Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

VIX TVIX ETFs
(122775625)

Created by: KyleGordon KyleGordon
Started: 03/2019
Futures
Last trade: Today
Trading style: Equity Trend-following Short-term Reversal

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 $125.00 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: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
58.9%
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.

(12.1%)
Max Drawdown
551
Num Trades
58.6%
Win Trades
2.2 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              +17.6%+20.2%+2.1%+3.2%(5%)+1.7%(2%)+0.3%(0.4%)+6.1%+49.7%
2020+11.0%+0.9%(7.4%)+7.3%                                                +11.3%

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.

Trading Record

This strategy has placed 659 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/2/20 11:16 UPRO PROSHARES ULTRAPRO S&P500 LONG 2,600 25.03 4/6 10:28 25.09 1.15%
Trade id #128378597
Max drawdown($696)
Time4/2/20 15:38
Quant open2,001
Worst price24.59
Drawdown as % of equity-1.15%
$130
Includes Typical Broker Commissions trade costs of $24.50
3/31/20 11:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 50.52 3/31 12:28 50.51 0.55%
Trade id #128339318
Max drawdown($317)
Time3/31/20 11:24
Quant open1,000
Worst price50.20
Drawdown as % of equity-0.55%
($14)
Includes Typical Broker Commissions trade costs of $5.01
3/31/20 10:07 UPRO PROSHARES ULTRAPRO S&P500 LONG 3,000 28.81 3/31 11:10 29.07 0.5%
Trade id #128337528
Max drawdown($280)
Time3/31/20 10:10
Quant open2,000
Worst price28.50
Drawdown as % of equity-0.50%
$762
Includes Typical Broker Commissions trade costs of $7.51
3/27/20 12:56 UPRO PROSHARES ULTRAPRO S&P500 LONG 6,000 27.10 3/27 15:06 27.13 1.01%
Trade id #128289763
Max drawdown($600)
Time3/27/20 13:29
Quant open2,000
Worst price26.60
Drawdown as % of equity-1.01%
$179
Includes Typical Broker Commissions trade costs of $27.50
3/27/20 10:14 UPRO PROSHARES ULTRAPRO S&P500 LONG 2,000 26.56 3/27 11:24 26.79 1.34%
Trade id #128285605
Max drawdown($790)
Time3/27/20 10:39
Quant open1,000
Worst price25.91
Drawdown as % of equity-1.34%
$453
Includes Typical Broker Commissions trade costs of $7.50
3/26/20 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 500 25.56 3/26 9:31 26.02 n/a $218
Includes Typical Broker Commissions trade costs of $10.00
3/25/20 12:13 VIXY PROSHARES VIX SHORT-TERM FUTUR SHORT 800 40.84 3/25 12:32 40.91 0.23%
Trade id #128244980
Max drawdown($136)
Time3/25/20 12:20
Quant open800
Worst price41.01
Drawdown as % of equity-0.23%
($60)
Includes Typical Broker Commissions trade costs of $5.00
2/21/20 10:07 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 501 14.85 2/21 10:07 14.87 0.02%
Trade id #127637061
Max drawdown($10)
Time2/21/20 10:07
Quant open501
Worst price14.87
Drawdown as % of equity-0.02%
($15)
Includes Typical Broker Commissions trade costs of $5.00
2/3/20 10:37 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,900 14.44 2/21 10:07 14.45 0.75%
Trade id #127335943
Max drawdown($445)
Time2/10/20 0:00
Quant open501
Worst price14.04
Drawdown as % of equity-0.75%
($10)
Includes Typical Broker Commissions trade costs of $35.49
1/31/20 9:51 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 200 74.51 2/19 9:56 77.58 1.62%
Trade id #127309026
Max drawdown($974)
Time2/4/20 0:00
Quant open100
Worst price67.46
Drawdown as % of equity-1.62%
$610
Includes Typical Broker Commissions trade costs of $4.00
1/31/20 14:40 TVIX VELOCITYSHARES DAILY 2X VIX SH SHORT 200 54.21 1/31 14:41 54.70 0.08%
Trade id #127315280
Max drawdown($49)
Time1/31/20 14:41
Quant open200
Worst price54.46
Drawdown as % of equity-0.08%
($102)
Includes Typical Broker Commissions trade costs of $4.00
1/31/20 9:50 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 200 50.94 1/31 14:39 54.38 0.22%
Trade id #127308972
Max drawdown($135)
Time1/31/20 9:59
Quant open200
Worst price50.26
Drawdown as % of equity-0.22%
$685
Includes Typical Broker Commissions trade costs of $4.00
1/24/20 9:49 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 300 76.35 1/27 9:33 81.25 0.57%
Trade id #127200348
Max drawdown($309)
Time1/24/20 9:57
Quant open300
Worst price75.32
Drawdown as % of equity-0.57%
