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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/15/2016
Most recent certification approved 4/15/16 12:59 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 5,665
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 3,525
Percent signals followed since 04/15/2016 62.2%
This information was last updated 1/17/20 21:52 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/15/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

VolatilityTrader
(100722273)

Created by: VixTrader VixTrader
Started: 03/2016
Options
Last trade: 2 days ago
Trading style: Options Premium Collecting Volatility Long / Short

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 $299.00 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.

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
84.4%
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.

(56.5%)
Max Drawdown
2266
Num Trades
93.4%
Win Trades
1.6 : 1
Profit Factor
63.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              (4.4%)+19.4%+40.3%+55.2%+45.2%+11.9%+15.2%(7.7%)+24.6%+4.4%+458.5%
2017(28.2%)(28%)+23.0%+11.4%+7.1%+10.7%(11.4%)+27.8%+11.3%+5.2%(3.1%)+10.4%+19.2%
2018+6.2%+27.3%(2.2%)+7.2%+8.2%(6.4%)+19.9%(5.8%)+4.8%(5.2%)+8.7%(36.6%)+10.8%
2019+20.9%+12.1%+8.3%(3.2%)(4.1%)+8.0%+6.9%  -  +11.0%+2.3%(9.6%)(1.4%)+59.4%
2020(9.3%)                                                                  (9.3%)

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 24 hours.

Trading Record

This strategy has placed 3,477 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/13/20 10:02 TSLA2017A580 TSLA Jan17'20 580 call SHORT 10 1.02 1/15 13:38 0.72 0.39%
Trade id #126968874
Max drawdown($4,381)
Time1/14/20 0:00
Quant open10
Worst price5.40
Drawdown as % of equity-0.39%
$285
Includes Typical Broker Commissions trade costs of $14.00
1/3/20 10:24 TTD2010A297.5 TTD Jan10'20 297.5 call SHORT 10 0.46 1/11 9:35 0.00 0.1%
Trade id #126853090
Max drawdown($1,187)
Time1/8/20 0:00
Quant open10
Worst price1.65
Drawdown as % of equity-0.10%
$456
Includes Typical Broker Commissions trade costs of $7.00
1/2/20 10:04 NFLX2010M295 NFLX Jan10'20 295 put SHORT 10 0.39 1/11 9:35 0.00 0%
Trade id #126831766
Max drawdown($5)
Time1/2/20 10:05
Quant open10
Worst price0.40
Drawdown as % of equity-0.00%
$387
Includes Typical Broker Commissions trade costs of $7.00
1/2/20 12:28 ROKU2010M113 ROKU Jan10'20 113 put SHORT 10 0.44 1/11 9:35 0.00 0%
Trade id #126835380
Max drawdown($10)
Time1/2/20 12:29
Quant open10
Worst price0.45
Drawdown as % of equity-0.00%
$433
Includes Typical Broker Commissions trade costs of $7.00
1/3/20 10:28 NVDA2010A250 NVDA Jan10'20 250 call SHORT 10 0.55 1/11 9:35 0.00 0.03%
Trade id #126853192
Max drawdown($350)
Time1/10/20 0:00
Quant open10
Worst price0.90
Drawdown as % of equity-0.03%
$543
Includes Typical Broker Commissions trade costs of $7.00
1/6/20 15:57 LK2010M31.5 LK Jan10'20 31.5 put SHORT 10 0.39 1/11 9:35 0.00 0%
Trade id #126887084
Max drawdown($10)
Time1/6/20 15:58
Quant open10
Worst price0.40
Drawdown as % of equity-0.00%
$383
Includes Typical Broker Commissions trade costs of $7.00
1/6/20 14:26 RH2010M200 RH Jan10'20 200 put SHORT 10 0.36 1/11 9:35 0.00 0%
Trade id #126885553
Max drawdown($35)
Time1/6/20 14:27
Quant open10
Worst price0.40
Drawdown as % of equity-0.00%
$358
Includes Typical Broker Commissions trade costs of $7.00
1/3/20 10:25 TSLA2010A500 TSLA Jan10'20 500 call SHORT 10 1.19 1/11 9:35 0.00 0.78%
Trade id #126853143
Max drawdown($8,788)
Time1/8/20 0:00
Quant open10
Worst price9.98
Drawdown as % of equity-0.78%
$1,184
Includes Typical Broker Commissions trade costs of $7.00
11/16/19 9:36 RH RH SHORT 1,000 187.50 12/31 15:47 214.09 4.58%
Trade id #126237438
Max drawdown($56,166)
Time12/6/19 0:00
Quant open1,000
Worst price243.67
Drawdown as % of equity-4.58%
($26,600)
Includes Typical Broker Commissions trade costs of $5.00
6/8/19 9:35 LMT LOCKHEED MARTIN SHORT 1,000 355.00 12/31 15:45 388.68 3.54%
