Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $93,300 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 07/19/2016
Most recent certification approved 7/19/16 10:11 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 5,539
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 4,458
Percent signals followed since 07/19/2016 80.5%
This information was last updated 12/3/24 12:26 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 07/19/2016, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

Sage Volatility Margin
(102427283)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Sage_Volatility Sage_Volatility
Started: 05/2016
Stocks, Options
Last trade: 4 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 $130.00 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.

26.4%
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.

(35.4%)
Max Drawdown
1045
Num Trades
31.6%
Win Trades
1.5 : 1
Profit Factor
56.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                            +27.8%+15.0%+19.9%+5.5%+7.6%(3.6%)(8.8%)+9.5%+92.4%
2017+24.8%+1.3%+16.3%+0.1%+3.7%(1.7%)+10.6%(14%)+13.6%+9.0%(2.9%)+3.1%+76.8%
2018(8.3%)+25.6%(4.5%)+2.5%+0.9%(0.9%)+2.9%+4.7%+4.7%(9.6%)+0.4%+1.8%+17.5%
2019(7.7%)(2.4%)(4.3%)+7.3%(7.2%)+0.5%+0.2%(2.2%)(0.5%)+11.2%+10.0%(0.7%)+2.2%
2020(1.2%)+23.0%+21.2%+1.2%+8.9%(1.1%)+3.5%+2.0%(1.9%)+3.7%(1.3%)+0.4%+70.6%
2021(4%)+9.7%+10.3%+0.9%+2.2%+5.8%(8.7%)+4.9%(10.8%)+11.4%(4.7%)(0.5%)+14.7%
2022(12.8%)(6.4%)+6.5%(8.7%)+3.9%(2.7%)+7.1%(3.8%)(6.5%)+5.4%+3.5%+2.2%(13.8%)
2023+0.5%(1.1%)+13.6%+5.1%+1.8%(2.9%)(2.7%)+6.3%  -  +6.9%(3.2%)+2.6%+28.4%
2024(1%)(1.6%)+3.3%(1%)+0.9%+0.4%(0.2%)(5.4%)(10.5%)(0.1%)(0.7%)(0.7%)(16%)

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 48 hours.

