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Dynamic Volatility
(121498539)

Created by: EdwardHorne EdwardHorne
Started: 12/2018
Stocks
Last trade: 4 days ago
Trading style: Equity Momentum

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 $80.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
52.9%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(19.6%)
Max Drawdown
19
Num Trades
42.1%
Win Trades
3.1 : 1
Profit Factor
88.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +15.5%+15.5%
2019+7.5%+6.0%+0.6%+6.2%(14.2%)+7.5%+4.1%+13.3%                        +32.4%

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 72 hours.

Trading Record

This strategy has placed 23 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/13/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,650 29.35 8/16 9:30 29.09 9.07%
Trade id #124904494
Max drawdown($6,996)
Time8/13/19 9:30
Quant open2,650
Worst price26.71
Drawdown as % of equity-9.07%
($694)
Includes Typical Broker Commissions trade costs of $5.00
8/1/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,885 23.64 8/8 9:30 27.00 4.64%
Trade id #124714036
Max drawdown($3,130)
Time8/1/19 9:30
Quant open2,885
Worst price22.55
Drawdown as % of equity-4.64%
$9,689
Includes Typical Broker Commissions trade costs of $5.00
6/27/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,278 50.41 8/1 9:30 53.26 0.41%
Trade id #124252830
Max drawdown($265)
Time6/27/19 9:30
Quant open1,278
Worst price50.20
Drawdown as % of equity-0.41%
$3,643
Includes Typical Broker Commissions trade costs of $5.00
6/26/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,410 26.58 6/27 9:30 26.62 1.46%
Trade id #124236677
Max drawdown($915)
Time6/26/19 9:30
Quant open2,410
Worst price26.20
Drawdown as % of equity-1.46%
$91
Includes Typical Broker Commissions trade costs of $5.00
6/6/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,267 46.14 6/26 9:30 50.68 0.72%
Trade id #123961571
Max drawdown($414)
Time6/6/19 9:30
Quant open1,267
Worst price45.81
Drawdown as % of equity-0.72%
$5,750
Includes Typical Broker Commissions trade costs of $5.00
5/29/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,063 29.87 6/5 9:30 28.65 4.8%
Trade id #123858161
Max drawdown($2,846)
Time6/5/19 7:04
Quant open2,063
Worst price28.49
Drawdown as % of equity-4.80%
($2,522)
Includes Typical Broker Commissions trade costs of $5.00
5/28/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,210 51.92 5/29 9:30 50.35 3.24%
Trade id #123842225
Max drawdown($2,005)
Time5/29/19 5:29
Quant open1,210
Worst price50.26
Drawdown as % of equity-3.24%
($1,901)
Includes Typical Broker Commissions trade costs of $5.00
5/22/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 550 47.50 5/24 11:01 45.92 2.15%
Trade id #123766665
Max drawdown($1,353)
Time5/23/19 15:04
Quant open550
Worst price45.04
Drawdown as % of equity-2.15%
($872)
Includes Typical Broker Commissions trade costs of $5.00
5/22/19 9:48 VXX1921R26 VXX Jun21'19 26 put LONG 26 1.27 5/24 11:00 0.77 2.35%
Trade id #123767486
Max drawdown($1,482)
Time5/23/19 14:45
Quant open26
Worst price0.70
Drawdown as % of equity-2.35%
($1,336)
Includes Typical Broker Commissions trade costs of $36.40
5/8/19 9:40 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,081 31.52 5/13 14:51 31.34 12.14%
Trade id #123572393
Max drawdown($7,117)
Time5/10/19 16:17
Quant open2,081
Worst price28.10
Drawdown as % of equity-12.14%
($380)
Includes Typical Broker Commissions trade costs of $5.00
4/5/19 14:49 VXX1917Q27 VXX May17'19 27 put LONG 23 1.48 5/8 9:32 0.36 4.1%
Trade id #123223638
Max drawdown($2,714)
Time5/7/19 15:39
Quant open23
Worst price0.30
Drawdown as % of equity-4.10%
($2,608)
Includes Typical Broker Commissions trade costs of $32.20
3/18/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 480 46.45 5/8 9:30 48.81 n/a $1,123
Includes Typical Broker Commissions trade costs of $9.60
2/25/19 10:56 VXXB1918P28 VXXB Apr18'19 28 put LONG 34 1.60 4/5 14:48 1.29 6.31%
Trade id #122668452
Max drawdown($4,080)
Time3/8/19 9:31
Quant open34
Worst price0.40
Drawdown as % of equity-6.31%
($1,102)
Includes Typical Broker Commissions trade costs of $47.60
2/25/19 10:55 VXXB1918D28 VXXB Apr18'19 28 call LONG 34 3.40 2/25 10:57 3.30 0.5%
Trade id #122668433
Max drawdown($340)
Time2/25/19 10:57
Quant open0
Worst price3.30
Drawdown as % of equity-0.50%
($388)
Includes Typical Broker Commissions trade costs of $47.60
2/1/19 12:24 VXXB1915O33 VXXB Mar15'19 33 put LONG 30 1.75 2/25 10:53 3.70 1.88%
Trade id #122320324
Max drawdown($1,200)
Time2/7/19 12:09
Quant open30
Worst price1.35
Drawdown as % of equity-1.88%
$5,808
Includes Typical Broker Commissions trade costs of $42.00
1/10/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,280 44.76 2/1 12:22 48.43 1.46%
Trade id #121893833
Max drawdown($857)
Time1/23/19 12:19
Quant open1,280
Worst price44.09
Drawdown as % of equity-1.46%
$4,693
Includes Typical Broker Commissions trade costs of $5.00
12/18/18 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,185 41.78 12/28 9:30 48.88 2.76%
Trade id #121548718
Max drawdown($1,398)
Time12/19/18 14:01
Quant open1,185
Worst price40.60
