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Carnegie Vol Options
(122840536)

Created by: Carnegie42 Carnegie42
Started: 03/2019
Options
Last trade: 3 days ago
Trading style: Options Short Volatility

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.

Trading Category: Options
Short Volatility
Category: Equity

Short Volatility

This strategy employs one of the several ways that are available to construct a portfolio that will profit when volatility decreases or remains the same.
2.7%
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.

(6.8%)
Max Drawdown
16
Num Trades
56.2%
Win Trades
1.3 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              (3.3%)+9.7%(3.1%)                                          +2.7%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 14 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/17/19 13:43 UVXY1924Q46 UVXY May24'19 46 put LONG 9 10.90 5/20 14:34 9.10 6.55%
Trade id #123717533
Max drawdown($1,692)
Time5/20/19 11:26
Quant open9
Worst price9.02
Drawdown as % of equity-6.55%
($1,633)
Includes Typical Broker Commissions trade costs of $12.60
5/14/19 14:13 UVXY1917Q50 UVXY May17'19 50 put LONG 6 9.80 5/15 13:52 11.30 4.43%
Trade id #123668794
Max drawdown($1,170)
Time5/15/19 9:38
Quant open6
Worst price7.85
Drawdown as % of equity-4.43%
$892
Includes Typical Broker Commissions trade costs of $8.40
5/10/19 14:29 UVXY1917Q50 UVXY May17'19 50 put LONG 2 11.90 5/10 15:56 13.30 n/a $277
Includes Typical Broker Commissions trade costs of $2.80
5/3/19 15:30 UVXY1910Q37 UVXY May10'19 37 put LONG 3 5.95 5/6 14:26 2.80 3.77%
Trade id #123525214
Max drawdown($1,035)
Time5/6/19 13:03
Quant open3
Worst price2.50
Drawdown as % of equity-3.77%
($949)
Includes Typical Broker Commissions trade costs of $4.20
5/2/19 14:27 UVXY1910Q38 UVXY May10'19 38 put LONG 8 5.65 5/3 13:29 6.80 n/a $909
Includes Typical Broker Commissions trade costs of $11.20
4/30/19 10:40 UVXY1903Q37 UVXY May3'19 37 put LONG 12 5.00 5/1 15:11 5.05 0.23%
Trade id #123477155
Max drawdown($60)
Time4/30/19 11:38
Quant open12
Worst price4.95
Drawdown as % of equity-0.23%
$43
Includes Typical Broker Commissions trade costs of $16.80
4/12/19 10:00 UVXY1918P39 UVXY Apr18'19 39 put LONG 6 5.64 4/16 12:46 7.19 1.35%
Trade id #123294960
Max drawdown($336)
Time4/12/19 11:09
Quant open6
Worst price5.08
Drawdown as % of equity-1.35%
$922
Includes Typical Broker Commissions trade costs of $8.40
4/11/19 13:49 UVXY1918P42 UVXY Apr18'19 42 put LONG 4 7.05 4/15 14:13 9.43 0.51%
Trade id #123285578
Max drawdown($124)
Time4/11/19 14:15
Quant open4
Worst price6.74
Drawdown as % of equity-0.51%
$946
Includes Typical Broker Commissions trade costs of $5.60
4/8/19 13:49 UVXY1912P43 UVXY Apr12'19 43 put LONG 2 6.85 4/9 13:35 6.05 0.65%
Trade id #123243849
Max drawdown($160)
Time4/9/19 13:35
Quant open0
Worst price6.05
Drawdown as % of equity-0.65%
($163)
Includes Typical Broker Commissions trade costs of $2.80
4/4/19 13:39 UVXY1912P45 UVXY Apr12'19 45 put LONG 6 7.59 4/5 13:33 8.46 n/a $515
Includes Typical Broker Commissions trade costs of $8.40
4/4/19 13:33 UVXY1912D45 UVXY Apr12'19 45 call LONG 6 0.42 4/4 13:36 0.40 0.05%
Trade id #123205617
Max drawdown($12)
Time4/4/19 13:36
Quant open0
Worst price0.40
Drawdown as % of equity-0.05%
($20)
Includes Typical Broker Commissions trade costs of $8.40
4/2/19 13:54 UVXY1905P45 UVXY Apr5'19 45 put LONG 2 7.33 4/4 9:30 7.00 0.48%
Trade id #123172401
Max drawdown($116)
Time4/3/19 14:44
Quant open2
Worst price6.75
Drawdown as % of equity-0.48%
($69)
Includes Typical Broker Commissions trade costs of $2.80
3/21/19 15:40 UVXY1922O45 UVXY Mar22'19 45 put LONG 2 7.20 3/22 14:26 2.80 5.24%
Trade id #123019800
Max drawdown($1,274)
Time3/22/19 12:48
Quant open2
Worst price0.83
Drawdown as % of equity-5.24%
($883)
Includes Typical Broker Commissions trade costs of $2.80
3/19/19 15:28 UVXY1922O46 UVXY Mar22'19 46 put LONG 5 7.60 3/20 14:10 7.85 1.12%
Trade id #122976349
Max drawdown($275)
Time3/20/19 10:33
Quant open5
Worst price7.05
Drawdown as % of equity-1.12%
$118
Includes Typical Broker Commissions trade costs of $7.00
3/15/19 13:50 UVXY1922O45 UVXY Mar22'19 45 put LONG 10 7.82 3/18 14:40 7.55 2.28%
Trade id #122931119
Max drawdown($574)
Time3/15/19 15:55
Quant open10
Worst price7.25
Drawdown as % of equity-2.28%
($288)
Includes Typical Broker Commissions trade costs of $14.00
3/11/19 13:50 UVXY1915O52 UVXY Mar15'19 52 put LONG 2 9.30 3/12 11:27 10.85 0.08%
Trade id #122867372
Max drawdown($20)
Time3/11/19 14:44
Quant open2
Worst price9.20
Drawdown as % of equity-0.08%
$307
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    3/8/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    75.8
  • Age
    76 days ago
  • What it trades
    Options
  • # Trades
    16
  • # Profitable
    9
  • % Profitable
    56.20%
  • Avg trade duration
    1.7 days
  • Max peak-to-valley drawdown
    6.8%
  • drawdown period
    May 15, 2019 - May 20, 2019
  • Cumul. Return
    2.7%
  • Avg win
    $555.56
  • Avg loss
    $565.29
  • Model Account Values (Raw)
  • Cash
    $26,043
  • Margin Used
    $0
  • Buying Power
    $26,043
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    0.57
  • Sortino Ratio
    0.78
  • Calmar Ratio
    3.678
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.42580
  • Return Statistics
  • Ann Return (w trading costs)
    13.3%
  • Ann Return (Compnd, No Fees)
    21.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    690
  • Popularity (Last 6 weeks)
    774
  • C2 Score
    50.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Win
    $556
  • Avg Loss
    $565
  • # Winners
    9
  • # Losers
    7
  • % Winners
    56.2%
  • Frequency
  • Avg Position Time (mins)
    2425.80
  • Avg Position Time (hrs)
    40.43
  • Avg Trade Length
    1.7 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.19
  • Daily leverage (max)
    0.36
  • Unknown
  • Alpha
    -0.00
  • Beta
    0.81
  • Treynor Index
    0.05
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.11300

