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Volatility Trader
(98838821)

Created by: RocketTrading RocketTrading
Started: 01/2016
Stocks
Last trade: 1,060 days ago

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 $69.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

10.7%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(15.0%)
Max Drawdown
30
Num Trades
63.3%
Win Trades
3.1 : 1
Profit Factor
17.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016+1.8%(6.7%)+23.2%(1.9%)(0.6%)(6.6%)+23.5%(0.2%)+2.1%(1.4%)+3.9%+3.7%+42.5%
2017(1.1%)+4.7%+2.5%+2.0%(0.5%)  -    -    -    -    -    -    -  +7.8%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -                                                        

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 5 hours.

Trading Record

This strategy has placed 82 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/8/17 11:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 315 79.45 5/8 15:57 79.52 0.1%
Trade id #111459573
Max drawdown($40)
Time5/8/17 15:51
Quant open315
Worst price79.32
Drawdown as % of equity-0.10%
$19
Includes Typical Broker Commissions trade costs of $3.14
3/20/17 10:44 AGG ISHARES CORE US AGGREGATE BOND LONG 360 107.88 5/1 9:41 108.81 n/a $331
Includes Typical Broker Commissions trade costs of $3.60
4/17/17 11:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 387 64.31 4/17 15:57 65.70 0.41%
Trade id #111054354
Max drawdown($166)
Time4/17/17 12:00
Quant open387
Worst price63.88
Drawdown as % of equity-0.41%
$534
Includes Typical Broker Commissions trade costs of $3.88
3/24/17 12:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 360 69.53 3/24 14:48 67.47 1.84%
Trade id #110424859
Max drawdown($742)
Time3/24/17 14:48
Quant open0
Worst price67.47
Drawdown as % of equity-1.84%
($746)
Includes Typical Broker Commissions trade costs of $3.60
3/3/17 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 655 68.63 3/20 10:41 72.16 0.38%
Trade id #110017028
Max drawdown($142)
Time3/3/17 10:34
Quant open303
Worst price65.44
Drawdown as % of equity-0.38%
$2,305
Includes Typical Broker Commissions trade costs of $6.56
2/16/17 9:41 AGG ISHARES CORE US AGGREGATE BOND LONG 353 108.02 3/3 9:41 107.88 0.25%
Trade id #109596218
Max drawdown($94)
Time3/2/17 13:35
Quant open353
Worst price107.75
Drawdown as % of equity-0.25%
($53)
Includes Typical Broker Commissions trade costs of $3.54
3/1/17 11:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 378 66.13 3/1 15:57 64.83 1.36%
Trade id #109954620
Max drawdown($517)
Time3/1/17 15:56
Quant open378
Worst price64.76
Drawdown as % of equity-1.36%
($495)
Includes Typical Broker Commissions trade costs of $3.78
2/3/17 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 320 62.41 2/16 9:41 66.87 1.07%
Trade id #109263361
Max drawdown($393)
Time2/8/17 9:54
Quant open320
Worst price61.18
Drawdown as % of equity-1.07%
$1,425
Includes Typical Broker Commissions trade costs of $3.20
12/15/16 15:01 AGG ISHARES CORE US AGGREGATE BOND LONG 324 107.33 2/3/17 9:41 108.17 n/a $269
Includes Typical Broker Commissions trade costs of $3.24
1/24/17 11:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 422 59.25 1/24 15:56 60.62 0.02%
Trade id #108981217
Max drawdown($8)
Time1/24/17 11:35
Quant open422
Worst price59.23
Drawdown as % of equity-0.02%
$574
Includes Typical Broker Commissions trade costs of $4.22
1/20/17 11:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 442 56.57 1/20 15:56 57.07 0.74%
Trade id #108898326
Max drawdown($265)
Time1/20/17 12:06
Quant open442
Worst price55.97
Drawdown as % of equity-0.74%
$217
Includes Typical Broker Commissions trade costs of $4.42
1/12/17 11:32 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,127 22.19 1/12 13:37 21.50 2.09%
Trade id #108592872
Max drawdown($777)
Time1/12/17 13:37
Quant open0
Worst price21.50
Drawdown as % of equity-2.09%
($788)
Includes Typical Broker Commissions trade costs of $11.26
1/6/17 13:26 XIV VELOCITYSHARES DAILY INVERSE V LONG 461 54.30 1/6 15:56 53.67 0.81%
Trade id #108420626
Max drawdown($299)
Time1/6/17 15:31
Quant open461
Worst price53.65
Drawdown as % of equity-0.81%
($295)
Includes Typical Broker Commissions trade costs of $4.62