Drawdown as % of equity-2.76%
$8,409
Includes Typical Broker Commissions trade costs of $5.00
12/14/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,080 46.12 12/17 9:30 45.58 1.28%
Trade id #121498796
Max drawdown($637)
Time12/17/18 9:30
Quant open1,080
Worst price45.53
Drawdown as % of equity-1.28%
($588)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/14/2018
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    249.13
  • Age
    8 months ago
  • What it trades
    Stocks, Options
  • # Trades
    19
  • # Profitable
    8
  • % Profitable
    42.10%
  • Avg trade duration
    14.0 days
  • Max peak-to-valley drawdown
    19.57%
  • drawdown period
    April 23, 2019 - June 06, 2019
  • Cumul. Return
    52.9%
  • Avg win
    $4,911
  • Avg loss
    $1,178
  • Model Account Values (Raw)
  • Cash
    $19,891
  • Margin Used
    $0
  • Buying Power
    $19,158
  • Ratios
  • W:L ratio
    3.09:1
  • Sharpe Ratio
    1.82
  • Sortino Ratio
    2.87
  • Calmar Ratio
    5.21
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.02990
  • Return Statistics
  • Ann Return (w trading costs)
    84.7%
  • Ann Return (Compnd, No Fees)
    89.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    803
  • Popularity (Last 6 weeks)
    900
  • C2 Score
    951
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,109
  • Avg Win
    $4,911
  • # Winners
    8
  • # Losers
    11
  • % Winners
    42.1%
  • Frequency
  • Avg Position Time (mins)
    20118.00
  • Avg Position Time (hrs)
    335.30
  • Avg Trade Length
    14.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.56
  • Daily leverage (max)
    3.88
  • Regression
  • Alpha
    0.18
  • Beta
    -0.06
  • Treynor Index
    -3.04
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    1.498
  • Avg(MAE) / Avg(PL) - Winning trades
    0.214
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.498
  • Hold-and-Hope Ratio
    0.688
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61573
  • SD
    0.28817
  • Sharpe ratio (Glass type estimate)
    2.13668
  • Sharpe ratio (Hedges UMVUE)
    1.85598
  • df
    6.00000
  • t
    1.63191
  • p
    0.07691
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89097
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62871
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.55122
  • Upside Potential Ratio
    7.86053
  • Upside part of mean
    0.73879
  • Downside part of mean
    -0.12306
  • Upside SD
    0.30650
  • Downside SD
    0.09399
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.23336
  • Mean of criterion
    0.61573
  • SD of predictor
    0.06978
  • SD of criterion
    0.28817
  • Covariance
    0.00626
  • r
    0.31149
  • b (slope, estimate of beta)
    1.28633
  • a (intercept, estimate of alpha)
    0.31555
  • Mean Square Error
    0.08998
  • DF error
    5.00000
  • t(b)
    0.73299
  • p(b)
    0.24824
  • t(a)
    0.55611
  • p(a)
    0.30105
  • Lowerbound of 95% confidence interval for beta
    -3.22501
  • Upperbound of 95% confidence interval for beta
    5.79766
  • Lowerbound of 95% confidence interval for alpha
    -1.14313
  • Upperbound of 95% confidence interval for alpha
    1.77423
  • Treynor index (mean / b)
    0.47868
  • Jensen alpha (a)
    0.31555
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56769
  • SD
    0.26951
  • Sharpe ratio (Glass type estimate)
    2.10641
  • Sharpe ratio (Hedges UMVUE)
    1.82968
  • df
    6.00000
  • t
    1.60880
  • p
    0.07939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85446
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93745
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59682
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.83464
  • Upside Potential Ratio
    7.14394
  • Upside part of mean
    0.69508
  • Downside part of mean
    -0.12739
  • Upside SD
    0.28222
  • Downside SD
    0.09730
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.22858
  • Mean of criterion
    0.56769
  • SD of predictor
    0.06854
  • SD of criterion
    0.26951
  • Covariance
    0.00662
  • r
    0.35828
  • b (slope, estimate of beta)
    1.40888
  • a (intercept, estimate of alpha)
    0.24565
  • Mean Square Error
    0.07597
  • DF error
    5.00000
  • t(b)
    0.85811
  • p(b)
    0.21502
  • t(a)
    0.47180
  • p(a)
    0.32847
  • Lowerbound of 95% confidence interval for beta
    -2.81180
  • Upperbound of 95% confidence interval for beta
    5.62956
  • Lowerbound of 95% confidence interval for alpha
    -1.09281
  • Upperbound of 95% confidence interval for alpha
    1.58410
  • Treynor index (mean / b)
    0.40294
  • Jensen alpha (a)
    0.24565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07749
  • Expected Shortfall on VaR
    0.10663
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00788
  • Expected Shortfall on VaR
    0.02376
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.93054
  • Quartile 1
    1.02836
  • Median
    1.04946
  • Quartile 3
    1.06440
  • Maximum
    1.20997
  • Mean of quarter 1
    0.97253
  • Mean of quarter 2
    1.04583
  • Mean of quarter 3
    1.06114
  • Mean of quarter 4
    1.13881