Trading Record

This strategy has placed 5,000 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/1/24 15:54 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 1,200 100.43 11/29 12:50 100.57 0%
Trade id #149935625
Max drawdown($2)
Time11/1/24 15:58
Quant open400
Worst price100.33
Drawdown as % of equity-0.00%
 $149
Includes Typical Broker Commissions trade costs of $24.00
11/20/24 11:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 400 49.04 11/21 9:32 46.46 0.99%
Trade id #150133239
Max drawdown($1,045)
Time11/21/24 9:31
Quant open400
Worst price46.43
Drawdown as % of equity-0.99%
 ($1,044)
Includes Typical Broker Commissions trade costs of $8.00
11/12/24 10:00 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,800 29.01 11/20 10:00 27.38 5.21%
Trade id #150064580
Max drawdown($5,700)
Time11/15/24 0:00
Quant open1,800
Worst price25.84
Drawdown as % of equity-5.21%
 ($2,961)
Includes Typical Broker Commissions trade costs of $30.50
11/1/24 15:46 SVIX2415W17 SVIX Nov15'24 17 put LONG 5 0.28 11/16 9:35 0.00 0.13%
Trade id #149935455
Max drawdown($135)
Time11/7/24 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-0.13%
 ($144)
Includes Typical Broker Commissions trade costs of $3.50
11/8/24 11:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 200 28.31 11/11 10:00 28.47 0.07%
Trade id #150040440
Max drawdown($76)
Time11/8/24 15:01
Quant open200
Worst price27.93
Drawdown as % of equity-0.07%
 $28
Includes Typical Broker Commissions trade costs of $4.00
11/6/24 11:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 45.92 11/8 9:32 44.77 0.35%
Trade id #150010328
Max drawdown($378)
Time11/8/24 9:32
Quant open300
Worst price44.66
Drawdown as % of equity-0.35%
 ($351)
Includes Typical Broker Commissions trade costs of $6.00
11/1/24 15:09 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,200 22.96 11/6 9:34 24.66 0.22%
Trade id #149935075
Max drawdown($239)
Time11/1/24 15:50
Quant open800
Worst price22.75
Drawdown as % of equity-0.22%
 $2,014
Includes Typical Broker Commissions trade costs of $24.00
9/16/24 12:33 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 1,400 100.56 10/31 15:33 100.62 0.2%
Trade id #149410268
Max drawdown($210)
Time10/2/24 0:00
Quant open800
Worst price100.33
Drawdown as % of equity-0.20%
 $65
Includes Typical Broker Commissions trade costs of $22.50
10/28/24 10:00 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 200 52.45 10/31 14:20 54.73 0.09%
Trade id #149863556
Max drawdown($90)
Time10/29/24 0:00
Quant open100
Worst price51.71
Drawdown as % of equity-0.09%
 $451
Includes Typical Broker Commissions trade costs of $4.00
10/23/24 12:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 600 24.41 10/25 14:30 24.58 0.16%
Trade id #149809026
Max drawdown($167)
Time10/24/24 0:00
Quant open200
Worst price23.73
Drawdown as % of equity-0.16%
 $93
Includes Typical Broker Commissions trade costs of $12.00
10/21/24 9:33 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 800 25.24 10/21 12:30 25.32 0.22%
Trade id #149723843
Max drawdown($230)
Time10/21/24 11:30
Quant open400
Worst price24.93
Drawdown as % of equity-0.22%
 $52
Includes Typical Broker Commissions trade costs of $10.50
9/26/24 10:19 SVIX2418V19 SVIX Oct18'24 19 put LONG 5 0.24 10/19 9:35 0.00 0.1%
Trade id #149513724
Max drawdown($103)
Time10/14/24 0:00
Quant open5
Worst price0.03
Drawdown as % of equity-0.10%
 ($122)
Includes Typical Broker Commissions trade costs of $3.50
10/1/24 12:34 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 600 53.99 10/18 12:10 53.31 0.67%
Trade id #149552338
Max drawdown($719)
Time10/14/24 0:00
Quant open300
Worst price51.59
Drawdown as % of equity-0.67%
 ($418)
Includes Typical Broker Commissions trade costs of $12.00
9/24/24 13:37 SVIX2418V20 SVIX Oct18'24 20 put LONG 15 0.24 10/1 10:08 0.25 0.05%
Trade id #149495978
Max drawdown($51)
Time9/25/24 0:00
Quant open5
Worst price0.19
Drawdown as % of equity-0.05%
 ($16)
Includes Typical Broker Commissions trade costs of $21.00
9/23/24 12:34 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,400 27.98 9/30 13:36 26.65 4.17%
Trade id #149485462
Max drawdown($4,586)
Time9/27/24 0:00
Quant open2,800
Worst price26.51
Drawdown as % of equity-4.17%
 ($4,561)
Includes Typical Broker Commissions trade costs of $57.50
9/4/24 14:37 SVIX2420U15 SVIX Sep20'24 15 put LONG 10 0.23 9/21 9:35 0.00 0.19%
Trade id #149253729
Max drawdown($215)
Time9/13/24 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-0.19%
 ($232)
Includes Typical Broker Commissions trade costs of $7.00
9/9/24 10:53 SVIX2420U17 SVIX Sep20'24 17 put LONG 15 0.12 9/21 9:35 0.00 0.12%
Trade id #149322995
Max drawdown($136)
Time9/12/24 0:00
Quant open15
Worst price0.03
Drawdown as % of equity-0.12%
 ($193)
Includes Typical Broker Commissions trade costs of $10.50
8/27/24 10:46 SVIX2420U18 SVIX Sep20'24 18 put LONG 20 0.17 9/21 9:35 0.19 0.12%
Trade id #149071257
Max drawdown($143)
Time9/3/24 0:00
Quant open20
Worst price0.10
Drawdown as % of equity-0.12%
 $21
Includes Typical Broker Commissions trade costs of $24.50
9/18/24 14:18 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 200 48.25 9/18 14:35 48.81 0.05%