12/19/16 11:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 521 48.00 12/19 15:56 48.49 0.14%
Trade id #108051915
Max drawdown($52)
Time12/19/16 11:49
Quant open521
Worst price47.90
Drawdown as % of equity-0.14%
$251
Includes Typical Broker Commissions trade costs of $5.20
11/16/16 13:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,763 43.44 12/15 14:30 44.43 0.64%
Trade id #107261625
Max drawdown($216)
Time11/16/16 16:14
Quant open492
Worst price40.16
Drawdown as % of equity-0.64%
$2,702
Includes Typical Broker Commissions trade costs of $27.64
10/12/16 9:41 AGG ISHARES CORE US AGGREGATE BOND LONG 225 111.34 11/15 13:20 108.96 1.78%
Trade id #106391544
Max drawdown($604)
Time11/14/16 9:31
Quant open224
Worst price108.64
Drawdown as % of equity-1.78%
($538)
Includes Typical Broker Commissions trade costs of $3.24
10/24/16 13:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 603 41.46 10/24 15:56 41.57 0.14%
Trade id #106624638
Max drawdown($48)
Time10/24/16 13:37
Quant open603
Worst price41.38
Drawdown as % of equity-0.14%
$61
Includes Typical Broker Commissions trade costs of $6.04
10/24/16 11:43 XIV VELOCITYSHARES DAILY INVERSE V LONG 604 41.35 10/24 11:43 41.35 n/a ($6)
Includes Typical Broker Commissions trade costs of $6.04
9/26/16 9:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 555 35.96 10/12 9:41 36.74 2.25%
Trade id #106069326
Max drawdown($754)
Time9/29/16 13:57
Quant open555
Worst price34.60
Drawdown as % of equity-2.25%
$427
Includes Typical Broker Commissions trade costs of $5.54
8/2/16 9:41 AGG ISHARES CORE US AGGREGATE BOND LONG 228 112.23 9/26 9:40 112.34 0.59%
Trade id #104935898
Max drawdown($199)
Time9/13/16 13:04
Quant open223
Worst price111.34
Drawdown as % of equity-0.59%
$13
Includes Typical Broker Commissions trade costs of $12.22
7/5/16 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 771 25.48 8/2 9:41 33.69 2.91%
Trade id #104453539
Max drawdown($771)
Time7/5/16 13:55
Quant open771
Worst price24.48
Drawdown as % of equity-2.91%
$6,322
Includes Typical Broker Commissions trade costs of $7.70
6/13/16 9:40 AGG ISHARES CORE US AGGREGATE BOND LONG 226 111.60 7/4 9:41 112.64 0.29%
Trade id #103423644
Max drawdown($78)
Time6/23/16 15:02
Quant open225
Worst price111.25
Drawdown as % of equity-0.29%
$228
Includes Typical Broker Commissions trade costs of $7.23
6/3/16 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 625 31.99 6/13 9:40 28.48 8.34%
Trade id #102671497
Max drawdown($2,325)
Time6/13/16 9:31
Quant open625
Worst price28.27
Drawdown as % of equity-8.34%
($2,200)
Includes Typical Broker Commissions trade costs of $6.24
5/20/16 9:41 AGG ISHARES CORE US AGGREGATE BOND LONG 226 110.47 6/3 9:41 111.18 0.1%
Trade id #102463065
Max drawdown($29)
Time5/24/16 10:35
Quant open226
Worst price110.34
Drawdown as % of equity-0.10%
$158
Includes Typical Broker Commissions trade costs of $2.26
5/12/16 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 703 28.44 5/20 9:41 28.28 5.55%
Trade id #102311293
Max drawdown($1,553)
Time5/19/16 11:47
Quant open703
Worst price26.23
Drawdown as % of equity-5.55%
($119)
Includes Typical Broker Commissions trade costs of $7.04
4/29/16 9:41 AGG ISHARES CORE US AGGREGATE BOND LONG 227 110.78 5/12 9:45 111.02 0.2%
Trade id #102098153
Max drawdown($58)
Time5/2/16 10:17
Quant open226
Worst price110.52
Drawdown as % of equity-0.20%
$49
Includes Typical Broker Commissions trade costs of $5.25
4/26/16 9:41 XIV VELOCITYSHARES DAILY INVERSE V LONG 723 27.66 4/27 9:41 27.94 0.42%
Trade id #102029369
Max drawdown($122)
Time4/27/16 6:03
Quant open723
Worst price27.49
Drawdown as % of equity-0.42%
$195
Includes Typical Broker Commissions trade costs of $7.24
2/15/16 9:39 XIV VELOCITYSHARES DAILY INVERSE V LONG 800 16.68 4/1 9:40 25.05 n/a $6,688
Includes Typical Broker Commissions trade costs of $8.00
2/10/16 9:39 XIV VELOCITYSHARES DAILY INVERSE V LONG 800 17.35 2/12 9:39 16.35 6.98%
Trade id #100552540
Max drawdown($1,592)
Time2/11/16 14:38
Quant open800
Worst price15.36
Drawdown as % of equity-6.98%
($808)
Includes Typical Broker Commissions trade costs of $8.00
1/25/16 9:39 XIV VELOCITYSHARES DAILY INVERSE V LONG 800 19.29 2/9 9:39 16.89 9.45%
Trade id #100172015
Max drawdown($2,215)
Time2/8/16 14:34
Quant open800
Worst price16.52