  • Inter Quartile Range
    0.03604
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.93054
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.20997
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06946
  • Quartile 1
    0.06946
  • Median
    0.06946
  • Quartile 3
    0.06946
  • Maximum
    0.06946
  • 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)
    0.71216
  • Compounded annual return (geometric extrapolation)
    0.81411
  • Calmar ratio (compounded annual return / max draw down)
    11.72130
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.63466
  • 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
    0.68413
  • SD
    0.29143
  • Sharpe ratio (Glass type estimate)
    2.34750
  • Sharpe ratio (Hedges UMVUE)
    2.33719
  • df
    171.00000
  • t
    1.90204
  • p
    0.40868
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77593
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09445
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76883
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.90102
  • Upside Potential Ratio
    11.36070
  • Upside part of mean
    1.99236
  • Downside part of mean
    -1.30823
  • Upside SD
    0.23552
  • Downside SD
    0.17537
  • N nonnegative terms
    93.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.16038
  • Mean of criterion
    0.68413
  • SD of predictor
    0.15818
  • SD of criterion
    0.29143
  • Covariance
    -0.00216
  • r
    -0.04684
  • b (slope, estimate of beta)
    -0.08631
  • a (intercept, estimate of alpha)
    0.69800
  • Mean Square Error
    0.08524
  • DF error
    170.00000
  • t(b)
    -0.61142
  • p(b)
    0.52342
  • t(a)
    1.93315
  • p(a)
    0.42667
  • Lowerbound of 95% confidence interval for beta
    -0.36495
  • Upperbound of 95% confidence interval for beta
    0.19234
  • Lowerbound of 95% confidence interval for alpha
    -0.01475
  • Upperbound of 95% confidence interval for alpha
    1.41070
  • Treynor index (mean / b)
    -7.92686
  • Jensen alpha (a)
    0.69797
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64143
  • SD
    0.28933
  • Sharpe ratio (Glass type estimate)
    2.21698
  • Sharpe ratio (Hedges UMVUE)
    2.20724
  • df
    171.00000
  • t
    1.79628
  • p
    0.41363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21654
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63752
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60210
  • Upside Potential Ratio
    11.03600
  • Upside part of mean
    1.96521
  • Downside part of mean
    -1.32378
  • Upside SD
    0.23040
  • Downside SD
    0.17807
  • N nonnegative terms
    93.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.14790
  • Mean of criterion
    0.64143
  • SD of predictor
    0.15796
  • SD of criterion
    0.28933
  • Covariance
    -0.00196
  • r
    -0.04292
  • b (slope, estimate of beta)
    -0.07861
  • a (intercept, estimate of alpha)
    0.65306
  • Mean Square Error
    0.08405
  • DF error
    170.00000
  • t(b)
    -0.56009
  • p(b)
    0.52146
  • t(a)
    1.82210
  • p(a)
    0.43080
  • Lowerbound of 95% confidence interval for beta
    -0.35566
  • Upperbound of 95% confidence interval for beta
    0.19844
  • Lowerbound of 95% confidence interval for alpha
    -0.05445
  • Upperbound of 95% confidence interval for alpha
    1.36057
  • Treynor index (mean / b)
    -8.15996
  • Jensen alpha (a)
    0.65306
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02659
  • Expected Shortfall on VaR
    0.03382
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01083
  • Expected Shortfall on VaR
    0.02205
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.95409
  • Quartile 1
    0.99437
  • Median
    1.00179
  • Quartile 3
    1.01109
  • Maximum
    1.08316
  • Mean of quarter 1
    0.98171
  • Mean of quarter 2
    0.99868
  • Mean of quarter 3
    1.00681
  • Mean of quarter 4
    1.02368
  • Inter Quartile Range
    0.01672
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.05814
  • Mean of outliers low
    0.96428
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04070
  • Mean of outliers high
    1.05462
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22289
  • VaR(95%) (moments method)
    0.01689
  • Expected Shortfall (moments method)
    0.02734
  • Extreme Value Index (regression method)
    -0.09703
  • VaR(95%) (regression method)
    0.01625
  • Expected Shortfall (regression method)
    0.02161
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00216
  • Quartile 1
    0.00427
  • Median
    0.01230
  • Quartile 3
    0.04323
  • Maximum
    0.18290
  • Mean of quarter 1
    0.00308
  • Mean of quarter 2
    0.00846
  • Mean of quarter 3
    0.02626
  • Mean of quarter 4
    0.09260
  • Inter Quartile Range
    0.03896
  • 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
    0.05882
  • Mean of outliers high
    0.18290
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.52027
  • VaR(95%) (moments method)
    0.10487
  • Expected Shortfall (moments method)
    0.22570
  • Extreme Value Index (regression method)
    2.16741
  • VaR(95%) (regression method)
    0.13051
