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These are hypothetical performance results that have certain inherent limitations. Learn more
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DailySchwung
(124387117)

Created by: Mowglian Mowglian
Started: 07/2019
Stocks, Options
Last trade: 1,237 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 $20.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Options
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.
-2.1%
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.

(77.9%)
Max Drawdown
206
Num Trades
84.0%
Win Trades
1.0 : 1
Profit Factor
51.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                          +1.5%(12.5%)+1.6%+0.1%(3.9%)+10.1%(4.3%)
2020(7.4%)(30.7%)(48.2%)+11.8%+14.5%+10.7%+6.6%(1.5%)(0.6%)(0.6%)+10.7%+0.7%(45.6%)
2021(3%)+4.0%+3.0%+0.7%+0.8%+0.6%  -  +0.5%(0.3%)+0.5%  -  +0.3%+7.3%
2022(0.3%)(0.2%)+0.5%(0.2%)+0.1%  -  +0.2%+0.1%(0.2%)  -  +0.3%+0.1%+0.4%
2023+0.1%  -  +0.1%+0.1%  -  +1.1%  -    -    -    -  +0.1%  -  +1.5%
2024  -    -    -  +58.6%                                                +58.6%

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/20 9:34 UVXY2004L11.5 UVXY Dec4'20 11.5 call SHORT 1 0.45 12/5 9:35 0.00 0.35%
Trade id #132498096
Max drawdown($45)
Time11/30/20 0:00
Quant open1
Worst price0.90
Drawdown as % of equity-0.35%
 $44
Includes Typical Broker Commissions trade costs of $1.00
10/26/20 10:48 UVXY2030J18 UVXY Oct30'20 18 call SHORT 1 1.00 10/31 9:35 0.00 3.44%
Trade id #131896836
Max drawdown($415)
Time10/28/20 0:00
Quant open1
Worst price5.15
Drawdown as % of equity-3.44%
 $99
Includes Typical Broker Commissions trade costs of $1.00
10/16/20 10:20 UVXY2023J17 UVXY Oct23'20 17 call SHORT 1 0.66 10/24 9:35 0.00 0.72%
Trade id #131736983
Max drawdown($86)
Time10/19/20 0:00
Quant open1
Worst price1.52
Drawdown as % of equity-0.72%
 $65
Includes Typical Broker Commissions trade costs of $1.00
10/20/20 10:52 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 100 17.93 10/21 14:01 17.40 0.16%
Trade id #131794516
Max drawdown($19)
Time10/21/20 11:22
Quant open100
Worst price18.12
Drawdown as % of equity-0.16%
 $51
Includes Typical Broker Commissions trade costs of $2.00
10/19/20 10:36 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 100 17.07 10/19 12:44 16.80 0.15%
Trade id #131768422
Max drawdown($18)
Time10/19/20 10:45
Quant open100
Worst price17.25
Drawdown as % of equity-0.15%
 $25
Includes Typical Broker Commissions trade costs of $2.00
10/13/20 13:56 UVXY2016J17 UVXY Oct16'20 17 call SHORT 1 0.65 10/17 9:35 0.00 0.25%
Trade id #131674856
Max drawdown($29)
Time10/15/20 0:00
Quant open1
Worst price0.94
Drawdown as % of equity-0.25%
 $64
Includes Typical Broker Commissions trade costs of $1.00
10/16/20 10:33 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 100 16.30 10/16 14:04 16.50 0.04%
Trade id #131737582
Max drawdown($5)
Time10/16/20 10:46
Quant open100
Worst price16.25
Drawdown as % of equity-0.04%
 $18
Includes Typical Broker Commissions trade costs of $2.00
10/5/20 11:39 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 250 18.30 10/15 9:38 17.82 3.39%
Trade id #131519295
Max drawdown($400)
Time10/12/20 0:00
Quant open200
Worst price16.30
Drawdown as % of equity-3.39%
 ($125)
Includes Typical Broker Commissions trade costs of $5.00
10/9/20 9:46 UVXY2009V17 UVXY Oct9'20 17 put SHORT 1 0.10 10/10 9:35 0.00 0.14%
Trade id #131612614
Max drawdown($16)
Time10/9/20 11:46
Quant open1
Worst price0.26
Drawdown as % of equity-0.14%
 $9
Includes Typical Broker Commissions trade costs of $1.00
10/2/20 9:55 UVXY2009J23 UVXY Oct9'20 23 call SHORT 1 1.02 10/10 9:35 0.00 0.02%
Trade id #131484563
Max drawdown($2)