Trade id #123988847
Max drawdown($44,960)
Time9/17/19 0:00
Quant open1,000
Worst price399.96
Drawdown as % of equity-3.54%
($33,686)
Includes Typical Broker Commissions trade costs of $6.52
10/3/19 15:41 MJ ETFMG ALTERNATIVE HARVEST ETF LONG 5,000 20.85 12/31 15:44 17.08 1.94%
Trade id #125621751
Max drawdown($24,520)
Time11/19/19 0:00
Quant open5,000
Worst price15.95
Drawdown as % of equity-1.94%
($18,884)
Includes Typical Broker Commissions trade costs of $5.00
7/23/19 14:20 LEN LENNAR SHORT 5,000 49.75 12/31 15:42 55.80 4.84%
Trade id #124582979
Max drawdown($64,386)
Time10/25/19 0:00
Quant open5,000
Worst price62.63
Drawdown as % of equity-4.84%
($30,227)
Includes Typical Broker Commissions trade costs of $10.00
1/14/19 9:35 SPLK SPLUNK INC SHORT 2,000 129.67 12/31 15:41 149.64 4.24%
Trade id #121950240
Max drawdown($47,978)
Time12/26/19 0:00
Quant open2,000
Worst price153.66
Drawdown as % of equity-4.24%
($39,956)
Includes Typical Broker Commissions trade costs of $7.50
3/14/19 15:32 HLT HILTON WORLDWIDE HOLDINGS INC SHORT 1,000 84.84 12/31 15:40 110.97 2.46%
Trade id #122916423
Max drawdown($27,954)
Time12/27/19 0:00
Quant open1,000
Worst price112.79
Drawdown as % of equity-2.46%
($26,143)
Includes Typical Broker Commissions trade costs of $6.00
1/19/19 9:36 DPZ DOMINO'S PIZZA SHORT 1,200 262.45 12/31 15:39 288.17 4.29%
Trade id #122069489
Max drawdown($37,160)
Time2/12/19 0:00
Quant open1,000
Worst price297.16
Drawdown as % of equity-4.29%
($30,877)
Includes Typical Broker Commissions trade costs of $9.00
8/2/19 15:30 AMD ADVANCED MICRO DEVICES INC. C SHORT 5,000 31.72 12/31 15:36 45.89 6.89%
Trade id #124748596
Max drawdown($77,951)
Time12/26/19 0:00
Quant open5,000
Worst price47.31
Drawdown as % of equity-6.89%
($70,878)
Includes Typical Broker Commissions trade costs of $7.50
2/28/19 13:21 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 40.58 12/31 15:35 22.46 3.31%
Trade id #122736456
Max drawdown($37,618)
Time12/27/19 0:00
Quant open2,000
Worst price21.77
Drawdown as % of equity-3.31%
($36,244)
Includes Typical Broker Commissions trade costs of $7.50
1/14/19 9:31 IBB ISHARES NASDAQ BIOTECHNOLOGY E SHORT 1,000 108.06 12/31 15:30 120.33 1.35%
Trade id #121949894
Max drawdown($15,685)
Time12/24/19 0:00
Quant open1,000
Worst price123.74
Drawdown as % of equity-1.35%
($12,280)
Includes Typical Broker Commissions trade costs of $5.00
9/11/19 15:09 KRE SPDR S&P REGIONAL BANKING ETF SHORT 2,000 53.80 12/31 15:29 58.33 0.93%
Trade id #125314012
Max drawdown($11,161)
Time12/18/19 0:00
Quant open2,000
Worst price59.38
Drawdown as % of equity-0.93%
($9,062)
Includes Typical Broker Commissions trade costs of $5.00
8/19/19 15:04 XLC COMMUNICATION SERVICES SELECT SPDR FUND SHORT 2,000 49.59 12/31 14:51 53.56 0.84%
Trade id #124992549
Max drawdown($9,517)
Time12/27/19 0:00
Quant open2,000
Worst price54.35
Drawdown as % of equity-0.84%
($7,948)
Includes Typical Broker Commissions trade costs of $5.00
7/1/19 9:31 TZA DIREXION DAILY SMALL CAP BEAR LONG 1,000 43.60 12/31 14:14 34.87 0.82%
Trade id #124287116
Max drawdown($9,335)
Time12/27/19 0:00
Quant open1,000
Worst price34.26
Drawdown as % of equity-0.82%
($8,735)
Includes Typical Broker Commissions trade costs of $5.00
12/26/19 9:31 YY YY INC. LONG 2,000 56.12 12/30 14:28 53.80 0.41%
Trade id #126754759
Max drawdown($4,711)
Time12/30/19 10:09
Quant open2,000
Worst price53.76
Drawdown as % of equity-0.41%
($4,638)
Includes Typical Broker Commissions trade costs of $5.00
6/23/18 9:35 WB WEIBO CORPORATION AMERICAN DEP LONG 2,200 76.02 12/30/19 13:49 47.65 7.26%
Trade id #118605093
Max drawdown($83,522)
Time8/5/19 0:00
Quant open2,000
Worst price34.26
Drawdown as % of equity-7.26%
($62,436)
Includes Typical Broker Commissions trade costs of $11.50
12/19/19 15:56 ROKU1927X123 ROKU Dec27'19 123 put SHORT 10 0.39 12/28 9:35 0.00 0%
Trade id #126693243
Max drawdown($17)
Time12/19/19 16:00
Quant open10
Worst price0.41
Drawdown as % of equity-0.00%
$386
Includes Typical Broker Commissions trade costs of $7.00