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.84053
  • Compounded annual return (geometric extrapolation)
    0.95295
  • Calmar ratio (compounded annual return / max draw down)
    5.21013
  • Compounded annual return / average of 25% largest draw downs
    10.29120
  • Compounded annual return / Expected Shortfall lognormal
    28.18100
  • 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
    0.41093
  • SD
    0.29600
  • Sharpe ratio (Glass type estimate)
    1.38828
  • Sharpe ratio (Hedges UMVUE)
    1.38026
  • df
    130.00000
  • t
    0.98166
  • p
    0.45711
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16256
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15714
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19848
  • Upside Potential Ratio
    10.13050
  • Upside part of mean
    1.89353
  • Downside part of mean
    -1.48260
  • Upside SD
    0.22946
  • Downside SD
    0.18691
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09692
  • Mean of criterion
    0.41093
  • SD of predictor
    0.12978
  • SD of criterion
    0.29600
  • Covariance
    -0.00061
  • r
    -0.01584
  • b (slope, estimate of beta)
    -0.03613
  • a (intercept, estimate of alpha)
    0.41443
  • Mean Square Error
    0.08827
  • DF error
    129.00000
  • t(b)
    -0.17995
  • p(b)
    0.51009
  • t(a)
    0.98528
  • p(a)
    0.44505
  • Lowerbound of 95% confidence interval for beta
    -0.43340
  • Upperbound of 95% confidence interval for beta
    0.36113
  • Lowerbound of 95% confidence interval for alpha
    -0.41778
  • Upperbound of 95% confidence interval for alpha
    1.24664
  • Treynor index (mean / b)
    -11.37280
  • Jensen alpha (a)
    0.41443
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36752
  • SD
    0.29407
  • Sharpe ratio (Glass type estimate)
    1.24976
  • Sharpe ratio (Hedges UMVUE)
    1.24253
  • df
    130.00000
  • t
    0.88371
  • p
    0.46136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52851
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02343
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01845
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93635
  • Upside Potential Ratio
    9.84082
  • Upside part of mean
    1.86779
  • Downside part of mean
    -1.50027
  • Upside SD
    0.22430
  • Downside SD
    0.18980
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08851
  • Mean of criterion
    0.36752
  • SD of predictor
    0.13019
  • SD of criterion
    0.29407
  • Covariance
    -0.00049
  • r
    -0.01268
  • b (slope, estimate of beta)
    -0.02865
  • a (intercept, estimate of alpha)
    0.37006
  • Mean Square Error
    0.08714
  • DF error
    129.00000
  • t(b)
    -0.14406
  • p(b)
    0.50807
  • t(a)
    0.88566
  • p(a)
    0.45056
  • Lowerbound of 95% confidence interval for beta
    -0.42211
  • Upperbound of 95% confidence interval for beta
    0.36481
  • Lowerbound of 95% confidence interval for alpha
    -0.45663
  • Upperbound of 95% confidence interval for alpha
    1.19674
  • Treynor index (mean / b)
    -12.82860
  • Jensen alpha (a)
    0.37006
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02808
  • Expected Shortfall on VaR
    0.03541
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01273
  • Expected Shortfall on VaR
    0.02500
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95409
  • Quartile 1
    0.99301
  • Median
    1.00069
  • Quartile 3
    1.01080
  • Maximum
    1.08316
  • Mean of quarter 1
    0.98021
  • Mean of quarter 2
    0.99759
  • Mean of quarter 3
    1.00646
  • Mean of quarter 4
    1.02259
  • Inter Quartile Range
    0.01779
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96246
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06027
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06234
  • VaR(95%) (moments method)
    0.01766
  • Expected Shortfall (moments method)
    0.02515
  • Extreme Value Index (regression method)
    -0.13417
  • VaR(95%) (regression method)
    0.01822
  • Expected Shortfall (regression method)
    0.02371
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00234
  • Quartile 1
    0.00937
  • Median
    0.01407
  • Quartile 3
    0.04766
  • Maximum
    0.18290
  • Mean of quarter 1
    0.00435
  • Mean of quarter 2
    0.01291
  • Mean of quarter 3
    0.02929
  • Mean of quarter 4
    0.10878
  • Inter Quartile Range
    0.03829
  • 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
    0.09091
  • Mean of outliers high
    0.18290
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.01553
  • VaR(95%) (moments method)
    0.11767
  • Expected Shortfall (moments method)
    0.12117
  • Extreme Value Index (regression method)
    0.22266
  • VaR(95%) (regression method)
    0.19088
  • Expected Shortfall (regression method)
    0.32287
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43723
  • Compounded annual return (geometric extrapolation)
    0.48502
  • Calmar ratio (compounded annual return / max draw down)
    2.65177
  • Compounded annual return / average of 25% largest draw downs
    4.45888
  • Compounded annual return / Expected Shortfall lognormal
    13.69810