Trade id #149441502
Max drawdown($53)
Time9/18/24 14:21
Quant open200
Worst price47.98
Drawdown as % of equity-0.05%
 $109
Includes Typical Broker Commissions trade costs of $4.00
9/4/24 11:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 7,600 25.74 9/18 9:38 26.05 4.81%
Trade id #149250298
Max drawdown($5,277)
Time9/6/24 0:00
Quant open2,000
Worst price23.34
Drawdown as % of equity-4.81%
 $2,214
Includes Typical Broker Commissions trade costs of $84.50
9/12/24 15:03 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 200 100.47 9/13 9:33 100.50 0%
Trade id #149376948
Max drawdown($1)
Time9/12/24 15:06
Quant open200
Worst price100.46
Drawdown as % of equity-0.00%
 $3
Includes Typical Broker Commissions trade costs of $4.00
9/5/24 15:47 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 400 100.37 9/9 9:33 100.43 0%
Trade id #149267579
Max drawdown($2)
Time9/5/24 15:50
Quant open400
Worst price100.36
Drawdown as % of equity-0.00%
 $18
Includes Typical Broker Commissions trade costs of $8.00
8/23/24 12:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 5,200 30.96 9/4 9:35 29.41 6.26%
Trade id #149021407
Max drawdown($6,952)
Time9/4/24 9:30
Quant open1,200
Worst price25.17
Drawdown as % of equity-6.26%
 ($8,119)
Includes Typical Broker Commissions trade costs of $49.50
8/30/24 12:38 SVIX2420U20 SVIX Sep20'24 20 put LONG 5 0.22 9/3 11:02 0.26 0.01%
Trade id #149138665
Max drawdown($8)
Time8/30/24 14:47
Quant open5
Worst price0.20
Drawdown as % of equity-0.01%
 $15
Includes Typical Broker Commissions trade costs of $7.00
8/1/24 15:36 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 1,400 100.38 8/29 10:31 100.60 0%
Trade id #148801116
Max drawdown($5)
Time8/1/24 15:39
Quant open600
Worst price100.29
Drawdown as % of equity-0.00%
 $288
Includes Typical Broker Commissions trade costs of $24.50
8/22/24 14:33 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 200 48.15 8/23 9:32 47.74 0.11%
Trade id #149011327
Max drawdown($130)
Time8/23/24 9:30
Quant open200
Worst price47.50
Drawdown as % of equity-0.11%
 ($87)
Includes Typical Broker Commissions trade costs of $4.00
8/15/24 12:32 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 200 46.02 8/16 12:30 45.42 0.15%
Trade id #148928515
Max drawdown($170)
Time8/16/24 11:44
Quant open200
Worst price45.17
Drawdown as % of equity-0.15%
 ($125)
Includes Typical Broker Commissions trade costs of $4.00
8/9/24 10:30 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,200 24.64 8/12 10:06 26.71 0.04%
Trade id #148876582
Max drawdown($43)
Time8/9/24 10:35
Quant open200
Worst price24.06
Drawdown as % of equity-0.04%
 $2,474
Includes Typical Broker Commissions trade costs of $9.00
8/5/24 13:33 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 3,200 22.08 8/8 10:00 22.79 1.73%
Trade id #148833941
Max drawdown($1,996)
Time8/5/24 15:54
Quant open400
Worst price18.46
Drawdown as % of equity-1.73%
 $2,238
Includes Typical Broker Commissions trade costs of $32.50
8/5/24 9:36 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 400 84.55 8/5 12:34 74.08 4.22%
Trade id #148829679
Max drawdown($4,871)
Time8/5/24 12:30
Quant open400
Worst price72.37
Drawdown as % of equity-4.22%
 ($4,194)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    5/18/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3120.79
  • Age
    104 months ago
  • What it trades
    Stocks, Options
  • # Trades
    1045
  • # Profitable
    330
  • % Profitable
    31.60%
  • Avg trade duration
    13.1 days
  • Max peak-to-valley drawdown
    35.42%
  • drawdown period
    July 14, 2021 - May 10, 2022
  • Annual Return (Compounded)
    26.4%
  • Avg win
    $998.86
  • Avg loss
    $305.23
  • Model Account Values (Raw)
  • Cash
    $78,252
  • Margin Used
    $0
  • Buying Power
    $79,178
  • Ratios
  • W:L ratio
    1.52:1
  • Sharpe Ratio
    0.8
  • Sortino Ratio
    1.19
  • Calmar Ratio
    1.02
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    446.58%
  • Correlation to SP500
    0.18190
  • Return Percent SP500 (cumu) during strategy life
    195.32%
  • Return Statistics
  • Ann Return (w trading costs)
    26.4%
  • Slump
  • Current Slump as Pcnt Equity
    24.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.40%
  • Instruments
  • Short Options - Percent Covered
    67.24%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.264%
  • Instruments
  • Percent Trades Options
    0.31%
  • Percent Trades Stocks
    0.69%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.00%
  • Chance of 20% account loss
    14.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    3.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    654
  • Popularity (Last 6 weeks)
    891
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    936
  • Popularity (7 days, Percentile 1000 scale)
    774
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $305
  • Avg Win
    $999
  • Sum Trade PL (losers)
    $218,240.000
  • Age
  • Num Months filled monthly returns table
    104
  • Win / Loss
  • Sum Trade PL (winners)
    $329,624.000
  • # Winners
    330
  • Num Months Winners
    59