$1,464
Includes Typical Broker Commissions trade costs of $6.00
12/31/19 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,300 51.52 1/27/20 9:33 54.19 1.24%
Trade id #126800171
Max drawdown($681)
Time12/31/19 10:01
Quant open900
Worst price55.37
Drawdown as % of equity-1.24%
$3,438
Includes Typical Broker Commissions trade costs of $26.00
1/17/20 9:39 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 500 76.85 1/23 10:08 76.84 0.68%
Trade id #127062818
Max drawdown($364)
Time1/21/20 0:00
Quant open100
Worst price71.55
Drawdown as % of equity-0.68%
($13)
Includes Typical Broker Commissions trade costs of $10.00
1/13/20 9:30 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 800 67.91 1/16 10:39 67.75 3.27%
Trade id #126967613
Max drawdown($1,736)
Time1/16/20 10:07
Quant open800
Worst price65.74
Drawdown as % of equity-3.27%
($139)
Includes Typical Broker Commissions trade costs of $10.50
1/2/20 14:34 UPRO PROSHARES ULTRAPRO S&P500 LONG 1,800 70.45 1/8 11:43 70.57 1.51%
Trade id #126837427
Max drawdown($825)
Time1/3/20 0:00
Quant open500
Worst price69.40
Drawdown as % of equity-1.51%
$188
Includes Typical Broker Commissions trade costs of $32.49
12/19/19 11:20 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 2,700 74.37 12/30 10:17 74.68 3.68%
Trade id #126687678
Max drawdown($1,910)
Time12/20/19 0:00
Quant open1,000
Worst price62.18
Drawdown as % of equity-3.68%
$808
Includes Typical Broker Commissions trade costs of $31.00
12/27/19 3:06 QGCG0 Gold 100 oz LONG 1 1513.9 12/27 11:46 1518.4 0.17%
Trade id #126763444
Max drawdown($90)
Time12/27/19 3:16
Quant open1
Worst price1513.0
Drawdown as % of equity-0.17%
$442
Includes Typical Broker Commissions trade costs of $8.00
12/26/19 20:50 QGCG0 Gold 100 oz LONG 1 1515.4 12/27 1:30 1512.8 0.52%
Trade id #126761844
Max drawdown($280)
Time12/27/19 1:30
Quant open1
Worst price1512.6
Drawdown as % of equity-0.52%
($273)
Includes Typical Broker Commissions trade costs of $8.00
12/24/19 0:33 QGCG0 Gold 100 oz LONG 2 1493.5 12/26 10:22 1516.0 0.33%
Trade id #126731704
Max drawdown($160)
Time12/24/19 8:10
Quant open2
Worst price1492.7
Drawdown as % of equity-0.33%
$4,484
Includes Typical Broker Commissions trade costs of $16.00
11/25/19 10:53 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 600 96.25 12/23 12:50 94.00 23.86%
Trade id #126354151
Max drawdown($12,129)
Time11/26/19 0:00
Quant open100
Worst price11.80
Drawdown as % of equity-23.86%
($1,363)
Includes Typical Broker Commissions trade costs of $12.00
12/16/19 9:45 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 2,200 65.93 12/17 15:30 64.26 6.63%
Trade id #126638046
Max drawdown($3,460)
Time12/17/19 0:00
Quant open1,000
Worst price63.35
Drawdown as % of equity-6.63%
($3,689)
Includes Typical Broker Commissions trade costs of $12.00
12/5/19 10:11 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 500 14.64 12/17 15:30 13.83 0.94%
Trade id #126497811
Max drawdown($493)
Time12/6/19 0:00
Quant open500
Worst price13.65
Drawdown as % of equity-0.94%
($415)
Includes Typical Broker Commissions trade costs of $10.00
12/11/19 15:22 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 500 67.75 12/12 9:36 69.45 2.34%
Trade id #126585583
Max drawdown($1,250)
Time12/12/19 0:00
Quant open500
Worst price65.25
Drawdown as % of equity-2.34%
$840
Includes Typical Broker Commissions trade costs of $10.00
12/5/19 10:46 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 3,500 65.21 12/11 14:56 65.34 7.11%
Trade id #126498678
Max drawdown($3,745)
Time12/6/19 0:00
Quant open500
Worst price61.08
Drawdown as % of equity-7.11%
$448
Includes Typical Broker Commissions trade costs of $37.50
12/11/19 6:55 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 1 8373.50 12/11 8:58 8384.50 0.12%
Trade id #126574026
Max drawdown($60)
Time12/11/19 6:57
Quant open1
Worst price8370.50
Drawdown as % of equity-0.12%
$212
Includes Typical Broker Commissions trade costs of $8.00
12/4/19 3:22 QGCG0 Gold 100 oz LONG 2 1484.6 12/5 12:13 1484.3 2.56%
Trade id #126472775
Max drawdown($1,320)
Time12/5/19 0:00
Quant open2
Worst price1478.0
Drawdown as % of equity-2.56%
($76)
Includes Typical Broker Commissions trade costs of $16.00