6/7/19 9:31 CME CME GROUP SHORT 1,000 200.05 12/27 14:30 202.72 2.16%
Trade id #123976773
Max drawdown($24,858)
Time9/6/19 0:00
Quant open1,000
Worst price224.91
Drawdown as % of equity-2.16%
($2,671)
Includes Typical Broker Commissions trade costs of $5.00
6/30/18 9:35 YY YY INC. LONG 2,400 80.52 12/26/19 9:30 56.64 5.56%
Trade id #118724094
Max drawdown($59,044)
Time8/13/19 0:00
Quant open2,000
Worst price51.00
Drawdown as % of equity-5.56%
($57,332)
Includes Typical Broker Commissions trade costs of $15.50
12/13/19 13:52 ROKU1920X117 ROKU Dec20'19 117 put SHORT 10 0.39 12/21 9:35 0.00 0.06%
Trade id #126620592
Max drawdown($727)
Time12/16/19 0:00
Quant open10
Worst price1.12
Drawdown as % of equity-0.06%
$385
Includes Typical Broker Commissions trade costs of $7.00
12/13/19 15:19 NFLX1920X272.5 NFLX Dec20'19 272.5 put SHORT 10 0.39 12/21 9:35 0.00 0%
Trade id #126622535
Max drawdown($15)
Time12/13/19 15:20
Quant open10
Worst price0.40
Drawdown as % of equity-0.00%
$378
Includes Typical Broker Commissions trade costs of $7.00
5/18/19 9:35 BIDU BAIDU LONG 1,000 136.00 12/20 14:56 126.98 3.87%
Trade id #123723243
Max drawdown($42,610)
Time8/15/19 0:00
Quant open1,000
Worst price93.39
Drawdown as % of equity-3.87%
($9,020)
Includes Typical Broker Commissions trade costs of $5.00
10/10/19 10:58 @YMZ9 MINI DOW SHORT 1 26500 12/19 15:59 28371 0.79%
Trade id #125721504
Max drawdown($9,417)
Time12/19/19 11:24
Quant open1
Worst price28384
Drawdown as % of equity-0.79%
($9,361)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/7/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1411.51
  • Age
    47 months ago
  • What it trades
    Options
  • # Trades
    2266
  • # Profitable
    2117
  • % Profitable
    93.40%
  • Avg trade duration
    12.6 days
  • Max peak-to-valley drawdown
    56.53%
  • drawdown period
    Nov 07, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    84.4%
  • Avg win
    $1,260
  • Avg loss
    $11,379
  • Model Account Values (Raw)
  • Cash
    $1,746,530
  • Margin Used
    $1,349,020
  • Buying Power
    $445,071
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    1.21
  • Sortino Ratio
    1.84
  • Calmar Ratio
    1.698
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    904.75%
  • Correlation to SP500
    0.38030
  • Return Percent SP500 (cumu) during strategy life
    66.33%
  • Return Statistics
  • Ann Return (w trading costs)
    84.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.32%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    33.58%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.844%
  • Instruments
  • Percent Trades Options
    0.80%
  • Percent Trades Stocks
    0.19%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    86.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.50%
  • Chance of 20% account loss
    33.00%
  • Chance of 30% account loss
    19.00%
  • Chance of 40% account loss
    5.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Automation
  • Percentage Signals Automated
    29.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    890
  • Popularity (Last 6 weeks)
    970
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    312
  • Popularity (7 days, Percentile 1000 scale)
    916
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $11,380
  • Avg Win
    $1,268
  • Sum Trade PL (losers)
    $1,695,550.000
  • AUM
  • AUM (AutoTrader num accounts)
    9
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $2,683,890.000
  • # Winners
    2117
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    28042
  • AUM
  • AUM (AutoTrader live capital)
    4591550
  • Win / Loss
  • # Losers
    149
  • % Winners
    93.4%
  • Frequency
  • Avg Position Time (mins)
    18122.30
  • Avg Position Time (hrs)
    302.04
  • Avg Trade Length
    12.6 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.64
  • Daily leverage (max)
    6.97
  • Regression
  • Alpha
    0.15
  • Beta
    1.51
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.57