  • Dividends
  • Dividends Received in Model Acct
    1351
  • AUM
  • AUM (AutoTrader live capital)
    886407
  • Win / Loss
  • # Losers
    715
  • % Winners
    31.6%
  • Frequency
  • Avg Position Time (mins)
    18929.00
  • Avg Position Time (hrs)
    315.48
  • Avg Trade Length
    13.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.22
  • Daily leverage (max)
    5.45
  • Regression
  • Alpha
    0.06
  • Beta
    0.26
  • Treynor Index
    0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.72
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.71
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.317
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.249
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.916
  • Hold-and-Hope Ratio
    0.428
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28205
  • SD
    0.29717
  • Sharpe ratio (Glass type estimate)
    0.94912
  • Sharpe ratio (Hedges UMVUE)
    0.94184
  • df
    98.00000
  • t
    2.72614
  • p
    0.00380
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63683
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08272
  • Upside Potential Ratio
    3.65896
  • Upside part of mean
    0.49551
  • Downside part of mean
    -0.21346
  • Upside SD
    0.27515
  • Downside SD
    0.13542
  • N nonnegative terms
    61.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    0.11165
  • Mean of criterion
    0.28205
  • SD of predictor
    0.15049
  • SD of criterion
    0.29717
  • Covariance
    0.00166
  • r
    0.03701
  • b (slope, estimate of beta)
    0.07309
  • a (intercept, estimate of alpha)
    0.27389
  • Mean Square Error
    0.08910
  • DF error
    97.00000
  • t(b)
    0.36479
  • p(b)
    0.35803
  • t(a)
    2.57652
  • p(a)
    0.00574
  • Lowerbound of 95% confidence interval for beta
    -0.32456
  • Upperbound of 95% confidence interval for beta
    0.47073
  • Lowerbound of 95% confidence interval for alpha
    0.06291
  • Upperbound of 95% confidence interval for alpha
    0.48487
  • Treynor index (mean / b)
    3.85912
  • Jensen alpha (a)
    0.27389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23874
  • SD
    0.27913
  • Sharpe ratio (Glass type estimate)
    0.85530
  • Sharpe ratio (Hedges UMVUE)
    0.84874
  • df
    98.00000
  • t
    2.45666
  • p
    0.00789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16042
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54138
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64656
  • Upside Potential Ratio
    3.18447
  • Upside part of mean
    0.46173
  • Downside part of mean
    -0.22298
  • Upside SD
    0.24669
  • Downside SD
    0.14499
  • N nonnegative terms
    61.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    0.09942
  • Mean of criterion
    0.23874
  • SD of predictor
    0.15396
  • SD of criterion
    0.27913
  • Covariance
    0.00232
  • r
    0.05403
  • b (slope, estimate of beta)
    0.09796
  • a (intercept, estimate of alpha)
    0.22900
  • Mean Square Error
    0.07849
  • DF error
    97.00000
  • t(b)
    0.53293
  • p(b)
    0.29765
  • t(a)
    2.30767
  • p(a)
    0.01157
  • Lowerbound of 95% confidence interval for beta
    -0.26686
  • Upperbound of 95% confidence interval for beta
    0.46278
  • Lowerbound of 95% confidence interval for alpha
    0.03205
  • Upperbound of 95% confidence interval for alpha
    0.42596
  • Treynor index (mean / b)
    2.43712
  • Jensen alpha (a)
    0.22900
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10653
  • Expected Shortfall on VaR
    0.13573
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03411
  • Expected Shortfall on VaR
    0.07188
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    99.00000
  • Minimum
    0.78746
  • Quartile 1
    0.97693
  • Median
    1.01390
  • Quartile 3
    1.05291
  • Maximum
    1.41062
  • Mean of quarter 1
    0.93732
  • Mean of quarter 2
    1.00033
  • Mean of quarter 3
    1.03475
  • Mean of quarter 4
    1.13128
  • Inter Quartile Range
    0.07597
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02020
  • Mean of outliers low
    0.81401
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05051
  • Mean of outliers high
    1.26537
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01809
  • VaR(95%) (moments method)
    0.05543
  • Expected Shortfall (moments method)
    0.07500
  • Extreme Value Index (regression method)
    -0.20370
  • VaR(95%) (regression method)
    0.04999
  • Expected Shortfall (regression method)
    0.06153
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00616
  • Quartile 1
    0.02354
  • Median
    0.06348
  • Quartile 3
    0.15945
  • Maximum
    0.26823
  • Mean of quarter 1
    0.01587
  • Mean of quarter 2
    0.04364
  • Mean of quarter 3
    0.12110
  • Mean of quarter 4
    0.23852
  • Inter Quartile Range
    0.13591
  • 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)
    -7.82318
  • VaR(95%) (moments method)
    0.23105
  • Expected Shortfall (moments method)
    0.23105
  • Extreme Value Index (regression method)
    -1.31214
  • VaR(95%) (regression method)