11/6/19 9:50 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,790 76.69 12/5 10:10 76.91 7.57%
Trade id #126090825
Max drawdown($3,878)
Time12/5/19 9:47
Quant open501
Worst price68.95
Drawdown as % of equity-7.57%
$361
Includes Typical Broker Commissions trade costs of $20.80
12/4/19 3:22 @BPZ9 BRITISH POUND LONG 1 1.3044 12/4 4:35 1.3045 0.1%
Trade id #126472780
Max drawdown($50)
Time12/4/19 3:34
Quant open1
Worst price1.3036
Drawdown as % of equity-0.10%
($2)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/4/2019
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    399.3
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    551
  • # Profitable
    323
  • % Profitable
    58.60%
  • Avg trade duration
    12.3 hours
  • Max peak-to-valley drawdown
    12.07%
  • drawdown period
    Dec 16, 2019 - Dec 24, 2019
  • Annual Return (Compounded)
    58.9%
  • Avg win
    $197.42
  • Avg loss
    $129.74
  • Model Account Values (Raw)
  • Cash
    $68,953
  • Margin Used
    $0
  • Buying Power
    $67,124
  • Ratios
  • W:L ratio
    2.16:1
  • Sharpe Ratio
    2.32
  • Sortino Ratio
    4.29
  • Calmar Ratio
    8.331
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    71.28%
  • Correlation to SP500
    -0.03290
  • Return Percent SP500 (cumu) during strategy life
    -4.62%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    58.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.01%
  • Instruments
  • Percent Trades Futures
    0.86%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.589%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.14%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    78.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    7768.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    683
  • Popularity (Last 6 weeks)
    930
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    888
  • Popularity (7 days, Percentile 1000 scale)
    872
  • 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
    $138
  • Avg Win
    $197
  • Sum Trade PL (losers)
    $31,408.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $63,767.000
  • # Winners
    323
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    71864
  • Win / Loss
  • # Losers
    228
  • % Winners
    58.6%
  • Frequency
  • Avg Position Time (mins)
    735.53
  • Avg Position Time (hrs)
    12.26
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.97
  • Daily leverage (max)
    12.88
  • Regression
  • Alpha
    0.13
  • Beta
    -0.02
  • Treynor Index
    -6.93
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.10
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    14.88
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.24
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.992
  • 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
    0.708
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.754
  • Hold-and-Hope Ratio
    0.143
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66340
  • SD
    0.30369
  • Sharpe ratio (Glass type estimate)
    2.18447
  • Sharpe ratio (Hedges UMVUE)
    2.03147
  • df
    11.00000
  • t
    2.18447
  • p
    0.02573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30156
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16737
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.57130
  • Upside Potential Ratio
    16.74100
  • Upside part of mean
    0.71323
  • Downside part of mean
    -0.04983
  • Upside SD
    0.34554
  • Downside SD
    0.04260
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.04811
  • Mean of criterion
    0.66340
  • SD of predictor
    0.16970
  • SD of criterion
    0.30369
  • Covariance
    0.01431
  • r
    0.27774
  • b (slope, estimate of beta)
    0.49703
  • a (intercept, estimate of alpha)
    0.63948
  • Mean Square Error
    0.09362
  • DF error
    10.00000
  • t(b)
    0.91428
  • p(b)
    0.19104
  • t(a)
    2.08237
  • p(a)
    0.03197
  • Lowerbound of 95% confidence interval for beta
    -0.71426
  • Upperbound of 95% confidence interval for beta
    1.70832
  • Lowerbound of 95% confidence interval for alpha
    -0.04476
  • Upperbound of 95% confidence interval for alpha
    1.32373
  • Treynor index (mean / b)
    1.33472
  • Jensen alpha (a)
