Broker Commissions trade costs of $5.60
4/25/17 9:37 UVXY1728P16.5 UVXY Apr28'17 16.5 put SHORT 4 2.22 4/25 10:04 2.18 0.01%
Trade id #111246054
Max drawdown$0
Time4/25/17 9:38
Quant open
Worst price2.16
Drawdown as % of equity0.01%
$10
Includes Typical Broker Commissions trade costs of $5.60
4/25/17 9:30 UVXY1728P16 UVXY Apr28'17 16 put SHORT 4 1.88 4/25 10:04 1.72 0.03%
Trade id #111245602
Max drawdown$0
Time4/25/17 9:30
Quant open
Worst price1.66
Drawdown as % of equity0.03%
$58
Includes Typical Broker Commissions trade costs of $5.60
4/24/17 15:00 UVXY1705Q16 UVXY May5'17 16 put SHORT 4 2.88 4/24 15:55 1.22 0%
Trade id #111235249
Max drawdown$0
Time4/24/17 15:01
Quant open
Worst price3.55
Drawdown as % of equity0.00%
$658
Includes Typical Broker Commissions trade costs of $5.60
4/19/17 15:59 VXX1719Q19 VXX May19'17 19 put SHORT 4 2.52 4/21 15:59 2.71 0.04%
Trade id #111134054
Max drawdown$0
Time4/20/17 11:37
Quant open
Worst price2.80
Drawdown as % of equity0.04%
($82)
Includes Typical Broker Commissions trade costs of $5.60
4/19/17 15:59 VXX IPATH S&P 500 VIX ST FUTURES E LONG 800 17.62 4/21 15:59 17.20 22.86%
Trade id #111133976
Max drawdown$520
Time4/19/17 15:59
Quant open
Worst price17.01
Drawdown as % of equity22.86%
($344)
Includes Typical Broker Commissions trade costs of $8.00
4/17/17 14:01 XIV VELOCITYSHARES DAILY INVERSE V LONG 360 64.90 4/19 15:58 64.84 32.4%
Trade id #111059892
Max drawdown$999
Time4/19/17 9:56
Quant open
Worst price64.23
Drawdown as % of equity32.40%
($25)
Includes Typical Broker Commissions trade costs of $4.20
4/17/17 15:49 UVXY1719Q18 UVXY May19'17 18 put SHORT 4 3.22 4/17 15:59 2.79 0%
Trade id #111064789
Max drawdown$0
Time4/17/17 15:50
Quant open
Worst price4.12
Drawdown as % of equity0.00%
$166
Includes Typical Broker Commissions trade costs of $5.60