    0.27877
  • Expected Shortfall (regression method)
    0.28642
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.97256
  • Compounded annual return (geometric extrapolation)
    0.30558
  • Calmar ratio (compounded annual return / max draw down)
    1.13927
  • Compounded annual return / average of 25% largest draw downs
    1.28117
  • Compounded annual return / Expected Shortfall lognormal
    2.25134
  • 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
    0.26631
  • SD
    0.24899
  • Sharpe ratio (Glass type estimate)
    1.06955
  • Sharpe ratio (Hedges UMVUE)
    1.06919
  • df
    2182.00000
  • t
    3.08730
  • p
    0.00102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74893
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60592
  • Upside Potential Ratio
    7.82937
  • Upside part of mean
    1.29836
  • Downside part of mean
    -1.03205
  • Upside SD
    0.18639
  • Downside SD
    0.16583
  • N nonnegative terms
    1188.00000
  • N negative terms
    995.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2183.00000
  • Mean of predictor
    0.11913
  • Mean of criterion
    0.26631
  • SD of predictor
    0.18420
  • SD of criterion
    0.24899
  • Covariance
    0.00825
  • r
    0.17994
  • b (slope, estimate of beta)
    0.24323
  • a (intercept, estimate of alpha)
    0.23700
  • Mean Square Error
    0.06002
  • DF error
    2181.00000
  • t(b)
    8.54259
  • p(b)
    -0.00000
  • t(a)
    2.79417
  • p(a)
    0.00262
  • Lowerbound of 95% confidence interval for beta
    0.18739
  • Upperbound of 95% confidence interval for beta
    0.29906
  • Lowerbound of 95% confidence interval for alpha
    0.07076
  • Upperbound of 95% confidence interval for alpha
    0.40391
  • Treynor index (mean / b)
    1.09491
  • Jensen alpha (a)
    0.23734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23545
  • SD
    0.24756
  • Sharpe ratio (Glass type estimate)
    0.95108
  • Sharpe ratio (Hedges UMVUE)
    0.95075
  • df
    2182.00000
  • t
    2.74532
  • p
    0.00305
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27140
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27116
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63034
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38376
  • Upside Potential Ratio
    7.53225
  • Upside part of mean
    1.28161
  • Downside part of mean
    -1.04616
  • Upside SD
    0.18033
  • Downside SD
    0.17015
  • N nonnegative terms
    1188.00000
  • N negative terms
    995.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2183.00000
  • Mean of predictor
    0.10206
  • Mean of criterion
    0.23545
  • SD of predictor
    0.18488
  • SD of criterion
    0.24756
  • Covariance
    0.00826
  • r
    0.18050
  • b (slope, estimate of beta)
    0.24169
  • a (intercept, estimate of alpha)
    0.21078
  • Mean Square Error
    0.05931
  • DF error
    2181.00000
  • t(b)
    8.57044
  • p(b)
    -0.00000
  • t(a)
    2.49672
  • p(a)
    0.00630
  • Lowerbound of 95% confidence interval for beta
    0.18639
  • Upperbound of 95% confidence interval for beta
    0.29699
  • Lowerbound of 95% confidence interval for alpha
    0.04522
  • Upperbound of 95% confidence interval for alpha
    0.37634
  • Treynor index (mean / b)
    0.97417
  • Jensen alpha (a)
    0.21078
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02397
  • Expected Shortfall on VaR
    0.03017
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00835
  • Expected Shortfall on VaR
    0.01817
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2183.00000
  • Minimum
    0.87503
  • Quartile 1
    0.99655
  • Median
    1.00056
  • Quartile 3
    1.00626
  • Maximum
    1.21845
  • Mean of quarter 1
    0.98546
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00286
  • Mean of quarter 4
    1.01714
  • Inter Quartile Range
    0.00971
  • Number outliers low
    126.00000
  • Percentage of outliers low
    0.05772
  • Mean of outliers low
    0.96591
  • Number of outliers high
    123.00000
  • Percentage of outliers high
    0.05634
  • Mean of outliers high
    1.03533
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48820
  • VaR(95%) (moments method)
    0.01296
  • Expected Shortfall (moments method)
    0.02963
  • Extreme Value Index (regression method)
    0.26639
  • VaR(95%) (regression method)
    0.01302
  • Expected Shortfall (regression method)
    0.02298
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    79.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00635
  • Median
    0.01377
  • Quartile 3
    0.05425
  • Maximum
    0.29529
  • Mean of quarter 1
    0.00312
  • Mean of quarter 2
    0.01048
  • Mean of quarter 3
    0.03314
  • Mean of quarter 4
    0.13291
  • Inter Quartile Range
    0.04790
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.08861
  • Mean of outliers high
    0.22958
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29224
  • VaR(95%) (moments method)
    0.13853
  • Expected Shortfall (moments method)
    0.23166
  • Extreme Value Index (regression method)
    -0.14876
  • VaR(95%) (regression method)