Time10/2/20 10:21
Quant open1
Worst price1.04
Drawdown as % of equity-0.02%
 $101
Includes Typical Broker Commissions trade costs of $1.00
9/28/20 10:09 UVXY2002J22 UVXY Oct2'20 22 call SHORT 1 0.50 10/3 9:35 0.00 0.04%
Trade id #131393490
Max drawdown($5)
Time9/28/20 11:22
Quant open1
Worst price0.55
Drawdown as % of equity-0.04%
 $49
Includes Typical Broker Commissions trade costs of $1.00
10/2/20 9:54 UVXY2002J21 UVXY Oct2'20 21 call SHORT 1 0.63 10/3 9:35 0.00 0.04%
Trade id #131484508
Max drawdown($5)
Time10/2/20 10:25
Quant open1
Worst price0.68
Drawdown as % of equity-0.04%
 $62
Includes Typical Broker Commissions trade costs of $1.00
9/25/20 10:22 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 150 20.83 10/3 9:35 20.67 2.03%
Trade id #131363636
Max drawdown($237)
Time9/30/20 0:00
Quant open150
Worst price19.25
Drawdown as % of equity-2.03%
 ($28)
Includes Typical Broker Commissions trade costs of $3.00
9/22/20 13:36 UVXY2025I22 UVXY Sep25'20 22 call SHORT 1 0.75 9/26 9:35 0.00 0.38%
Trade id #131298863
Max drawdown($45)
Time9/24/20 0:00
Quant open1
Worst price1.20
Drawdown as % of equity-0.38%
 $74
Includes Typical Broker Commissions trade costs of $1.00
9/24/20 9:37 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 50 22.38 9/24 9:47 22.00 0.09%
Trade id #131339652
Max drawdown($10)
Time9/24/20 9:41
Quant open50
Worst price22.59
Drawdown as % of equity-0.09%
 $18
Includes Typical Broker Commissions trade costs of $1.00
9/8/20 10:08 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 500 22.30 9/23 12:00 21.48 6.43%
Trade id #131064883
Max drawdown($741)
Time9/16/20 0:00
Quant open200
Worst price19.28
Drawdown as % of equity-6.43%
 ($422)
Includes Typical Broker Commissions trade costs of $10.00
9/8/20 9:47 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 50 27.48 9/8 9:53 27.00 0.12%
Trade id #131060517
Max drawdown($15)
Time9/8/20 9:50
Quant open50
Worst price27.78
Drawdown as % of equity-0.12%
 $23
Includes Typical Broker Commissions trade costs of $1.00
8/28/20 9:46 UVXY2004I26 UVXY Sep4'20 26 call SHORT 1 1.20 9/5 9:35 0.00 4.26%
Trade id #130855622
Max drawdown($500)
Time9/4/20 0:00
Quant open1
Worst price6.20
Drawdown as % of equity-4.26%
 $119
Includes Typical Broker Commissions trade costs of $1.00
8/20/20 9:33 UVXY2004I25 UVXY Sep4'20 25 call SHORT 1 1.20 9/5 9:35 0.00 4.94%
Trade id #130706881
Max drawdown($580)
Time9/4/20 0:00
Quant open1
Worst price7.00
Drawdown as % of equity-4.94%
 $119
Includes Typical Broker Commissions trade costs of $1.00
7/16/20 9:48 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 950 23.99 9/5 9:35 23.02 15.47%
Trade id #130114577
Max drawdown($1,689)
Time8/19/20 0:00
Quant open300
Worst price19.15
Drawdown as % of equity-15.47%
 ($942)
Includes Typical Broker Commissions trade costs of $19.00
8/28/20 9:44 UVXY2028H24 UVXY Aug28'20 24 call SHORT 1 0.21 8/29 9:35 0.00 0.1%
Trade id #130855227
Max drawdown($12)
Time8/28/20 10:14
Quant open1
Worst price0.33
Drawdown as % of equity-0.10%
 $20
Includes Typical Broker Commissions trade costs of $1.00
8/25/20 9:47 UVXY2028H22 UVXY Aug28'20 22 call SHORT 1 0.50 8/29 9:35 0.00 1.34%
Trade id #130775670
Max drawdown($152)
Time8/27/20 0:00
Quant open1
Worst price2.02
Drawdown as % of equity-1.34%
 $49
Includes Typical Broker Commissions trade costs of $1.00
8/11/20 13:36 UVXY2028H26 UVXY Aug28'20 26 call SHORT 1 1.05 8/29 9:35 0.00 0.61%
Trade id #130563902
Max drawdown($68)
Time8/11/20 15:44
Quant open1
Worst price1.73
Drawdown as % of equity-0.61%
 $104
Includes Typical Broker Commissions trade costs of $1.00
8/11/20 14:29 UVXY2021H25 UVXY Aug21'20 25 call SHORT 1 0.80 8/22 9:35 0.00 0.78%
Trade id #130565126
Max drawdown($91)