Drawdown as % of equity-9.45%
($1,928)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    1/11/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1538.89
  • Age
    51 months ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    19
  • % Profitable
    63.30%
  • Avg trade duration
    14.3 days
  • Max peak-to-valley drawdown
    15.04%
  • drawdown period
    Feb 02, 2016 - Feb 12, 2016
  • Annual Return (Compounded)
    11.2%
  • Avg win
    $1,204
  • Avg loss
    $719.09
  • Model Account Values (Raw)
  • Cash
    $40,616
  • Margin Used
    $0
  • Buying Power
    $40,616
  • Ratios
  • W:L ratio
    3.05:1
  • Sharpe Ratio
    0.85
  • Sortino Ratio
    1.37
  • Calmar Ratio
    2.137
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    24.20%
  • Correlation to SP500
    0.12940
  • Return Percent SP500 (cumu) during strategy life
    30.83%
  • Return Statistics
  • Ann Return (w trading costs)
    11.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.01%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.70%
  • Return Statistics
  • Return Pcnt Since TOS Status
    60.480%
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.112%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    7805.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    438
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $719
  • Avg Win
    $1,205
  • Sum Trade PL (losers)
    $7,910.000
  • Age
  • Num Months filled monthly returns table
    51
  • Win / Loss
  • Sum Trade PL (winners)
    $22,894.000
  • # Winners
    19
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    633
  • Win / Loss
  • # Losers
    11
  • % Winners
    63.3%
  • Frequency
  • Avg Position Time (mins)
    20658.90
  • Avg Position Time (hrs)
    344.31
  • Avg Trade Length
    14.3 days
  • Last Trade Ago
    1056
  • Regression
  • Alpha
    0.02
  • Beta
    0.07
  • Treynor Index
    0.35
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    20.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    37.33
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.33
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    1.832
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.215
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.355
  • Hold-and-Hope Ratio
    0.546
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25774
  • SD
    0.19799
  • Sharpe ratio (Glass type estimate)
    1.30175
  • Sharpe ratio (Hedges UMVUE)
    1.25461
  • df
    21.00000
  • t
    1.76258
  • p
    0.27647
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24182
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75104
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12902
  • Upside Potential Ratio
    4.44310
  • Upside part of mean
    0.36598
  • Downside part of mean
    -0.10824
  • Upside SD
    0.19018
  • Downside SD
    0.08237
  • N nonnegative terms
    11.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.24738
  • Mean of criterion
    0.25774
  • SD of predictor
    0.27553
  • SD of criterion
    0.19799
  • Covariance
    0.01002
  • r
    0.18374
  • b (slope, estimate of beta)
    0.13203
  • a (intercept, estimate of alpha)
    0.22507
  • Mean Square Error
    0.03977
  • DF error
    20.00000
  • t(b)
    0.83592
  • p(b)
    0.40813
  • t(a)
    1.47704
  • p(a)
    0.34319
  • Lowerbound of 95% confidence interval for beta
    -0.19744
  • Upperbound of 95% confidence interval for beta
    0.46151
  • Lowerbound of 95% confidence interval for alpha
    -0.09279
  • Upperbound of 95% confidence interval for alpha
    0.54294
  • Treynor index (mean / b)
    1.95208
  • Jensen alpha (a)
    0.22507
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23681
  • SD
    0.19153
  • Sharpe ratio (Glass type estimate)
    1.23642
  • Sharpe ratio (Hedges UMVUE)
    1.19164
  • df
    21.00000
  • t
    1.67412
  • p
    0.28591
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68336
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77071
  • Upside Potential Ratio
    4.07584
  • Upside part of mean
    0.34836
  • Downside part of mean
    -0.11155
  • Upside SD
    0.17995
  • Downside SD
    0.08547
  • N nonnegative terms