Statistics

  • Strategy began
    2/16/2017
  • Starting Unit Size
    $30,000
  • Strategy Age (days)
    302.63
  • Age
    10 months ago
  • What it trades
    Stocks, Options
  • # Trades
    81
  • # Profitable
    47
  • % Profitable
    58.00%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    23.9%
  • drawdown period
    July 26, 2017 - Dec 01, 2017
  • Cumul. Return
    1312.5%
  • 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 ratio
    3.18:1
  • Sharpe Ratio
    3.874
  • Sortino Ratio
    21.551
  • Calmar Ratio
    135.187
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05800
  • Return Statistics
  • Ann Return (w trading costs)
    2261.9%
  • Ann Return (Compnd, No Fees)
    2521.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    877
  • Popularity (Last 6 weeks)
    974
  • C2 Score
    97.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $410
  • Avg Win
    $942
  • # Winners
    47
  • # Losers
    34
  • % Winners
    58.0%
  • Frequency
  • Avg Position Time (mins)
    8381.15
  • Avg Position Time (hrs)
    139.69
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    13.45280
  • SD
    11.27470
  • Sharpe ratio (Glass type estimate)
    1.19319
  • Sharpe ratio (Hedges UMVUE)
    1.07710
  • df
    8.00000
  • t
    1.03333
  • p
    0.16584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17621
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49397
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40099
  • Statistics related to Sortino ratio
  • Sortino ratio
    75.97390
  • Upside Potential Ratio
    77.64180
  • Upside part of mean
    13.74810
  • Downside part of mean
    -0.29534
  • Upside SD
    11.31560
  • Downside SD
    0.17707
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.10169
  • Mean of criterion
    13.45280
  • SD of predictor
    0.06327
  • SD of criterion
    11.27470
  • Covariance
    -0.36945
  • r
    -0.51794
  • b (slope, estimate of beta)
    -92.30220
  • a (intercept, estimate of alpha)
    22.83900
  • Mean Square Error
    106.30500
  • DF error
    7.00000
  • t(b)
    -1.60196
  • p(b)
    0.92340
  • t(a)
    1.72121
  • p(a)
    0.06444
  • Lowerbound of 95% confidence interval for beta
    -228.54800
  • Upperbound of 95% confidence interval for beta
    43.94370
  • Lowerbound of 95% confidence interval for alpha
    -8.53765
  • Upperbound of 95% confidence interval for alpha
    54.21570
  • Treynor index (mean / b)
    -0.14575
  • Jensen alpha (a)
    22.83900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.49072
  • SD
    2.73581
  • Sharpe ratio (Glass type estimate)
    1.27593
  • Sharpe ratio (Hedges UMVUE)
    1.15179
  • df
    8.00000
  • t
    1.10499
  • p
    0.15064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10564
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58478
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48427
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.67170
  • Upside Potential Ratio
    20.33780
  • Upside part of mean
    3.80220
  • Downside part of mean
    -0.31148
  • Upside SD
    2.76288
  • Downside SD
    0.18695
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.09928
  • Mean of criterion
    3.49072
  • SD of predictor
    0.06288
  • SD of criterion
    2.73581
  • Covariance
    -0.08319
  • r
    -0.48357
  • b (slope, estimate of beta)
    -21.03760
  • a (intercept, estimate of alpha)
    5.57924
  • Mean Square Error
    6.55366
  • DF error
    7.00000
  • t(b)
    -1.46166
  • p(b)
    0.90639
  • t(a)
    1.69929
  • p(a)
    0.06653
  • Lowerbound of 95% confidence interval for beta
    -55.07170
  • Upperbound of 95% confidence interval for beta
    12.99640
  • Lowerbound of 95% confidence interval for alpha
    -2.18450
  • Upperbound of 95% confidence interval for alpha
    13.34300
  • Treynor index (mean / b)
    -0.16593
  • Jensen alpha (a)
    5.57924
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.63511
  • Expected Shortfall on VaR
    0.72762
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04310
  • Expected Shortfall on VaR
    0.09083
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.89343
  • Quartile 1
    0.99758
  • Median
    1.07063
  • Quartile 3
    1.08247
  • Maximum
    10.79720
  • Mean of quarter 1
    0.92849
  • Mean of quarter 2
    1.04448
  • Mean of quarter 3
    1.07989
  • Mean of quarter 4
    6.03816
  • Inter Quartile Range
    0.08489
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    6.03816
  • Risk estimates for a one-period 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 observations
    1.00000
  • Minimum
    0.13704
  • Quartile 1
    0.13704
  • Median
    0.13704
  • Quartile 3
    0.13704
  • Maximum
    0.13704
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    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 downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    44.99340
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.66700
  • SD
    0.94336
  • Sharpe ratio (Glass type estimate)
    3.88718
  • Sharpe ratio (Hedges UMVUE)
    3.87361
  • df
    215.00000
  • t
    3.52948
  • p
    0.00025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.69323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.07245
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68418
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.06303
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.55100
  • Upside Potential Ratio
    27.62470
  • Upside part of mean
    4.70047
  • Downside part of mean
    -1.03347
  • Upside SD
    0.95298
  • Downside SD
    0.17016
  • N nonnegative terms
    115.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    216.00000
  • Mean of predictor
    0.13343
  • Mean of criterion
    3.66700
  • SD of predictor
    0.06890
  • SD of criterion
    0.94336
  • Covariance
    0.00277
  • r
    0.04259
  • b (slope, estimate of beta)
    0.58312
  • a (intercept, estimate of alpha)
    3.58900
  • Mean Square Error
    0.89246
  • DF error
    214.00000
  • t(b)
    0.62364
  • p(b)
    0.26676
  • t(a)
    3.42515
  • p(a)
    0.00037
  • Lowerbound of 95% confidence interval for beta
    -1.25993
  • Upperbound of 95% confidence interval for beta
    2.42617
  • Lowerbound of 95% confidence interval for alpha
    1.52368
  • Upperbound of 95% confidence interval for alpha
    5.65472
  • Treynor index (mean / b)
    6.28857
  • Jensen alpha (a)
    3.58920
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.27798
  • SD
    0.82016
  • Sharpe ratio (Glass type estimate)
    3.99678
  • Sharpe ratio (Hedges UMVUE)
    3.98282
  • df
    215.00000
  • t
    3.62900
  • p
    0.00018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.80092
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.18365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.17400
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.83230