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    62.13
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.19
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    10.520
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.900
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.941
  • Hold-and-Hope Ratio
    0.099
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77772
  • SD
    0.53587
  • Sharpe ratio (Glass type estimate)
    1.45133
  • Sharpe ratio (Hedges UMVUE)
    1.42643
  • df
    44.00000
  • t
    2.81050
  • p
    0.00368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38747
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48152
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83996
  • Upside Potential Ratio
    5.25112
  • Upside part of mean
    1.06353
  • Downside part of mean
    -0.28581
  • Upside SD
    0.53866
  • Downside SD
    0.20253
  • N nonnegative terms
    32.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.10409
  • Mean of criterion
    0.77772
  • SD of predictor
    0.09557
  • SD of criterion
    0.53587
  • Covariance
    0.00991
  • r
    0.19357
  • b (slope, estimate of beta)
    1.08531
  • a (intercept, estimate of alpha)
    0.66476
  • Mean Square Error
    0.28282
  • DF error
    43.00000
  • t(b)
    1.29378
  • p(b)
    0.10132
  • t(a)
    2.30680
  • p(a)
    0.01297
  • Lowerbound of 95% confidence interval for beta
    -0.60642
  • Upperbound of 95% confidence interval for beta
    2.77704
  • Lowerbound of 95% confidence interval for alpha
    0.08360
  • Upperbound of 95% confidence interval for alpha
    1.24591
  • Treynor index (mean / b)
    0.71659
  • Jensen alpha (a)
    0.66476
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63716
  • SD
    0.47758
  • Sharpe ratio (Glass type estimate)
    1.33414
  • Sharpe ratio (Hedges UMVUE)
    1.31125
  • df
    44.00000
  • t
    2.58356
  • p
    0.00659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27752
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26271
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35979
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86739
  • Upside Potential Ratio
    4.25487
  • Upside part of mean
    0.94547
  • Downside part of mean
    -0.30831
  • Upside SD
    0.45549
  • Downside SD
    0.22221
  • N nonnegative terms
    32.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.09896
  • Mean of criterion
    0.63716
  • SD of predictor
    0.09567
  • SD of criterion
    0.47758
  • Covariance
    0.00966
  • r
    0.21143
  • b (slope, estimate of beta)
    1.05547
  • a (intercept, estimate of alpha)
    0.53271
  • Mean Square Error
    0.22295
  • DF error
    43.00000
  • t(b)
    1.41849
  • p(b)
    0.08163
  • t(a)
    2.09145
  • p(a)
    0.02122
  • Lowerbound of 95% confidence interval for beta
    -0.44511
  • Upperbound of 95% confidence interval for beta
    2.55605
  • Lowerbound of 95% confidence interval for alpha
    0.01904
  • Upperbound of 95% confidence interval for alpha
    1.04638
  • Treynor index (mean / b)
    0.60367
  • Jensen alpha (a)
    0.53271
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15943
  • Expected Shortfall on VaR
    0.20547
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03632
  • Expected Shortfall on VaR
    0.08440
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.77167
  • Quartile 1
    0.99291
  • Median
    1.03897
  • Quartile 3
    1.11790
  • Maximum
    1.59360
  • Mean of quarter 1
    0.91315
  • Mean of quarter 2
    1.02264
  • Mean of quarter 3
    1.08261
  • Mean of quarter 4
    1.26416
  • Inter Quartile Range
    0.12499
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02222
  • Mean of outliers low
    0.77167
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08889
  • Mean of outliers high
    1.43950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04940
  • VaR(95%) (moments method)
    0.03305
  • Expected Shortfall (moments method)