    11.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.21072
  • Mean of criterion
    0.23681
  • SD of predictor
    0.26378
  • SD of criterion
    0.19153
  • Covariance
    0.01019
  • r
    0.20180
  • b (slope, estimate of beta)
    0.14652
  • a (intercept, estimate of alpha)
    0.20593
  • Mean Square Error
    0.03695
  • DF error
    20.00000
  • t(b)
    0.92141
  • p(b)
    0.39910
  • t(a)
    1.41182
  • p(a)
    0.34948
  • Lowerbound of 95% confidence interval for beta
    -0.18518
  • Upperbound of 95% confidence interval for beta
    0.47822
  • Lowerbound of 95% confidence interval for alpha
    -0.09833
  • Upperbound of 95% confidence interval for alpha
    0.51020
  • Treynor index (mean / b)
    1.61623
  • Jensen alpha (a)
    0.20593
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06873
  • Expected Shortfall on VaR
    0.08981
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02034
  • Expected Shortfall on VaR
    0.04384
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.92134
  • Quartile 1
    1.00000
  • Median
    1.00342
  • Quartile 3
    1.05946
  • Maximum
    1.14115
  • Mean of quarter 1
    0.97120
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01479
  • Mean of quarter 4
    1.10377
  • Inter Quartile Range
    0.05946
  • 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 for a one-period 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)
    0.07453
  • VaR(95%) (regression method)
    0.02742
  • Expected Shortfall (regression method)
    0.04648
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00439
  • Quartile 1
    0.00520
  • Median
    0.01259
  • Quartile 3
    0.07199
  • Maximum
    0.07866
  • Mean of quarter 1
    0.00480
  • Mean of quarter 2
    0.01259
  • Mean of quarter 3
    0.07199
  • Mean of quarter 4
    0.07866
  • Inter Quartile Range
    0.06679
  • 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)
    0.34074
  • Compounded annual return (geometric extrapolation)
    0.30306
  • Calmar ratio (compounded annual return / max draw down)
    3.85297
  • Compounded annual return / average of 25% largest draw downs
    3.85297
  • Compounded annual return / Expected Shortfall lognormal
    3.37443
  • 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
    0.23675
  • SD
    0.13592
  • Sharpe ratio (Glass type estimate)
    1.74187
  • Sharpe ratio (Hedges UMVUE)
    1.73924
  • df
    497.00000
  • t
    2.40148
  • p
    0.00835
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16496
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75440
  • Upside Potential Ratio
    7.52336
  • Upside part of mean
    0.64665
  • Downside part of mean
    -0.40991
  • Upside SD
    0.10612
  • Downside SD
    0.08595
  • N nonnegative terms
    183.00000
  • N negative terms
    315.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    498.00000
  • Mean of predictor
    0.08450
  • Mean of criterion
    0.23675
  • SD of predictor
    0.25294
  • SD of criterion
    0.13592
  • Covariance
    0.00460
  • r
    0.13370
  • b (slope, estimate of beta)
    0.07184
  • a (intercept, estimate of alpha)
    0.23100
  • Mean Square Error
    0.01818
  • DF error
    496.00000
  • t(b)
    3.00469
  • p(b)
    0.00140
  • t(a)
    2.35822
  • p(a)
    0.00937
  • Lowerbound of 95% confidence interval for beta
    0.02487
  • Upperbound of 95% confidence interval for beta
    0.11882
  • Lowerbound of 95% confidence interval for alpha
    0.03849
  • Upperbound of 95% confidence interval for alpha
    0.42287
  • Treynor index (mean / b)
    3.29530
  • Jensen alpha (a)
    0.23068
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22742
  • SD
    0.13579
  • Sharpe ratio (Glass type estimate)
    1.67480
  • Sharpe ratio (Hedges UMVUE)
    1.67227
  • df
    497.00000
  • t
    2.30902
  • p
    0.01068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09769
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.60841
  • Upside Potential Ratio
    7.35259
  • Upside part of mean
    0.64104
  • Downside part of mean
    -0.41363
  • Upside SD
    0.10487
  • Downside SD
    0.08719
  • N nonnegative terms
    183.00000
  • N negative terms
    315.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    498.00000