    0.63948
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60868
  • SD
    0.27443
  • Sharpe ratio (Glass type estimate)
    2.21799
  • Sharpe ratio (Hedges UMVUE)
    2.06264
  • df
    11.00000
  • t
    2.21799
  • p
    0.02427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20375
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.02690
  • Upside Potential Ratio
    15.19400
  • Upside part of mean
    0.65932
  • Downside part of mean
    -0.05064
  • Upside SD
    0.31309
  • Downside SD
    0.04339
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.03440
  • Mean of criterion
    0.60868
  • SD of predictor
    0.17317
  • SD of criterion
    0.27443
  • Covariance
    0.01340
  • r
    0.28201
  • b (slope, estimate of beta)
    0.44692
  • a (intercept, estimate of alpha)
    0.59330
  • Mean Square Error
    0.07625
  • DF error
    10.00000
  • t(b)
    0.92954
  • p(b)
    0.18725
  • t(a)
    2.14471
  • p(a)
    0.02879
  • Lowerbound of 95% confidence interval for beta
    -0.62437
  • Upperbound of 95% confidence interval for beta
    1.51821
  • Lowerbound of 95% confidence interval for alpha
    -0.02308
  • Upperbound of 95% confidence interval for alpha
    1.20968
  • Treynor index (mean / b)
    1.36194
  • Jensen alpha (a)
    0.59330
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07650
  • Expected Shortfall on VaR
    0.10619
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00547
  • Expected Shortfall on VaR
    0.01384
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.96045
  • Quartile 1
    1.01675
  • Median
    1.02441
  • Quartile 3
    1.05821
  • Maximum
    1.23794
  • Mean of quarter 1
    0.98572
  • Mean of quarter 2
    1.02257
  • Mean of quarter 3
    1.03393
  • Mean of quarter 4
    1.18823
  • Inter Quartile Range
    0.04146
  • 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
    0.16667
  • Mean of outliers high
    1.23150
  • 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)
    1.15009
  • VaR(95%) (regression method)
    0.03805
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.03955
  • Quartile 1
    0.03955
  • Median
    0.03955
  • Quartile 3
    0.03955
  • Maximum
    0.03955
  • 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)
    0.89001
  • Compounded annual return (geometric extrapolation)
    0.89001
  • Calmar ratio (compounded annual return / max draw down)
    22.50200
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.38158
  • 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
    0.57412
  • SD
    0.16523
  • Sharpe ratio (Glass type estimate)
    3.47475
  • Sharpe ratio (Hedges UMVUE)
    3.46550
  • df
    282.00000
  • t
    3.61132
  • p
    0.00018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.56424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.37928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.37291
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.09823
  • Upside Potential Ratio
    12.64360
  • Upside part of mean
    1.02264
  • Downside part of mean
    -0.44852
  • Upside SD
    0.14805
  • Downside SD
    0.08088
  • N nonnegative terms
    148.00000
  • N negative terms
    135.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    283.00000
  • Mean of predictor
    -0.02553
  • Mean of criterion
    0.57412
  • SD of predictor
    0.30305
  • SD of criterion
    0.16523
  • Covariance
    -0.00153
  • r
    -0.03054
  • b (slope, estimate of beta)
    -0.01665
  • a (intercept, estimate of alpha)
    0.57400
  • Mean Square Error
    0.02737
  • DF error
    281.00000
  • t(b)
    -0.51214
  • p(b)
    0.69552
  • t(a)
    3.60388
  • p(a)
    0.00019
  • Lowerbound of 95% confidence interval for beta
    -0.08064
  • Upperbound of 95% confidence interval for beta
    0.04734
  • Lowerbound of 95% confidence interval for alpha
    0.26034
  • Upperbound of 95% confidence interval for alpha
    0.88705
  • Treynor index (mean / b)
    -34.48350
  • Jensen alpha (a)
    0.57370
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56007
  • SD
    0.16325
  • Sharpe ratio (Glass type estimate)
    3.43071
  • Sharpe ratio (Hedges UMVUE)
    3.42158
  • df
    282.00000
  • t
    3.56555