    0.05095
  • Extreme Value Index (regression method)
    -0.11055
  • VaR(95%) (regression method)
    0.13410
  • Expected Shortfall (regression method)
    0.19720
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.06203
  • Quartile 1
    0.08105
  • Median
    0.11117
  • Quartile 3
    0.28922
  • Maximum
    0.37428
  • Mean of quarter 1
    0.07154
  • Mean of quarter 2
    0.11117
  • Mean of quarter 3
    0.28922
  • Mean of quarter 4
    0.37428
  • Inter Quartile Range
    0.20818
  • 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)
    2.96255
  • Compounded annual return (geometric extrapolation)
    0.94462
  • Calmar ratio (compounded annual return / max draw down)
    2.52383
  • Compounded annual return / average of 25% largest draw downs
    2.52383
  • Compounded annual return / Expected Shortfall lognormal
    4.59744
  • 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
    0.71605
  • SD
    0.47472
  • Sharpe ratio (Glass type estimate)
    1.50837
  • Sharpe ratio (Hedges UMVUE)
    1.50723
  • df
    995.00000
  • t
    2.94094
  • p
    0.00167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51544
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49981
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51464
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30368
  • Upside Potential Ratio
    9.37092
  • Upside part of mean
    2.91275
  • Downside part of mean
    -2.19670
  • Upside SD
    0.36121
  • Downside SD
    0.31083
  • N nonnegative terms
    565.00000
  • N negative terms
    431.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    996.00000
  • Mean of predictor
    0.11378
  • Mean of criterion
    0.71605
  • SD of predictor
    0.12485
  • SD of criterion
    0.47472
  • Covariance
    0.02150
  • r
    0.36269
  • b (slope, estimate of beta)
    1.37908
  • a (intercept, estimate of alpha)
    0.55900
  • Mean Square Error
    0.19591
  • DF error
    994.00000
  • t(b)
    12.27030
  • p(b)
    0.00000
  • t(a)
    2.45911
  • p(a)
    0.00705
  • Lowerbound of 95% confidence interval for beta
    1.15852
  • Upperbound of 95% confidence interval for beta
    1.59963
  • Lowerbound of 95% confidence interval for alpha
    0.11295
  • Upperbound of 95% confidence interval for alpha
    1.00532
  • Treynor index (mean / b)
    0.51922
  • Jensen alpha (a)
    0.55913
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60293
  • SD
    0.47402
  • Sharpe ratio (Glass type estimate)
    1.27193
  • Sharpe ratio (Hedges UMVUE)
    1.27097
  • df
    995.00000
  • t
    2.47995
  • p
    0.00665
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27840
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27776
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87044
  • Upside Potential Ratio
    8.84176
  • Upside part of mean
    2.85009
  • Downside part of mean
    -2.24716
  • Upside SD
    0.34922
  • Downside SD
    0.32234
  • N nonnegative terms
    565.00000
  • N negative terms
    431.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    996.00000
  • Mean of predictor
    0.10594
  • Mean of criterion
    0.60293
  • SD of predictor
    0.12511
  • SD of criterion
    0.47402
  • Covariance
    0.02161
  • r
    0.36445
  • b (slope, estimate of beta)
    1.38086
  • a (intercept, estimate of alpha)
    0.45664
  • Mean Square Error
    0.19505
  • DF error
    994.00000
  • t(b)
    12.33900
  • p(b)
    0.00000
  • t(a)
    2.01318
  • p(a)
    0.02218
  • Lowerbound of 95% confidence interval for beta
    1.16125
  • Upperbound of 95% confidence interval for beta
    1.60046
  • Lowerbound of 95% confidence interval for alpha
    0.01153
  • Upperbound of 95% confidence interval for alpha
    0.90174
  • Treynor index (mean / b)
    0.43663
  • Jensen alpha (a)
    0.45664
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04483
  • Expected Shortfall on VaR
    0.05639
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01737