  • Mean of predictor
    0.05158
  • Mean of criterion
    0.22742
  • SD of predictor
    0.25887
  • SD of criterion
    0.13579
  • Covariance
    0.00461
  • r
    0.13120
  • b (slope, estimate of beta)
    0.06882
  • a (intercept, estimate of alpha)
    0.22387
  • Mean Square Error
    0.01816
  • DF error
    496.00000
  • t(b)
    2.94754
  • p(b)
    0.00168
  • t(a)
    2.29031
  • p(a)
    0.01121
  • Lowerbound of 95% confidence interval for beta
    0.02295
  • Upperbound of 95% confidence interval for beta
    0.11470
  • Lowerbound of 95% confidence interval for alpha
    0.03182
  • Upperbound of 95% confidence interval for alpha
    0.41591
  • Treynor index (mean / b)
    3.30440
  • Jensen alpha (a)
    0.22387
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01285
  • Expected Shortfall on VaR
    0.01630
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00408
  • Expected Shortfall on VaR
    0.00901
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    498.00000
  • Minimum
    0.94946
  • Quartile 1
    0.99997
  • Median
    1.00000
  • Quartile 3
    1.00114
  • Maximum
    1.04281
  • Mean of quarter 1
    0.99403
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00027
  • Mean of quarter 4
    1.00972
  • Inter Quartile Range
    0.00117
  • Number outliers low
    62.00000
  • Percentage of outliers low
    0.12450
  • Mean of outliers low
    0.98869
  • Number of outliers high
    91.00000
  • Percentage of outliers high
    0.18273
  • Mean of outliers high
    1.01267
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74847
  • VaR(95%) (moments method)
    0.00403
  • Expected Shortfall (moments method)
    0.02014
  • Extreme Value Index (regression method)
    0.26427
  • VaR(95%) (regression method)
    0.00574
  • Expected Shortfall (regression method)
    0.01243
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00333
  • Median
    0.01626
  • Quartile 3
    0.03466
  • Maximum
    0.13609
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00956
  • Mean of quarter 3
    0.02607
  • Mean of quarter 4
    0.06741
  • Inter Quartile Range
    0.03132
  • 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
    0.08696
  • Mean of outliers high
    0.12000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49915
  • VaR(95%) (moments method)
    0.08085
  • Expected Shortfall (moments method)
    0.16428
  • Extreme Value Index (regression method)
    1.19535
  • VaR(95%) (regression method)
    0.07508
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32865
  • Compounded annual return (geometric extrapolation)
    0.29088
  • Calmar ratio (compounded annual return / max draw down)
    2.13744
  • Compounded annual return / average of 25% largest draw downs
    4.31530
  • Compounded annual return / Expected Shortfall lognormal
    17.84870
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12788
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45547
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.23453
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46778
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6863290000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -503433000000000042680532458274816.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 for a one-period 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 observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -251442000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trades XIV ETF (which contains of short VIX futures) based on a proprietary algorithm.
Holds positions overnight.

ALL REBEL TRADING STRATEGIES ARE FULLY AUTOMATED ON OUR OWN PYTHON BASED TRADING PLATFORM - NO MANUAL INTERACTION REQUIRED
We autotrade all our strategies on our own Interactive Brokers account.

Summary Statistics

Strategy began
2016-01-11
Suggested Minimum Capital
$15,000
# Trades
30
# Profitable
19
% Profitable
63.3%
Net Dividends
Correlation S&P500
0.129
Sharpe Ratio
0.85
Sortino Ratio
1.37
Beta
0.07
Alpha
0.02

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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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.

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