  • Upside Potential Ratio
    24.85470
  • Upside part of mean
    4.32626
  • Downside part of mean
    -1.04828
  • Upside SD
    0.82478
  • Downside SD
    0.17406
  • N nonnegative terms
    115.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    216.00000
  • Mean of predictor
    0.13102
  • Mean of criterion
    3.27798
  • SD of predictor
    0.06894
  • SD of criterion
    0.82016
  • Covariance
    0.00342
  • r
    0.06044
  • b (slope, estimate of beta)
    0.71910
  • a (intercept, estimate of alpha)
    3.18377
  • Mean Square Error
    0.67333
  • DF error
    214.00000
  • t(b)
    0.88583
  • p(b)
    0.18835
  • t(a)
    3.49878
  • p(a)
    0.00028
  • Lowerbound of 95% confidence interval for beta
    -0.88101
  • Upperbound of 95% confidence interval for beta
    2.31921
  • Lowerbound of 95% confidence interval for alpha
    1.39013
  • Upperbound of 95% confidence interval for alpha
    4.97741
  • Treynor index (mean / b)
    4.55845
  • Jensen alpha (a)
    3.18377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06838
  • Expected Shortfall on VaR
    0.08774
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00849
  • Expected Shortfall on VaR
    0.01853
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    216.00000
  • Minimum
    0.92020
  • Quartile 1
    0.99741
  • Median
    1.00092
  • Quartile 3
    1.00969
  • Maximum
    1.54709
  • Mean of quarter 1
    0.98512
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00411
  • Mean of quarter 4
    1.06783
  • Inter Quartile Range
    0.01228
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.07407
  • Mean of outliers low
    0.96649
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.12978
  • Risk estimates for a one-period 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 observations
    9.00000
  • Minimum
    0.00056
  • Quartile 1
    0.01291
  • Median
    0.02480
  • Quartile 3
    0.02620
  • Maximum
    0.19434
  • Mean of quarter 1
    0.00714
  • Mean of quarter 2
    0.02437
  • Mean of quarter 3
    0.02612
  • Mean of quarter 4
    0.14866
  • Inter Quartile Range
    0.01329
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.14866
  • 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 downs
    176.73200
  • Compounded annual return / Expected Shortfall lognormal
    299.44200
  • 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
  • Mean
    0.00454
  • SD
    0.21487
  • Sharpe ratio (Glass type estimate)
    0.02111
  • Sharpe ratio (Hedges UMVUE)
    0.02099
  • df
    130.00000
  • t
    0.01493
  • p
    0.49934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75070
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79280
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02819
  • Upside Potential Ratio
    6.85589
  • Upside part of mean
    1.10303
  • Downside part of mean
    -1.09850
  • Upside SD
    0.14118
  • Downside SD
    0.16089
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.00454
  • SD of predictor
    0.06774
  • SD of criterion
    0.21487
  • Covariance
    0.00652
  • r
    0.44821
  • b (slope, estimate of beta)
    1.42179
  • a (intercept, estimate of alpha)
    -0.23025
  • Mean Square Error
    0.03718
  • DF error
    129.00000
  • t(b)
    5.69480
  • p(b)
    0.22452
  • t(a)
    -0.83490
  • p(a)
    0.54663
  • Lowerbound of 95% confidence interval for beta
    0.92782
  • Upperbound of 95% confidence interval for beta
    1.91576
  • Lowerbound of 95% confidence interval for alpha
    -0.77590
  • Upperbound of 95% confidence interval for alpha
    0.31540
  • Treynor index (mean / b)
    0.00319
  • Jensen alpha (a)
    -0.23025
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01850
  • SD
    0.21578
  • Sharpe ratio (Glass type estimate)
    -0.08573
  • Sharpe ratio (Hedges UMVUE)
    -0.08523
  • df
    130.00000
  • t
    -0.06062
  • p
    0.50266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.85743
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68622
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.85706
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68659
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.11306
  • Upside Potential Ratio
    6.68102
  • Upside part of mean
    1.09312
  • Downside part of mean
    -1.11162
  • Upside SD
    0.13941
  • Downside SD
    0.16362
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    -0.01850
  • SD of predictor
    0.06776
  • SD of criterion
    0.21578
  • Covariance
    0.00661
  • r
    0.45235
  • b (slope, estimate of beta)
    1.44043
  • a (intercept, estimate of alpha)
    -0.25299
  • Mean Square Error
    0.03732
  • DF error
    129.00000
  • t(b)
    5.76083
  • p(b)
    0.22217
  • t(a)
    -0.91590
  • p(a)
    0.55112
  • Lowerbound of 95% confidence interval for beta
    0.94572
  • Upperbound of 95% confidence interval for beta
    1.93514
  • Lowerbound of 95% confidence interval for alpha
    -0.79949
  • Upperbound of 95% confidence interval for alpha
    0.29351
  • Treynor index (mean / b)
    -0.01284
  • Jensen alpha (a)
    -0.25299
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02176
  • Expected Shortfall on VaR
    0.02718
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00996
  • Expected Shortfall on VaR
    0.02056
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95123
  • Quartile 1
    0.99629
  • Median
    0.99983
  • Quartile 3
    1.00557
  • Maximum
    1.04813
  • Mean of quarter 1
    0.98487
  • Mean of quarter 2
    0.99871
  • Mean of quarter 3
    1.00200
  • Mean of quarter 4
    1.01498
  • Inter Quartile Range
    0.00927
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.96617
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.02485
  • Risk estimates for a one-period 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 observations
    4.00000
  • Minimum
    0.00062
  • Quartile 1
    0.00697
  • Median
    0.03235
  • Quartile 3
    0.09029
  • Maximum
    0.19434
  • Mean of quarter 1
    0.00062
  • Mean of quarter 2
    0.00909
  • Mean of quarter 3
    0.05560
  • Mean of quarter 4
    0.19434
  • Inter Quartile Range
    0.08332
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    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 downs
    0.04864
  • Compounded annual return / Expected Shortfall lognormal
    0.34781

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 “black swan” spike in volatility. Accordingly, the portfolio will typically own long-term, out-of-the-money 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). Off-site, 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

Strategy began
2017-02-16
Minimum Capital Required
$30,000
# Trades
81
# Profitable
47
% Profitable
58.0%
Correlation S&P500
0.058
Sharpe Ratio
3.874

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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