  • Expected Shortfall on VaR
    0.03650
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    996.00000
  • Minimum
    0.85255
  • Quartile 1
    0.99028
  • Median
    1.00248
  • Quartile 3
    1.01463
  • Maximum
    1.14116
  • Mean of quarter 1
    0.96954
  • Mean of quarter 2
    0.99747
  • Mean of quarter 3
    1.00794
  • Mean of quarter 4
    1.03640
  • Inter Quartile Range
    0.02436
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.03815
  • Mean of outliers low
    0.92481
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.04819
  • Mean of outliers high
    1.07876
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23566
  • VaR(95%) (moments method)
    0.02764
  • Expected Shortfall (moments method)
    0.04512
  • Extreme Value Index (regression method)
    0.17026
  • VaR(95%) (regression method)
    0.02719
  • Expected Shortfall (regression method)
    0.04210
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    62.00000
  • Minimum
    0.00123
  • Quartile 1
    0.00867
  • Median
    0.02676
  • Quartile 3
    0.08732
  • Maximum
    0.51779
  • Mean of quarter 1
    0.00476
  • Mean of quarter 2
    0.01404
  • Mean of quarter 3
    0.04475
  • Mean of quarter 4
    0.19530
  • Inter Quartile Range
    0.07865
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.08065
  • Mean of outliers high
    0.34847
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.26527
  • VaR(95%) (moments method)
    0.20653
  • Expected Shortfall (moments method)
    0.33148
  • Extreme Value Index (regression method)
    0.16971
  • VaR(95%) (regression method)
    0.15897
  • Expected Shortfall (regression method)
    0.21894
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.63119
  • Compounded annual return (geometric extrapolation)
    0.87917
  • Calmar ratio (compounded annual return / max draw down)
    1.69795
  • Compounded annual return / average of 25% largest draw downs
    4.50157
  • Compounded annual return / Expected Shortfall lognormal
    15.58980
  • 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
    -0.04762
  • SD
    0.28223
  • Sharpe ratio (Glass type estimate)
    -0.16873
  • Sharpe ratio (Hedges UMVUE)
    -0.16776
  • df
    130.00000
  • t
    -0.11931
  • p
    0.50523
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.94038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.93964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60412
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25339
  • Upside Potential Ratio
    8.68295
  • Upside part of mean
    1.63187
  • Downside part of mean
    -1.67949
  • Upside SD
    0.20912
  • Downside SD
    0.18794
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18591
  • Mean of criterion
    -0.04762
  • SD of predictor
    0.12618
  • SD of criterion
    0.28223
  • Covariance
    -0.01236
  • r
    -0.34714
  • b (slope, estimate of beta)
    -0.77647
  • a (intercept, estimate of alpha)
    0.09673
  • Mean Square Error
    0.07060
  • DF error
    129.00000
  • t(b)
    -4.20416
  • p(b)
    0.71647
  • t(a)
    0.25637
  • p(a)
    0.48563
  • Lowerbound of 95% confidence interval for beta
    -1.14188
  • Upperbound of 95% confidence interval for beta
    -0.41105
  • Lowerbound of 95% confidence interval for alpha
    -0.64980
  • Upperbound of 95% confidence interval for alpha
    0.84327
  • Treynor index (mean / b)
    0.06133
  • Jensen alpha (a)
    0.09673
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08690
  • SD
    0.28093
  • Sharpe ratio (Glass type estimate)
    -0.30932
  • Sharpe ratio (Hedges UMVUE)
    -0.30754
  • df
    130.00000
  • t
    -0.21873
  • p
    0.50959
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.08090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.07959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46452
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45571
  • Upside Potential Ratio
    8.44538
  • Upside part of mean
    1.61042
  • Downside part of mean
