Volatility Fusion
- hypothetical · Annual Return (Compounded)
- 0.7%
- Max Drawdown
- 57.7%
- Trades
- 33
- Win Trades
- 63.6%
- Profit Factor
- 1.10
- Win Months
- 10.1%
About this strategy
This strategy provides access to a thoroughly back-tested strategy, giving the user access to a detailed volatility system. This strategy trades only on simple instruments which are exchange-traded products such as VXX and XIV (inverse VIX), so that the user does not need access to futures or options. Moreover, the use of long XIV positions allows the strategy to “short” volatility without actually having to borrow stock, as this can lead to problems for the end-users of the system.
The goal of this strategy is to take advantage of XIV whenever it goes on a multi-week positive run. The strategy tries to prevent the biggest drawdowns in the XIV which can be quite detrimental to performance and move to VXX in bear markets but with far more conservative signal (2% of the time). The strategy is either 100% invested in XIV, VXX or 100% in cash. The strategy may have long stretches where it is fully in cash if conditions don't favor XIV. Ultimately for a full year, it is expected the strategy to be always absolutely positive and to outperform XIV on annual basis.
Using these 2 ETFs, the strategy switches between “risk-on” (VXX) and “risk-off” (XIV) according to 6 different metrics and volatility indicators.
The trading system is implemented as an automated strategy. Back-tested results can be made available to subscribers.
Back-test since 2004, 2006 or 2010 is available on demand. The biggest historical maximum drawdown is 24% and CAGR is 90% from 2006 and 147% from 2010.
The following are the detailed mechanics of this automated trading system:
- Trades will typically be placed just before 4:00pm ET if our indicators detect a change in direction.
- This strategy is in 100% cash approximately 52% of the time, VXX only 2% and XIV 46%
- This strategy makes ~30 trades per year.
- VXX trades are entered with roughly a 15% stop loss.
- XIV trades are entered with roughly a 15% stop loss.
The goal of this strategy is to take advantage of XIV whenever it goes on a multi-week positive run. The strategy tries to prevent the biggest drawdowns in the XIV which can be quite detrimental to performance and move to VXX in bear markets but with far more conservative signal (2% of the time). The strategy is either 100% invested in XIV, VXX or 100% in cash. The strategy may have long stretches where it is fully in cash if conditions don't favor XIV. Ultimately for a full year, it is expected the strategy to be always absolutely positive and to outperform XIV on annual basis.
Using these 2 ETFs, the strategy switches between “risk-on” (VXX) and “risk-off” (XIV) according to 6 different metrics and volatility indicators.
The trading system is implemented as an automated strategy. Back-tested results can be made available to subscribers.
Back-test since 2004, 2006 or 2010 is available on demand. The biggest historical maximum drawdown is 24% and CAGR is 90% from 2006 and 147% from 2010.
The following are the detailed mechanics of this automated trading system:
- Trades will typically be placed just before 4:00pm ET if our indicators detect a change in direction.
- This strategy is in 100% cash approximately 52% of the time, VXX only 2% and XIV 46%
- This strategy makes ~30 trades per year.
- VXX trades are entered with roughly a 15% stop loss.
- XIV trades are entered with roughly a 15% stop loss.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 20.3 | -4.3 | 15.1 | ||||||||||
| 2017 | 19.6 | 15.0 | 4.4 | -13.1 | 4.0 | 0.3 | -6.4 | 7.4 | 5.5 | -4.3 | -1.9 | -8.2 | 19.0 |
| 2018 | 5.6 | -0.4 | 1.2 | 2.8 | 0.4 | -28.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -21.9 |
| 2019 | 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 |
| 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 | 11/6/2016 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 120 months |
| What it trades | Stocks |
| # Trades | 33 |
| # Profitable | 21 |
| % Profitable | 63.6% |
| Avg trade duration | 12.3 days |
| Max peak-to-valley drawdown | 57.7% |
| drawdown period | Feb 06, 2018 - June 18, 2018 |
| Annual Return (Compounded) | 0.7% |
| Avg win | $2,368 |
| Avg loss | $3,801 |
Ratios
| W:L ratio | 1.09 |
|---|---|
| Sharpe Ratio | 0 |
| Sortino Ratio | 0 |
| Calmar Ratio | 0.19 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.04 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 267.2% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -260.6% |
Return Statistics
| Ann Return (w trading costs) | 0.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 1.9% |
Slump
| Current Slump as Pcnt Equity | 117.7% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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 | 83.0% |
|---|---|
| Chance of 20% account loss | 69.0% |
| Chance of 30% account loss | 56.5% |
| Chance of 40% account loss | 35.0% |
| Chance of 50% account loss | 21.0% |
| Chance of 60% account loss (Monte Carlo) | 7.0% |
| Chance of 70% account loss (Monte Carlo) | 0.5% |