Time8/11/20 15:53
Quant open1
Worst price1.71
Drawdown as % of equity-0.78%
 $79
Includes Typical Broker Commissions trade costs of $1.00
8/11/20 10:10 UVXY2014H24 UVXY Aug14'20 24 call SHORT 1 0.35 8/15 9:35 0.00 0.65%
Trade id #130558856
Max drawdown($75)
Time8/11/20 15:53
Quant open1
Worst price1.10
Drawdown as % of equity-0.65%
 $34
Includes Typical Broker Commissions trade costs of $1.00
7/30/20 9:56 UVXY2031G28 UVXY Jul31'20 28 call SHORT 1 1.00 8/1 9:35 0.00 0.57%
Trade id #130363894
Max drawdown($72)
Time7/30/20 10:22
Quant open1
Worst price1.72
Drawdown as % of equity-0.57%
 $99
Includes Typical Broker Commissions trade costs of $1.00
7/24/20 11:24 UVXY2024G27.5 UVXY Jul24'20 27.5 call SHORT 1 0.63 7/25 9:35 0.00 0.63%
Trade id #130262714
Max drawdown($78)
Time7/24/20 13:14
Quant open1
Worst price1.41
Drawdown as % of equity-0.63%
 $62
Includes Typical Broker Commissions trade costs of $1.00
7/23/20 12:02 UVXY2024G26 UVXY Jul24'20 26 call SHORT 1 0.65 7/25 9:35 0.00 1.82%
Trade id #130241623
Max drawdown($225)
Time7/24/20 0:00
Quant open1
Worst price2.90
Drawdown as % of equity-1.82%
 $64
Includes Typical Broker Commissions trade costs of $1.00
7/24/20 13:16 UVXY2024G29 UVXY Jul24'20 29 call SHORT 1 0.50 7/25 9:35 0.00 n/a $49
Includes Typical Broker Commissions trade costs of $1.00
7/17/20 10:17 UVXY2024G33 UVXY Jul24'20 33 call SHORT 1 1.01 7/23 12:08 0.05 0.08%
Trade id #130135203
Max drawdown($10)
Time7/17/20 10:26
Quant open1
Worst price1.11
Drawdown as % of equity-0.08%
 $94
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    7/9/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1749.45
  • Age
    58 months ago
  • What it trades
    Stocks, Options
  • # Trades
    206
  • # Profitable
    173
  • % Profitable
    84.00%
  • Avg trade duration
    12.8 days
  • Max peak-to-valley drawdown
    77.91%
  • drawdown period
    July 19, 2019 - March 18, 2020
  • Annual Return (Compounded)
    -2.1%
  • Avg win
    $165.22
  • Avg loss
    $892.70
  • Model Account Values (Raw)
  • Cash
    $24,155
  • Margin Used
    $36,050
  • Buying Power
    ($1,480)
  • Ratios
  • W:L ratio
    0.97:1
  • Sharpe Ratio
    0.05
  • Sortino Ratio
    0.09
  • Calmar Ratio
    -0.026
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -77.95%
  • Correlation to SP500
    0.13970
  • Return Percent SP500 (cumu) during strategy life
    68.94%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.1%
  • Slump
  • Current Slump as Pcnt Equity
    14.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    74.14%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.021%
  • Instruments
  • Percent Trades Options
    0.42%
  • Percent Trades Stocks
    0.58%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    93.00%
  • Chance of 60% account loss (Monte Carlo)
    13.00%
  • Chance of 70% account loss (Monte Carlo)
    2.00%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    45.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $893
  • Avg Win
    $165
  • Sum Trade PL (losers)
    $29,459.000
  • Age
  • Num Months filled monthly returns table
    58
  • Win / Loss
  • Sum Trade PL (winners)
    $28,583.000
  • # Winners
    173
  • Num Months Winners
    37
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    33
  • % Winners
    84.0%
  • Frequency
  • Avg Position Time (mins)
    18474.10
  • Avg Position Time (hrs)
    307.90
  • Avg Trade Length
    12.8 days
  • Last Trade Ago
    1234
  • Leverage
  • Daily leverage (average)
    0.83
  • Daily leverage (max)
    4.59
  • Regression
  • Alpha
    -0.00
  • Beta
    0.25
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.01
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -26.471
