VIX TrendFollower
- hypothetical · Annual Return (Compounded)
- 6.4%
- Max Drawdown
- 41.0%
- Trades
- 79
- Win Trades
- 44.3%
- Profit Factor
- 1.30
- Win Months
- 18.0%
About this strategy
Volatility/VIX has recently become a popular asset class amongst sophisticated investors - it has generated large returns, can hedge risk, and acts as a diversification tool for typical portfolios. This strategy provides access to a professionally managed, academically evidenced and thoroughly back-tested strategy, giving the user access to a professional managed volatility system.
VIX TrendFollower is the sister to our other strategy, VIX DayTrader - an active system that is designed to be followed via autotrading:
https://collective2.com/details/98408819
In contrast, VIX TrendFollower is designed to be suitable for those who (for whatever reasons) either can’t autotrade, prefer a longer timeframe, or only like to trade at the open or close. The system is designed to be manually traded with ease (if necessary).
It tends to take around 10-30 trades per year. Whilst the underlying system is entirely mechanistic and backtested, the final judgement is always made by a human and may use some element of discretion (a major news event, for example).
The strategy is predicated on three evidence-based principles – the price trend, the yield curve, and the volatility risk premium. It utilises these three guiding principles to make swing trades that typically last from a few days to a few weeks. Trades can be either “long” (using VXX) or “short” (by going long XIV, so that subscribers do not need to have an account that can short).
Trades are only generated before the open (generally placed around 9.15AM) or at the end of the day (generally placed around 3.50PM. If for some reason you cannot place trades at market close, they can be placed the next day at the open without significant deterioration of system performance. System stops are placed at 10% or closer. All trades are of a fixed below $25,000, so you can easily adjust your risk accordingly.
VIX TrendFollower is the sister to our other strategy, VIX DayTrader - an active system that is designed to be followed via autotrading:
https://collective2.com/details/98408819
In contrast, VIX TrendFollower is designed to be suitable for those who (for whatever reasons) either can’t autotrade, prefer a longer timeframe, or only like to trade at the open or close. The system is designed to be manually traded with ease (if necessary).
It tends to take around 10-30 trades per year. Whilst the underlying system is entirely mechanistic and backtested, the final judgement is always made by a human and may use some element of discretion (a major news event, for example).
The strategy is predicated on three evidence-based principles – the price trend, the yield curve, and the volatility risk premium. It utilises these three guiding principles to make swing trades that typically last from a few days to a few weeks. Trades can be either “long” (using VXX) or “short” (by going long XIV, so that subscribers do not need to have an account that can short).
Trades are only generated before the open (generally placed around 9.15AM) or at the end of the day (generally placed around 3.50PM. If for some reason you cannot place trades at market close, they can be placed the next day at the open without significant deterioration of system performance. System stops are placed at 10% or closer. All trades are of a fixed below $25,000, so you can easily adjust your risk accordingly.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 4.6 | 25.0 | -2.8 | 10.3 | -22.7 | 18.8 | 3.3 | -8.9 | 12.3 | 6.5 | 5.0 | 52.2 | |
| 2017 | 23.5 | -2.4 | 2.8 | 12.8 | -8.2 | -4.8 | 3.3 | -20.7 | 10.6 | 3.3 | 1.9 | 8.2 | 26.1 |
| 2018 | 7.7 | 32.6 | -5.3 | -2.7 | 2.5 | 13.8 | -6.0 | -11.9 | -4.4 | 29.6 | -12.5 | 6.9 | 47.1 |
| 2019 | -8.7 | -2.1 | -17.6 | 6.3 | -7.2 | -6.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -31.7 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 2/19/2016 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 128 months |
| What it trades | Stocks |