| 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 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $3,801 |
|---|---|
| Avg Win | $2,368 |
| # Winners | 21 |
| Sum Trade PL (losers) | $45,617 |
| Sum Trade PL (winners) | $49,732 |
| Num Months Winners | 12 |
| # Losers | 12 |
| % Winners | 63.6% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 119 |
|---|
Frequency
| Avg Position Time (mins) | 17654.60 |
|---|---|
| Avg Position Time (hrs) | 294.24 |
| Avg Trade Length | 12.30 |
| Last Trade Ago | 2991 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.04 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.08 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.16 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.03 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 17.26 |
| MAE:PL (avg, all trades) | 0.74 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 88.72 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 88.86 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.33 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.20 |
| Hold-and-Hope Ratio | 0.06 |
RATIO STATISTICS
| Mean | 0.08 |
|---|---|
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.28 |
| Sharpe ratio (Hedges UMVUE) | 0.28 |
| df | 32 |
| t | 0.47 |
| p | 0.32 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.90 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.91 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.46 |
| Sortino ratio | 0.43 |
| Upside Potential Ratio | 1.59 |
| Upside part of mean | 0.28 |
| Downside part of mean | -0.20 |
| Upside SD | 0.20 |
| Downside SD | 0.18 |
| N nonnegative terms | 11 |
| N negative terms | 22 |
| N of observations | 33 |
| Mean of predictor | 0.47 |
| Mean of criterion | 0.08 |
| SD of predictor | 0.26 |
| SD of criterion | 0.27 |
| Covariance | -0.00 |
| r | -0.06 |
| b (slope, estimate of beta) | -0.06 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.07 |
| DF error | 31 |
| t(b) | -0.33 |
| p(b) | 0.63 |
| t(a) | 0.56 |
| p(a) | 0.29 |
| Lowerbound of 95% confidence interval for beta | -0.44 |
| Upperbound of 95% confidence interval for beta | 0.32 |
| Lowerbound of 95% confidence interval for alpha | -0.28 |
| Upperbound of 95% confidence interval for alpha | 0.49 |
| Treynor index (mean / b) | -1.25 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.04 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.15 |
| Sharpe ratio (Hedges UMVUE) | 0.14 |
| df | 32 |
| t | 0.24 |
| p | 0.40 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.33 |
| Sortino ratio | 0.20 |
| Upside Potential Ratio | 1.32 |
| Upside part of mean | 0.26 |
| Downside part of mean | -0.22 |
| Upside SD | 0.18 |
| Downside SD | 0.20 |
| N nonnegative terms | 11 |
| N negative terms | 22 |
| N of observations | 33 |
| Mean of predictor | 0.43 |
| Mean of criterion | 0.04 |
| SD of predictor | 0.25 |
| SD of criterion | 0.27 |
| Covariance | -0.00 |
| r | -0.05 |
| b (slope, estimate of beta) | -0.05 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.08 |
| DF error | 31 |
| t(b) | -0.26 |
| p(b) | 0.60 |
| t(a) | 0.33 |
| p(a) | 0.37 |
| Lowerbound of 95% confidence interval for beta | -0.46 |
| Upperbound of 95% confidence interval for beta | 0.36 |
| Lowerbound of 95% confidence interval for alpha | -0.32 |
| Upperbound of 95% confidence interval for alpha | 0.45 |
| Treynor index (mean / b) | -0.76 |
| Jensen alpha (a) | 0.06 |
| VaR(95%) | 0.12 |
| Expected Shortfall on VaR | 0.15 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.10 |
| Mean | 0.08 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.30 |
| Sharpe ratio (Hedges UMVUE) | 0.30 |
| df | 726 |
| t | 0.49 |
| p | 0.31 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.88 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.88 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.47 |
| Sortino ratio | 0.36 |
| Upside Potential Ratio | 3.57 |
| Upside part of mean | 0.80 |
| Downside part of mean | -0.72 |
| Upside SD | 0.16 |
| Downside SD | 0.22 |
| N nonnegative terms | 169 |
| N negative terms | 558 |
| N of observations | 727 |
| Mean of predictor | 0.48 |
| Mean of criterion | 0.08 |
| SD of predictor | 0.30 |
| SD of criterion | 0.27 |
| Covariance | 0.00 |
| r | 0.04 |
| b (slope, estimate of beta) | 0.03 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.07 |
| DF error | 725 |
| t(b) | 1.01 |
| p(b) | 0.16 |
| t(a) | 0.39 |
| p(a) | 0.35 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.26 |
| Upperbound of 95% confidence interval for alpha | 0.39 |
| Treynor index (mean / b) | 2.37 |
| Jensen alpha (a) | 0.06 |
| Mean | 0.04 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | 0.13 |
| Sharpe ratio (Hedges UMVUE) | 0.13 |
| df | 726 |
| t | 0.22 |
| p | 0.41 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.31 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.31 |
| Sortino ratio | 0.16 |
| Upside Potential Ratio | 3.11 |
| Upside part of mean | 0.78 |
| Downside part of mean | -0.74 |
| Upside SD | 0.15 |
| Downside SD | 0.25 |
| N nonnegative terms | 169 |
| N negative terms | 558 |
| N of observations | 727 |
| Mean of predictor | 0.43 |