    0.15411
  • Expected Shortfall (regression method)
    0.20131
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95696
  • Compounded annual return (geometric extrapolation)
    0.30129
  • Calmar ratio (compounded annual return / max draw down)
    1.02030
  • Compounded annual return / average of 25% largest draw downs
    2.26678
  • Compounded annual return / Expected Shortfall lognormal
    9.98688
  • 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
    -0.30474
  • SD
    0.15564
  • Sharpe ratio (Glass type estimate)
    -1.95793
  • Sharpe ratio (Hedges UMVUE)
    -1.94661
  • df
    130.00000
  • t
    -1.38447
  • p
    0.56027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.73618
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.72850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83527
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.23314
  • Upside Potential Ratio
    3.72258
  • Upside part of mean
    0.50799
  • Downside part of mean
    -0.81273
  • Upside SD
    0.07598
  • Downside SD
    0.13646
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26636
  • Mean of criterion
    -0.30474
  • SD of predictor
    0.14301
  • SD of criterion
    0.15564
  • Covariance
    0.01189
  • r
    0.53422
  • b (slope, estimate of beta)
    0.58142
  • a (intercept, estimate of alpha)
    -0.45960
  • Mean Square Error
    0.01745
  • DF error
    129.00000
  • t(b)
    7.17764
  • p(b)
    0.17686
  • t(a)
    -2.44429
  • p(a)
    0.63294
  • Lowerbound of 95% confidence interval for beta
    0.42115
  • Upperbound of 95% confidence interval for beta
    0.74168
  • Lowerbound of 95% confidence interval for alpha
    -0.83163
  • Upperbound of 95% confidence interval for alpha
    -0.08758
  • Treynor index (mean / b)
    -0.52413
  • Jensen alpha (a)
    -0.45960
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31708
  • SD
    0.15725
  • Sharpe ratio (Glass type estimate)
    -2.01635
  • Sharpe ratio (Hedges UMVUE)
    -2.00469
  • df
    130.00000
  • t
    -1.42577
  • p
    0.56204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.79522
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77003
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.78719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77780
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.28589
  • Upside Potential Ratio
    3.64126
  • Upside part of mean
    0.50508
  • Downside part of mean
    -0.82216
  • Upside SD
    0.07539
  • Downside SD
    0.13871
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25608
  • Mean of criterion
    -0.31708
  • SD of predictor
    0.14283
  • SD of criterion
    0.15725
  • Covariance
    0.01206
  • r
    0.53716
  • b (slope, estimate of beta)
    0.59141
  • a (intercept, estimate of alpha)
    -0.46852
  • Mean Square Error
    0.01773
  • DF error
    129.00000
  • t(b)
    7.23316
  • p(b)
    0.17527
  • t(a)
    -2.47285
  • p(a)
    0.63440
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.42964
  • Upperbound of 95% confidence interval for beta
    0.75318
  • Lowerbound of 95% confidence interval for alpha
    -0.84339
  • Upperbound of 95% confidence interval for alpha
    -0.09366
  • Treynor index (mean / b)
    -0.53614
  • Jensen alpha (a)
    -0.46852
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01704
  • Expected Shortfall on VaR
    0.02102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00709
  • Expected Shortfall on VaR
    0.01536
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95609
  • Quartile 1
    0.99828
  • Median
    1.00009
  • Quartile 3
    1.00183
  • Maximum
    1.02478
  • Mean of quarter 1
    0.98836
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00064
  • Mean of quarter 4
    1.00729
  • Inter Quartile Range
    0.00356
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.97861
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.01422
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86075
  • VaR(95%) (moments method)
    0.01070
  • Expected Shortfall (moments method)
    0.08381
  • Extreme Value Index (regression method)
    0.42862
  • VaR(95%) (regression method)
    0.01090
  • Expected Shortfall (regression method)
    0.02445
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00005
  • Median
    0.00786
  • Quartile 3
    0.00864
  • Maximum
    0.15860
  • Mean of quarter 1
    0.00003
  • Mean of quarter 2
    0.00786
  • Mean of quarter 3
    0.00864
  • Mean of quarter 4
    0.15860
  • Inter Quartile Range
    0.00859
  • 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
    0.20000
  • Mean of outliers high
    0.15860
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -330553000
  • Max Equity Drawdown (num days)
    300
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.26924
  • Compounded annual return (geometric extrapolation)
    -0.25111
  • Calmar ratio (compounded annual return / max draw down)
    -1.58329
  • Compounded annual return / average of 25% largest draw downs
    -1.58329
  • Compounded annual return / Expected Shortfall lognormal
    -11.94700