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    1.192
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.366
  • Hold-and-Hope Ratio
    -0.019
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10217
  • SD
    0.50756
  • Sharpe ratio (Glass type estimate)
    -0.20129
  • Sharpe ratio (Hedges UMVUE)
    -0.19433
  • df
    22.00000
  • t
    -0.27867
  • p
    0.60845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61597
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22254
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.23344
  • Upside Potential Ratio
    0.97500
  • Upside part of mean
    0.42671
  • Downside part of mean
    -0.52887
  • Upside SD
    0.23611
  • Downside SD
    0.43765
  • N nonnegative terms
    17.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.26824
  • Mean of criterion
    -0.10217
  • SD of predictor
    0.29795
  • SD of criterion
    0.50756
  • Covariance
    0.07927
  • r
    0.52415
  • b (slope, estimate of beta)
    0.89291
  • a (intercept, estimate of alpha)
    -0.34168
  • Mean Square Error
    0.19574
  • DF error
    21.00000
  • t(b)
    2.82043
  • p(b)
    0.18230
  • t(a)
    -1.03332
  • p(a)
    0.63890
  • Lowerbound of 95% confidence interval for beta
    0.23453
  • Upperbound of 95% confidence interval for beta
    1.55129
  • Lowerbound of 95% confidence interval for alpha
    -1.02933
  • Upperbound of 95% confidence interval for alpha
    0.34597
  • Treynor index (mean / b)
    -0.11442
  • Jensen alpha (a)
    -0.34168
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.26860
  • SD
    0.63815
  • Sharpe ratio (Glass type estimate)
    -0.42090
  • Sharpe ratio (Hedges UMVUE)
    -0.40636
  • df
    22.00000
  • t
    -0.58271
  • p
    0.71699
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82715
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01443
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45442
  • Upside Potential Ratio
    0.67874
  • Upside part of mean
    0.40119
  • Downside part of mean
    -0.66979
  • Upside SD
    0.21486
  • Downside SD
    0.59108
  • N nonnegative terms
    17.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.21871
  • Mean of criterion
    -0.26860
  • SD of predictor
    0.32048
  • SD of criterion
    0.63815
  • Covariance
    0.12788
  • r
    0.62529
  • b (slope, estimate of beta)
    1.24510
  • a (intercept, estimate of alpha)
    -0.54092
  • Mean Square Error
    0.25982
  • DF error
    21.00000
  • t(b)
    3.67179
  • p(b)
    0.12965
  • t(a)
    -1.44022
  • p(a)
    0.68797
  • Lowerbound of 95% confidence interval for beta
    0.53990
  • Upperbound of 95% confidence interval for beta
    1.95029
  • Lowerbound of 95% confidence interval for alpha
    -1.32199
  • Upperbound of 95% confidence interval for alpha
    0.24014
  • Treynor index (mean / b)
    -0.21573
  • Jensen alpha (a)
    -0.54092
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.27776
  • Expected Shortfall on VaR
    0.32975
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06041
  • Expected Shortfall on VaR
    0.15020
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.47521
  • Quartile 1
    1.00287
  • Median
    1.01236
  • Quartile 3
    1.04991
  • Maximum
    1.27110
  • Mean of quarter 1
    0.83338
  • Mean of quarter 2
    1.00788
  • Mean of quarter 3
    1.02913
  • Mean of quarter 4
    1.11075
  • Inter Quartile Range
    0.04704
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.13043
  • Mean of outliers low
    0.69184
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.27110
  • 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)
    0.49676