  • p
    0.00021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.52080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.33470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.32845
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.84489
  • Upside Potential Ratio
    12.36650
  • Upside part of mean
    1.01187
  • Downside part of mean
    -0.45180
  • Upside SD
    0.14512
  • Downside SD
    0.08182
  • N nonnegative terms
    148.00000
  • N negative terms
    135.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    283.00000
  • Mean of predictor
    -0.07173
  • Mean of criterion
    0.56007
  • SD of predictor
    0.30543
  • SD of criterion
    0.16325
  • Covariance
    -0.00144
  • r
    -0.02889
  • b (slope, estimate of beta)
    -0.01544
  • a (intercept, estimate of alpha)
    0.55896
  • Mean Square Error
    0.02672
  • DF error
    281.00000
  • t(b)
    -0.48455
  • p(b)
    0.68581
  • t(a)
    3.55329
  • p(a)
    0.00022
  • Lowerbound of 95% confidence interval for beta
    -0.07818
  • Upperbound of 95% confidence interval for beta
    0.04730
  • Lowerbound of 95% confidence interval for alpha
    0.24931
  • Upperbound of 95% confidence interval for alpha
    0.86862
  • Treynor index (mean / b)
    -36.26540
  • Jensen alpha (a)
    0.55896
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01435
  • Expected Shortfall on VaR
    0.01849
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00371
  • Expected Shortfall on VaR
    0.00826
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    283.00000
  • Minimum
    0.96550
  • Quartile 1
    0.99927
  • Median
    1.00044
  • Quartile 3
    1.00436
  • Maximum
    1.08028
  • Mean of quarter 1
    0.99350
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00211
  • Mean of quarter 4
    1.01366
  • Inter Quartile Range
    0.00510
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.06007
  • Mean of outliers low
    0.98301
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.09894
  • Mean of outliers high
    1.02302
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81185
  • VaR(95%) (moments method)
    0.00552
  • Expected Shortfall (moments method)
    0.03260
  • Extreme Value Index (regression method)
    0.34173
  • VaR(95%) (regression method)
    0.00581
  • Expected Shortfall (regression method)
    0.01179
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00244
  • Median
    0.00617
  • Quartile 3
    0.02585
  • Maximum
    0.09607
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00464
  • Mean of quarter 3
    0.01469
  • Mean of quarter 4
    0.06094
  • Inter Quartile Range
    0.02342
  • 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
    0.13333
  • Mean of outliers high
    0.07976
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.18367
  • VaR(95%) (moments method)
    0.06126
  • Expected Shortfall (moments method)
    0.06134
  • Extreme Value Index (regression method)
    -0.53151
  • VaR(95%) (regression method)
    0.08878
  • Expected Shortfall (regression method)
    0.10371
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.82139
  • Compounded annual return (geometric extrapolation)
    0.80034
  • Calmar ratio (compounded annual return / max draw down)
    8.33119
  • Compounded annual return / average of 25% largest draw downs
    13.13440
  • Compounded annual return / Expected Shortfall lognormal
    43.29390
  • 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
    0.36534
  • SD
    0.20715
  • Sharpe ratio (Glass type estimate)
    1.76360
  • Sharpe ratio (Hedges UMVUE)
    1.75341
  • df
    130.00000
  • t
    1.24706
  • p
    0.44564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01975
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02658
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53340
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30751
  • Upside Potential Ratio
    9.22793
  • Upside part of mean
    1.01929
  • Downside part of mean
    -0.65395
  • Upside SD
    0.17577
  • Downside SD
    0.11046
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09988
  • Mean of criterion
    0.36534
  • SD of predictor
    0.42241
  • SD of criterion