Strategy Description

Recent events in the volatility world have shown how risky it is. Being short UVXY can lead to more than 100% losses of capital during extreme events. If you short UVXY, we feel that it is almost inevitable that at some point in the future you will suffer catastrophic losses. We use PUTS on UVXY to limit risk while allowing us to participate in the potential gains that were on display in the past. We used techniques learned at Carnegie Mellon University's school of Computer Science to create a proprietary signal that in the past decade was active about 25% of the time.
Backtesting is a dangerous game - it is very easy to over-optimize parameters but still convince yourself that you have a valid system. We use a set of indicators that are grounded in reality and have been validated 1) over the lifetime of UVXY, 2) over our own simulations of UVXY that go back to 2004, and 3) over more general price data that goes back even further. We also have developed our money management strategy with an emphasis on minimizing drawdown and ulcer index. Having said all of that, we still urge you to only use funds that can be lost without much distress; these products are inherently risky.
This product is similar to Carnegie Volatility, which uses SVXY as the trading vehicle (with corresponding lower profit/risk potentials). It is also similar to Carnegie Vol OTB. "OTB" stands for "only the best." In OTB we use only the best signals and trades approx 15% of the time (compared to approx 20% for the other two products). This reduces the potential gains somewhat but also reduces exposure to the volatility market while (at least in the past) achieving most of the gains.
Please see CarnegieVolatility.com for a fuller description of our methodology.

Summary Statistics

Includes fees & commissions
Strategy began
2019-03-08
Suggested Minimum Capital
$25,000
# Trades
16
# Profitable
9
% Profitable
56.2%
Correlation S&P500
0.426
Sharpe Ratio
0.57
Sortino Ratio
0.78
Beta
0.81
Alpha
-0.00
Leverage
0.19 Average
0.36 Maximum

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 nominal 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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