  • VaR(95%) (regression method)
    0.30035
  • Expected Shortfall (regression method)
    0.83978
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.15646
  • Quartile 1
    0.28230
  • Median
    0.40814
  • Quartile 3
    0.53398
  • Maximum
    0.65981
  • Mean of quarter 1
    0.15646
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.65981
  • Inter Quartile Range
    0.25167
  • 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)
    -0.19281
  • Compounded annual return (geometric extrapolation)
    -0.21392
  • Calmar ratio (compounded annual return / max draw down)
    -0.32421
  • Compounded annual return / average of 25% largest draw downs
    -0.32421
  • Compounded annual return / Expected Shortfall lognormal
    -0.64872
  • 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
    0.08093
  • SD
    0.53617
  • Sharpe ratio (Glass type estimate)
    0.15094
  • Sharpe ratio (Hedges UMVUE)
    0.15071
  • df
    511.00000
  • t
    0.21100
  • p
    0.41649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55295
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55279
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26157
  • Upside Potential Ratio
    5.12322
  • Upside part of mean
    1.58507
  • Downside part of mean
    -1.50414
  • Upside SD
    0.43729
  • Downside SD
    0.30939
  • N nonnegative terms
    275.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    512.00000
  • Mean of predictor
    0.29483
  • Mean of criterion
    0.08093
  • SD of predictor
    0.33566
  • SD of criterion
    0.53617
  • Covariance
    0.01609
  • r
    0.08942
  • b (slope, estimate of beta)
    0.14284
  • a (intercept, estimate of alpha)
    0.03900
  • Mean Square Error
    0.28574
  • DF error
    510.00000
  • t(b)
    2.02756
  • p(b)
    0.02156
  • t(a)
    0.10136
  • p(a)
    0.45965
  • Lowerbound of 95% confidence interval for beta
    0.00443
  • Upperbound of 95% confidence interval for beta
    0.28125
  • Lowerbound of 95% confidence interval for alpha
    -0.71354
  • Upperbound of 95% confidence interval for alpha
    0.79117
  • Treynor index (mean / b)
    0.56656
  • Jensen alpha (a)
    0.03881
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04712
  • SD
    0.49499
  • Sharpe ratio (Glass type estimate)
    -0.09519
  • Sharpe ratio (Hedges UMVUE)
    -0.09505
  • df
    511.00000
  • t
    -0.13306
  • p
    0.55290
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49725
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30688
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30702
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14399
  • Upside Potential Ratio
    4.60988
  • Upside part of mean
    1.50842
  • Downside part of mean
    -1.55554
  • Upside SD
    0.37077
  • Downside SD
    0.32721
  • N nonnegative terms
    275.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    512.00000
  • Mean of predictor
    0.23806
  • Mean of criterion
    -0.04712
  • SD of predictor
    0.33750
  • SD of criterion
    0.49499
  • Covariance
    0.02127
  • r
    0.12732
  • b (slope, estimate of beta)
    0.18673
  • a (intercept, estimate of alpha)
    -0.09157
  • Mean Square Error
    0.24151
  • DF error
    510.00000
  • t(b)
    2.89881
  • p(b)
    0.00195
  • t(a)
    -0.26022
  • p(a)
    0.60260
  • Lowerbound of 95% confidence interval for beta
    0.06017
  • Upperbound of 95% confidence interval for beta
    0.31328
  • Lowerbound of 95% confidence interval for alpha
    -0.78289
  • Upperbound of 95% confidence interval for alpha
    0.59975
  • Treynor index (mean / b)
    -0.25233
  • Jensen alpha (a)
    -0.09157
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04923