Strategy Description

I wouldn't call Volatility an asset class, but volatility products have incredible potential for significant and consistent gains...IF USED WELL!

Being short regular Volatility ETFs or long Inverse Volatility ETFs are winning strategies...MOST OF THE TIME.

The challenge is that when the VIX spikes or when the VIX futures curve is downward sloping instead of upward sloping, very significant losses can occur. Many people have built and back-tested models that attempt to move from long to short to neutral positions in the various Volatility ETFs, but almost all of them have one or both of these very significant flaws: 1) Failure to use "out of sample" back-testing and 2) Failure to protect against "black swan" events.

My strategies do the following:
- A position and weighting in the appropriate Volatility ETFs are established based on a multi-factor model which always uses out of sample back-testing to determine effectiveness.
- Volatility Options are always used to protect against significant short-term moves which left unchecked could result in the total loss of one's portfolio value; these options will usually lose money, but that is a small price to pay for the protection they provide. (Strategies should be scaled at a minimum of 20% to ensure options protection.)

Smart Volatility Margin - this is best strategy for regular brokerage accounts with margin and in which short selling is allowed. A mix of Long positions in Inverse Volatility ETPs and Short positions in Leveraged Volatility ETPs are typically held. Suggested minimum capital: $30,000 (using 20% scaling).

Smart Volatility IRA - this is the best strategy for IRA accounts in which short selling is not allowed. Long positions in Inverse Volatility ETFs are typically held. Suggested minimum capital: $30,000 (using 20% scaling).
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-05-18
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 6.4%
Rank # 
#47
# Trades
1045
# Profitable
330
% Profitable
31.6%
Net Dividends
$1,351
Correlation S&P500
0.182
Sharpe Ratio
0.80
Sortino Ratio
1.19
Beta
0.26
Alpha
0.06
Leverage
1.22 Average
5.45 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.