| # Trades | 79 |
| # Profitable | 35 |
| % Profitable | 44.3% |
| Avg trade duration | 14.2 days |
| Max peak-to-valley drawdown | 41.0% |
| drawdown period | Oct 29, 2018 - June 11, 2019 |
| Annual Return (Compounded) | 6.4% |
| Avg win | $1,293 |
| Avg loss | $768 |
Ratios
| W:L ratio | 1.34 |
|---|---|
| Sharpe Ratio | 0.25 |
| Sortino Ratio | 0.39 |
| Calmar Ratio | 0.50 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 299.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -205.1% |
Return Statistics
| Ann Return (w trading costs) | 6.4% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 7.5% |
Slump
| Current Slump as Pcnt Equity | 69.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.7% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 63.5% |
|---|---|
| Chance of 20% account loss | 37.5% |
| Chance of 30% account loss | 18.0% |
| Chance of 40% account loss | 8.5% |
| Chance of 50% account loss | 1.5% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $768 |
|---|---|
| Avg Win | $1,293 |
| # Winners | 35 |
| Sum Trade PL (losers) | $33,782 |
| Sum Trade PL (winners) | $45,261 |
| Num Months Winners | 23 |
| # Losers | 44 |
| % Winners | 44.3% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 128 |
|---|
Frequency
| Avg Position Time (mins) | 20506.15 |
|---|---|
| Avg Position Time (hrs) | 341.77 |
| Avg Trade Length | 14.20 |
| Last Trade Ago | 2640 |
Leverage
| Daily leverage (average) | 0.77 |
|---|---|
| Daily leverage (max) | 1.56 |
Regression
| Alpha | 0.02 |
|---|---|
| Beta | -0.02 |
| Treynor Index | -0.82 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.05 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.12 |
| MAE:Equity, average, losing trades | 0.05 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.05 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -17.49 |
| MAE:PL (avg, all trades) | 1.97 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 11.50 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 83.03 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.95 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.22 |
| Hold-and-Hope Ratio | -0.06 |
RATIO STATISTICS
| Mean | 0.21 |
|---|---|
| SD | 0.38 |
| Sharpe ratio (Glass type estimate) | 0.56 |
| Sharpe ratio (Hedges UMVUE) | 0.56 |
| df | 50 |
| t | 1.16 |
| p | 0.13 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.40 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.52 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.51 |
| Sortino ratio | 1.03 |
| Upside Potential Ratio | 2.65 |
| Upside part of mean | 0.55 |
| Downside part of mean | -0.34 |
| Upside SD | 0.32 |
| Downside SD | 0.21 |
| N nonnegative terms | 23 |
| N negative terms | 28 |
| N of observations | 51 |
| Mean of predictor | 0.34 |
| Mean of criterion | 0.21 |
| SD of predictor | 0.26 |
| SD of criterion | 0.38 |
| Covariance | -0.02 |
| r | -0.18 |
| b (slope, estimate of beta) | -0.26 |
| a (intercept, estimate of alpha) | 0.30 |
| Mean Square Error | 0.14 |
| DF error | 49 |
| t(b) | -1.27 |
| p(b) | 0.90 |
| t(a) | 1.54 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | -0.67 |
| Upperbound of 95% confidence interval for beta | 0.15 |
| Lowerbound of 95% confidence interval for alpha | -0.09 |
| Upperbound of 95% confidence interval for alpha | 0.69 |
| Treynor index (mean / b) | -0.83 |
| Jensen alpha (a) | 0.30 |
| Mean | 0.15 |
| SD | 0.36 |
| Sharpe ratio (Glass type estimate) | 0.40 |
| Sharpe ratio (Hedges UMVUE) | 0.40 |
| df | 50 |
| t | 0.83 |
| p | 0.21 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.55 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.35 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.56 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.35 |
| Sortino ratio | 0.65 |
| Upside Potential Ratio | 2.24 |
| Upside part of mean | 0.51 |
| Downside part of mean | -0.36 |
| Upside SD | 0.28 |
| Downside SD | 0.23 |
| N nonnegative terms | 23 |
| N negative terms | 28 |
| N of observations | 51 |
| Mean of predictor | 0.30 |
| Mean of criterion | 0.15 |
| SD of predictor | 0.26 |
| SD of criterion | 0.36 |