  • Expected Shortfall on VaR
    0.06124
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01208
  • Expected Shortfall on VaR
    0.02773
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    512.00000
  • Minimum
    0.82581
  • Quartile 1
    0.99770
  • Median
    1.00032
  • Quartile 3
    1.00436
  • Maximum
    1.52765
  • Mean of quarter 1
    0.97775
  • Mean of quarter 2
    0.99951
  • Mean of quarter 3
    1.00190
  • Mean of quarter 4
    1.02250
  • Inter Quartile Range
    0.00666
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.10547
  • Mean of outliers low
    0.95587
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.09961
  • Mean of outliers high
    1.04416
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.92368
  • VaR(95%) (moments method)
    0.01653
  • Expected Shortfall (moments method)
    0.23827
  • Extreme Value Index (regression method)
    0.38556
  • VaR(95%) (regression method)
    0.01670
  • Expected Shortfall (regression method)
    0.03616
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00938
  • Quartile 1
    0.01049
  • Median
    0.01160
  • Quartile 3
    0.36560
  • Maximum
    0.71961
  • Mean of quarter 1
    0.00938
  • Mean of quarter 2
    0.01160
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.71961
  • Inter Quartile Range
    0.35511
  • 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)
    -0.01885
  • Compounded annual return (geometric extrapolation)
    -0.01903
  • Calmar ratio (compounded annual return / max draw down)
    -0.02644
  • Compounded annual return / average of 25% largest draw downs
    -0.02644
  • Compounded annual return / Expected Shortfall lognormal
    -0.31067
  • 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
    1.19026
  • SD
    0.74635
  • Sharpe ratio (Glass type estimate)
    1.59478
  • Sharpe ratio (Hedges UMVUE)
    1.58557
  • df
    130.00000
  • t
    1.12768
  • p
    0.45079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.37034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36406
  • Statistics related to Sortino ratio
  • Sortino ratio
    73.43540
  • Upside Potential Ratio
    79.23850
  • Upside part of mean
    1.28432
  • Downside part of mean
    -0.09406
  • Upside SD
    0.74695
  • Downside SD
    0.01621
  • 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
    0.63616
  • Mean of criterion
    1.19026
  • SD of predictor
    0.43312
  • SD of criterion
    0.74635
  • Covariance
    -0.04558
  • r
    -0.14100
  • b (slope, estimate of beta)
    -0.24297
  • a (intercept, estimate of alpha)
    1.34483
  • Mean Square Error
    0.55019
  • DF error
    129.00000
  • t(b)
    -1.61764
  • p(b)
    0.58947
  • t(a)
    1.27674
  • p(a)
    0.42903
  • Lowerbound of 95% confidence interval for beta
    -0.54016
  • Upperbound of 95% confidence interval for beta
    0.05421
  • Lowerbound of 95% confidence interval for alpha
    -0.73922
  • Upperbound of 95% confidence interval for alpha
    3.42889
  • Treynor index (mean / b)
    -4.89871
  • Jensen alpha (a)
    1.34483
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.98162
  • SD
    0.59964
  • Sharpe ratio (Glass type estimate)
    1.63703
  • Sharpe ratio (Hedges UMVUE)
    1.62757
  • df
    130.00000
  • t
    1.15755
  • p
    0.44950
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.40642
  • Statistics related to Sortino ratio
  • Sortino ratio
    60.42320
  • Upside Potential Ratio
    66.22050
  • Upside part of mean
    1.07580
  • Downside part of mean
    -0.09418
  • Upside SD
    0.60019
  • Downside SD
    0.01625
  • 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
    0.54198