| Mean of criterion | 0.04 |
| SD of predictor | 0.30 |
| SD of criterion | 0.30 |
| Covariance | 0.00 |
| r | 0.04 |
| b (slope, estimate of beta) | 0.04 |
| a (intercept, estimate of alpha) | 0.02 |
| Mean Square Error | 0.09 |
| DF error | 725 |
| t(b) | 0.98 |
| p(b) | 0.16 |
| t(a) | 0.13 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | -0.04 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.33 |
| Upperbound of 95% confidence interval for alpha | 0.37 |
| Treynor index (mean / b) | 1.10 |
| Jensen alpha (a) | 0.02 |
| 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 | 1.24 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.46 |
| 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 | 1.13 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.46 |
| 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) | -6788267215159296 |
| 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) | 5.9422229261749e+31 |
| 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 | 33 |
|---|---|
| Minimum | 0.74 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.24 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.10 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 5 |
| Percentage of outliers low | 0.15 |
| Mean of outliers low | 0.90 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.18 |
| Mean of outliers high | 1.12 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.92 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 1.24 |
| Number of observations | 727 |
| Minimum | 0.70 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 144 |
| Percentage of outliers low | 0.20 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 171 |
| Percentage of outliers high | 0.24 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.71 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.48 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.03 |
| 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 | 1 |
|---|---|
| Minimum | 0.29 |
| Quartile 1 | 0.29 |
| Median | 0.29 |
| Quartile 3 | 0.29 |
| Maximum | 0.29 |
| 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 |
| Number of observations | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.04 |
| Maximum | 0.36 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.19 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | 0.59 |
| VaR(95%) (moments method) | 0.22 |
| Expected Shortfall (moments method) | 0.54 |
| Extreme Value Index (regression method) | 6.07 |
| VaR(95%) (regression method) | 0.67 |
| Expected Shortfall (regression method) | 0 |
| 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? | -411897824 |
| Max Equity Drawdown (num days) | 132 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.07 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.07 |
| Calmar ratio (compounded annual return / max draw down) | 0.24 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0.48 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.07 |
| Compounded annual return (geometric extrapolation) | 0.07 |
| Calmar ratio (compounded annual return / max draw down) | 0.19 |
| Compounded annual return / average of 25% largest draw downs | 0.36 |
| Compounded annual return / Expected Shortfall lognormal | 1.90 |
| 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 140 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TVIX | long | 220 | Jun 18, 2018 | Jun 25, 2018 | $1,302 |
| TVIX | long | 120 | May 23, 2018 | Jun 18, 2018 | ($9,864) |
| VIXY | long | 400 | Apr 16, 2018 | Apr 24, 2018 | $819 |
| VIXY | long | 100 | Mar 15, 2018 | Mar 20, 2018 | $288 |
| VIXY | long | 300 | Mar 9, 2018 | Mar 13, 2018 | $61 |
| VXX | long | 100 | Feb 14, 2018 | Feb 21, 2018 | ($447) |
| VXX | long | 350 | Feb 6, 2018 | Feb 7, 2018 | ($78) |
| VXX | short | 150 | Feb 6, 2018 | Feb 6, 2018 | ($150) |
| VXX | short | 150 | Feb 6, 2018 | Feb 6, 2018 | $8 |
| XIV | short | 382 | Feb 5, 2018 | Feb 6, 2018 | $26,298 |
| SVXY | long | 569 | Feb 5, 2018 | Feb 6, 2018 | ($27,539) |
| VXX | long | 1050 | Oct 5, 2017 | Feb 2, 2018 | ($782) |
| XIV | long | 1165 | Jun 27, 2017 | Sep 15, 2017 | $1,747 |
| VXX | long | 2100 | Jul 17, 2017 | Aug 9, 2017 | $251 |
| XIV | long | 400 | Jun 14, 2017 | Jun 19, 2017 | $1,316 |
| XIV | long | 400 | May 23, 2017 | Jun 9, 2017 | $7 |
| XIV | long | 600 | Apr 24, 2017 | May 17, 2017 | $1,043 |
| XIV | long | 840 | Apr 3, 2017 | Apr 11, 2017 | ($4,885) |
| XIV | long | 446 | Mar 16, 2017 | Mar 20, 2017 | $763 |
| XIV | long | 200 | Mar 9, 2017 | Mar 10, 2017 | $7 |
| XIV | long | 200 | Mar 7, 2017 | Mar 8, 2017 | ($17) |
| XIV | long | 499 | Mar 1, 2017 | Mar 3, 2017 | $784 |
| XIV | long | 475 | Feb 15, 2017 | Feb 21, 2017 | $202 |
| XIV | long | 466 | Jan 31, 2017 | Feb 14, 2017 | $4,569 |
| XIV | long | 256 | Jan 17, 2017 | Jan 19, 2017 | $228 |
| XIV | long | 512 | Jan 13, 2017 | Jan 13, 2017 | ($241) |
| XIV | long | 1024 | Dec 29, 2016 | Jan 10, 2017 | $3,801 |
| XIV | long | 1024 | Dec 28, 2016 | Dec 28, 2016 | ($965) |
| XIV | long | 712 | Dec 27, 2016 | Dec 28, 2016 | ($26) |
| XIV | long | 1024 | Dec 14, 2016 | Dec 23, 2016 | $3,452 |
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.