Strategy Description

Short version: What this strategy does is combine several different volatility strategies into one and dynamically changes which strategy to follow based on specific indicators.

Longer version: This strategy follows a simple premise that most current volatility strategies that you can subscribe to were 1) constructed in a period of relative market calm prior to 2018 and 2) use quite a bit of simulated data to justify how their model works (usually the 2004 to 2009/2010 timeframe). Both conditions lead to strategies that are not well suited for the market environment we find ourselves in now. Most strategies (especially those based on a VRP based model with an extended lookback period) are prone to presuming an extended trend following pattern. When this pattern doesn't exist (as in 2018), extended drawdowns are the result. This strategy works to improve on the traditional volatility based strategies by dynamically changing the model it follows based on current market conditions.

11 Aug 2019 Update: I've had a few recurring questions from potential subscribers that I'll address here: 1) This is a long only strategy with no margin use so it is IRA friendly 2) My primary positions in this model are long SPXL (short vol), long VXX (long vol) or Cash. Alternative positions may include long SVXY (short vol) or long TVIX (long vol) depending on market conditions 3) All trades will be done at or as close to market open as possible - so no day trading in the model as well 4) Historical backtest results show a short vol position 71% of the time, long vol 18% of the time and cash 11% of the time -short vol positions tend to be more drawn out (and thus the model will seem to be on auto pilot) whereas long vol or cash positions will see more trading activity with shorter duration positions. If you have any additional questions, feel free to message me directly.

Summary Statistics

Includes fees & commissions
Strategy began
2018-12-14
Suggested Minimum Capital
$80,000
# Trades
19
# Profitable
8
% Profitable
42.1%
Net Dividends
Correlation S&P500
-0.030
Sharpe Ratio
1.82
Sortino Ratio
2.87
Beta
-0.06
Alpha
0.18
Leverage
1.56 Average
3.88 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 AutoTrade Systems 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.

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

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