  • Mean of criterion
    0.98162
  • SD of predictor
    0.43465
  • SD of criterion
    0.59964
  • Covariance
    -0.03597
  • r
    -0.13800
  • b (slope, estimate of beta)
    -0.19038
  • a (intercept, estimate of alpha)
    1.08480
  • Mean Square Error
    0.35545
  • DF error
    129.00000
  • t(b)
    -1.58247
  • p(b)
    0.58757
  • t(a)
    1.28278
  • p(a)
    0.42870
  • VAR (95 Confidence Intrvl)
    0.04900
  • Lowerbound of 95% confidence interval for beta
    -0.42840
  • Upperbound of 95% confidence interval for beta
    0.04765
  • Lowerbound of 95% confidence interval for alpha
    -0.58837
  • Upperbound of 95% confidence interval for alpha
    2.75797
  • Treynor index (mean / b)
    -5.15620
  • Jensen alpha (a)
    1.08480
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05558
  • Expected Shortfall on VaR
    0.07000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00082
  • Expected Shortfall on VaR
    0.00179
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99257
  • Quartile 1
    0.99994
  • Median
    1.00006
  • Quartile 3
    1.00084
  • Maximum
    1.52765
  • Mean of quarter 1
    0.99877
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00036
  • Mean of quarter 4
    1.01932
  • Inter Quartile Range
    0.00091
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99692
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.03434
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04129
  • VaR(95%) (moments method)
    0.00148
  • Expected Shortfall (moments method)
    0.00228
  • Extreme Value Index (regression method)
    0.20316
  • VaR(95%) (regression method)
    0.00157
  • Expected Shortfall (regression method)
    0.00276
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00013
  • Median
    0.00062
  • Quartile 3
    0.00241
  • Maximum
    0.00743
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.00040
  • Mean of quarter 3
    0.00159
  • Mean of quarter 4
    0.00471
  • Inter Quartile Range
    0.00229
  • 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
    0.05556
  • Mean of outliers high
    0.00743
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.94961
  • VaR(95%) (moments method)
    0.00482
  • Expected Shortfall (moments method)
    0.00485
  • Extreme Value Index (regression method)
    -0.60076
  • VaR(95%) (regression method)
    0.00681
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00776
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -395408000
  • Max Equity Drawdown (num days)
    243
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.31319
  • Compounded annual return (geometric extrapolation)
    1.74430
  • Calmar ratio (compounded annual return / max draw down)
    234.65600
  • Compounded annual return / average of 25% largest draw downs
    370.42200
  • Compounded annual return / Expected Shortfall lognormal
    24.91760

Strategy Description

After the Corona Crash we tuned our strategy and made it more bullet proof.
Since then we perform as we want and with very minimal crash risk.
Instead of going short volatility like the past. We now take little swing trades long volatility which statistically has almost the same win change than short volatility but without the negative consequence of a volatility spike , au contraire , it turns into a big winner on spikes
Kind regards
Wim
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-07-09
Suggested Minimum Capital
$25,000
# Trades
206
# Profitable
173
% Profitable
84.0%
Correlation S&P500
0.140
Sharpe Ratio
0.05
Sortino Ratio
0.09
Beta
0.25
Alpha
-0.00
Leverage
0.83 Average
4.59 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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