    -1.69732
  • Upside SD
    0.20490
  • Downside SD
    0.19069
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17789
  • Mean of criterion
    -0.08690
  • SD of predictor
    0.12664
  • SD of criterion
    0.28093
  • Covariance
    -0.01238
  • r
    -0.34796
  • b (slope, estimate of beta)
    -0.77189
  • a (intercept, estimate of alpha)
    0.05042
  • Mean Square Error
    0.06990
  • DF error
    129.00000
  • t(b)
    -4.21549
  • p(b)
    0.71696
  • t(a)
    0.13433
  • p(a)
    0.49247
  • VAR (95 Confidence Intrvl)
    0.04500
  • Lowerbound of 95% confidence interval for beta
    -1.13418
  • Upperbound of 95% confidence interval for beta
    -0.40961
  • Lowerbound of 95% confidence interval for alpha
    -0.69216
  • Upperbound of 95% confidence interval for alpha
    0.79300
  • Treynor index (mean / b)
    0.11258
  • Jensen alpha (a)
    0.05042
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02847
  • Expected Shortfall on VaR
    0.03547
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01486
  • Expected Shortfall on VaR
    0.02707
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95055
  • Quartile 1
    0.99025
  • Median
    1.00013
  • Quartile 3
    1.00868
  • Maximum
    1.06543
  • Mean of quarter 1
    0.97995
  • Mean of quarter 2
    0.99482
  • Mean of quarter 3
    1.00408
  • Mean of quarter 4
    1.02098
  • Inter Quartile Range
    0.01843
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95159
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.05059
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02230
  • VaR(95%) (moments method)
    0.02006
  • Expected Shortfall (moments method)
    0.02657
  • Extreme Value Index (regression method)
    -0.11964
  • VaR(95%) (regression method)
    0.02020
  • Expected Shortfall (regression method)
    0.02526
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00089
  • Quartile 1
    0.00759
  • Median
    0.01337
  • Quartile 3
    0.02663
  • Maximum
    0.23044
  • Mean of quarter 1
    0.00348
  • Mean of quarter 2
    0.01099
  • Mean of quarter 3
    0.01753
  • Mean of quarter 4
    0.13922
  • Inter Quartile Range
    0.01904
  • 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
    0.20000
  • Mean of outliers high
    0.19437
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -48.12590
  • VaR(95%) (moments method)
    0.08467
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.84244
  • VaR(95%) (regression method)
    0.31232
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.32076
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -303557000
  • Max Equity Drawdown (num days)
    47
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05813
  • Compounded annual return (geometric extrapolation)
    -0.05728
  • Calmar ratio (compounded annual return / max draw down)
    -0.24858
  • Compounded annual return / average of 25% largest draw downs
    -0.41146
  • Compounded annual return / Expected Shortfall lognormal
    -1.61515

Strategy Description

Please don't get scaling less than 10% to ensure you get atleast 1 option contact. The minimum amount you should allocate to this strategy is $75k, $100k is recommended. I tend to buy/sell 10 contracts at a time. so anything less than 10% scaling will result in no trade for you. I pref Interactive Broker as your trading platform. Account must be able to short UVXY/TVIX, and also level 3 option writing(writing naked calls/puts). This strategy will try to limit max draw down to less than 25% and shoot for avg gain of 5% per month. when you trade VIX or high IV stocks, it will give you a heart attacks!!!!

Summary Statistics

Strategy began
2016-03-07
Suggested Minimum Capital
$35,000
# Trades
2266
# Profitable
2117
% Profitable
93.4%
Net Dividends
Correlation S&P500
0.380
Sharpe Ratio
1.21
Sortino Ratio
1.84
Beta
1.51
Alpha
0.15
Leverage
3.64 Average
6.97 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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.