    0.20715
  • Covariance
    -0.00523
  • r
    -0.05973
  • b (slope, estimate of beta)
    -0.02929
  • a (intercept, estimate of alpha)
    0.36241
  • Mean Square Error
    0.04309
  • DF error
    129.00000
  • t(b)
    -0.67960
  • p(b)
    0.53800
  • t(a)
    1.23437
  • p(a)
    0.43135
  • Lowerbound of 95% confidence interval for beta
    -0.11457
  • Upperbound of 95% confidence interval for beta
    0.05599
  • Lowerbound of 95% confidence interval for alpha
    -0.21848
  • Upperbound of 95% confidence interval for alpha
    0.94331
  • Treynor index (mean / b)
    -12.47240
  • Jensen alpha (a)
    0.36241
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34416
  • SD
    0.20435
  • Sharpe ratio (Glass type estimate)
    1.68414
  • Sharpe ratio (Hedges UMVUE)
    1.67440
  • df
    130.00000
  • t
    1.19087
  • p
    0.44806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46035
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45367
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07626
  • Upside Potential Ratio
    8.97642
  • Upside part of mean
    1.00425
  • Downside part of mean
    -0.66009
  • Upside SD
    0.17140
  • Downside SD
    0.11188
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18935
  • Mean of criterion
    0.34416
  • SD of predictor
    0.42586
  • SD of criterion
    0.20435
  • Covariance
    -0.00511
  • r
    -0.05869
  • b (slope, estimate of beta)
    -0.02816
  • a (intercept, estimate of alpha)
    0.33883
  • Mean Square Error
    0.04194
  • DF error
    129.00000
  • t(b)
    -0.66773
  • p(b)
    0.53734
  • t(a)
    1.16947
  • p(a)
    0.43491
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.11161
  • Upperbound of 95% confidence interval for beta
    0.05528
  • Lowerbound of 95% confidence interval for alpha
    -0.23441
  • Upperbound of 95% confidence interval for alpha
    0.91206
  • Treynor index (mean / b)
    -12.22070
  • Jensen alpha (a)
    0.33883
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01926
  • Expected Shortfall on VaR
    0.02441
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00630
  • Expected Shortfall on VaR
    0.01342
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96550
  • Quartile 1
    0.99895
  • Median
    1.00000
  • Quartile 3
    1.00335
  • Maximum
    1.08028
  • Mean of quarter 1
    0.99054
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00083
  • Mean of quarter 4
    1.01481
  • Inter Quartile Range
    0.00440
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.98296
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02653
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98519
  • VaR(95%) (moments method)
    0.00800
  • Expected Shortfall (moments method)
    0.58873
  • Extreme Value Index (regression method)
    0.20083
  • VaR(95%) (regression method)
    0.00804
  • Expected Shortfall (regression method)
    0.01436
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00617
  • Quartile 1
    0.01487
  • Median
    0.02050
  • Quartile 3
    0.03635
  • Maximum
    0.09607
  • Mean of quarter 1
    0.00988
  • Mean of quarter 2
    0.01759
  • Mean of quarter 3
    0.02585
  • Mean of quarter 4
    0.07485
  • Inter Quartile Range
    0.02148
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.09607
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -255294000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40892
  • Compounded annual return (geometric extrapolation)
    0.45073
  • Calmar ratio (compounded annual return / max draw down)
    4.69186
  • Compounded annual return / average of 25% largest draw downs
    6.02155
  • Compounded annual return / Expected Shortfall lognormal
    18.46180

Strategy Description

This strategy will only trade Stock-ETFs: VIX TVIX VIXY VXX in the master trend with the Elliott Wave Theory and the Dow Theory. It will not trade Futures anymore.

Summary Statistics

Strategy began
2019-03-04
Suggested Minimum Capital
$60,000
Rank at C2 
#69
# Trades
551
# Profitable
323
% Profitable
58.6%
Correlation S&P500
-0.033
Sharpe Ratio
2.32
Sortino Ratio
4.29
Beta
-0.02
Alpha
0.13
Leverage
2.97 Average
12.88 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.