| Covariance | -0.02 |
| r | -0.16 |
| b (slope, estimate of beta) | -0.23 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.13 |
| DF error | 49 |
| t(b) | -1.16 |
| p(b) | 0.88 |
| t(a) | 1.16 |
| p(a) | 0.13 |
| Lowerbound of 95% confidence interval for beta | -0.64 |
| Upperbound of 95% confidence interval for beta | 0.17 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 0.59 |
| Treynor index (mean / b) | -0.63 |
| Jensen alpha (a) | 0.22 |
| VaR(95%) | 0.15 |
| Expected Shortfall on VaR | 0.18 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.14 |
| Mean | 0.19 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | 0.65 |
| Sharpe ratio (Hedges UMVUE) | 0.65 |
| df | 1114 |
| t | 1.34 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.60 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.30 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.60 |
| Sortino ratio | 1.01 |
| Upside Potential Ratio | 7.35 |
| Upside part of mean | 1.37 |
| Downside part of mean | -1.18 |
| Upside SD | 0.22 |
| Downside SD | 0.19 |
| N nonnegative terms | 453 |
| N negative terms | 662 |
| N of observations | 1115 |
| Mean of predictor | 0.33 |
| Mean of criterion | 0.19 |
| SD of predictor | 0.25 |
| SD of criterion | 0.29 |
| Covariance | -0.00 |
| r | -0.02 |
| b (slope, estimate of beta) | -0.02 |
| a (intercept, estimate of alpha) | 0.19 |
| Mean Square Error | 0.08 |
| DF error | 1113 |
| t(b) | -0.56 |
| p(b) | 0.51 |
| t(a) | 1.38 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -0.09 |
| Upperbound of 95% confidence interval for beta | 0.05 |
| Lowerbound of 95% confidence interval for alpha | -0.08 |
| Upperbound of 95% confidence interval for alpha | 0.47 |
| Treynor index (mean / b) | -9.60 |
| Jensen alpha (a) | 0.19 |
| Mean | 0.15 |
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | 0.51 |
| Sharpe ratio (Hedges UMVUE) | 0.51 |
| df | 1114 |
| t | 1.06 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.46 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.44 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.46 |
| Sortino ratio | 0.77 |
| Upside Potential Ratio | 7.06 |
| Upside part of mean | 1.34 |
| Downside part of mean | -1.20 |
| Upside SD | 0.21 |
| Downside SD | 0.19 |
| N nonnegative terms | 453 |
| N negative terms | 662 |
| N of observations | 1115 |
| Mean of predictor | 0.30 |
| Mean of criterion | 0.15 |
| SD of predictor | 0.25 |
| SD of criterion | 0.28 |
| Covariance | -0.00 |
| r | -0.01 |
| b (slope, estimate of beta) | -0.02 |
| a (intercept, estimate of alpha) | 0.15 |
| Mean Square Error | 0.08 |
| DF error | 1113 |
| t(b) | -0.48 |
| p(b) | 0.51 |
| t(a) | 1.09 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.08 |
| Upperbound of 95% confidence interval for beta | 0.05 |
| Lowerbound of 95% confidence interval for alpha | -0.12 |
| Upperbound of 95% confidence interval for alpha | 0.42 |
| Treynor index (mean / b) | -8.86 |
| Jensen alpha (a) | 0.15 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.39 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.39 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -9.74841826823373e+15 |
| Sharpe ratio (Hedges UMVUE) | -9.69206937105203e+15 |
| df | 130 |
| t | -6893172865105920 |
| p | 1 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.08701574255084e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -8513981316595712 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.31 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.39 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -6720705232109568 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | 5.02248599272347e+32 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 51 |
|---|---|
| Minimum | 0.80 |
| Quartile 1 | 0.97 |
| Median | 1 |
| Quartile 3 | 1.08 |
| Maximum | 1.36 |
| Mean of quarter 1 | 0.90 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.04 |
| Mean of quarter 4 | 1.15 |
| Inter Quartile Range | 0.11 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.80 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.32 |
| Extreme Value Index (moments method) | -0.11 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.12 |
| Extreme Value Index (regression method) | -0.32 |
| VaR(95%) (regression method) | 0.13 |
| Expected Shortfall (regression method) | 0.16 |
| Number of observations | 1115 |
| Minimum | 0.88 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.20 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 109 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 84 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | 0.26 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.08 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 5 |
|---|---|
| Minimum | 0.08 |
| Quartile 1 | 0.13 |
| Median | 0.20 |
| Quartile 3 | 0.25 |
| Maximum | 0.38 |
| Mean of quarter 1 | 0.11 |
| Mean of quarter 2 | 0.20 |
| Mean of quarter 3 | 0.25 |
| Mean of quarter 4 | 0.38 |
| Inter Quartile Range | 0.12 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 28 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.06 |
| Maximum | 0.38 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.22 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.18 |
| Mean of outliers high | 0.27 |
| Extreme Value Index (moments method) | -1.02 |
| VaR(95%) (moments method) | 0.19 |
| Expected Shortfall (moments method) | 0.20 |
| Extreme Value Index (regression method) | -0.80 |
| VaR(95%) (regression method) | 0.28 |
| Expected Shortfall (regression method) | 0.32 |
| Number of observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -394777664 |
| Max Equity Drawdown (num days) | 225 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.26 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.19 |
| Calmar ratio (compounded annual return / max draw down) | 0.51 |
| Compounded annual return / average of 25% largest draw downs | 0.51 |
| Compounded annual return / Expected Shortfall lognormal | 1.03 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.26 |
| Compounded annual return (geometric extrapolation) | 0.19 |
| Calmar ratio (compounded annual return / max draw down) | 0.50 |
| Compounded annual return / average of 25% largest draw downs | 0.88 |
| Compounded annual return / Expected Shortfall lognormal | 5.41 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 78 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| VXX | long | 840 | May 29, 2019 | Jun 11, 2019 | ($1,752) |
| SVXY | long | 450 | May 20, 2019 | May 29, 2019 | ($90) |
| SVXY | long | 480 | May 17, 2019 | May 17, 2019 | $76 |
| VXX | long | 885 | May 7, 2019 | May 17, 2019 | $225 |
| SVXY | long | 435 | Apr 1, 2019 | May 7, 2019 | $21 |
| VXXB | long | 790 | Mar 25, 2019 | Mar 29, 2019 | ($2,418) |
| SVXY | long | 485 | Mar 12, 2019 | Mar 25, 2019 | ($898) |
| VXXB | long | 790 | Mar 6, 2019 | Mar 12, 2019 | ($937) |
| SVXY | long | 490 | Feb 21, 2019 | Mar 6, 2019 | ($226) |
| VXXB | long | 750 | Feb 19, 2019 | Feb 21, 2019 | ($1,309) |
| SVXY | long | 540 | Jan 24, 2019 | Feb 19, 2019 | $1,966 |
| VXX | long | 620 | Jan 22, 2019 | Jan 24, 2019 | ($972) |
| SVXY | long | 560 | Jan 8, 2019 | Jan 22, 2019 | $353 |
| VXX | long | 620 | Dec 10, 2018 | Jan 8, 2019 | $1,049 |
| SVXY | long | 530 | Nov 23, 2018 | Dec 10, 2018 | ($625) |
| VXX | long | 670 | Nov 19, 2018 | Nov 23, 2018 | $1,214 |
| SVXY | long | 500 | Nov 16, 2018 | Nov 19, 2018 | ($740) |
| VXX | long | 700 | Nov 13, 2018 | Nov 16, 2018 | ($474) |
| SVXY | long | 480 | Nov 7, 2018 | Nov 13, 2018 | ($1,181) |
| VXX | long | 900 | Oct 4, 2018 | Nov 7, 2018 | $4,495 |
| SVXY | long | 400 | Oct 3, 2018 | Oct 4, 2018 | ($824) |
| SVXY | long | 420 | Oct 1, 2018 | Oct 2, 2018 | ($273) |
| VXX | long | 930 | Sep 25, 2018 | Oct 1, 2018 | ($870) |
| SVXY | long | 425 | Sep 13, 2018 | Sep 25, 2018 | $468 |
| VXX | long | 850 | Sep 6, 2018 | Sep 13, 2018 | ($1,212) |
| SVXY | long | 1750 | Aug 28, 2018 | Sep 6, 2018 | ($268) |
| VXX | long | 800 | Aug 14, 2018 | Aug 28, 2018 | ($1,677) |
| SVXY | long | 1780 | Aug 6, 2018 | Aug 14, 2018 | ($503) |
| VXX | long | 780 | Jul 31, 2018 | Aug 6, 2018 | ($1,089) |
| SVXY | long | 1780 | Jul 26, 2018 | Jul 31, 2018 | ($468) |
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.