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These are hypothetical performance results that have certain inherent limitations. Learn more

TEST 1 y
(113129308)

Created by: OriHamisha OriHamisha
Started: 08/2017
Options
Last trade: 1,870 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.

8.2%
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.

(100.0%)
Max Drawdown
29
Num Trades
86.2%
Win Trades
5.0 : 1
Profit Factor
12.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +7.2%+6.9%+10.1%+7.3%+3.4%+40.1%
2018+3.5%(0.3%)(3.8%)(0.2%)(6.5%)(0.2%)(0.3%)+2.2%(0.2%)(24.7%)+26.1%(96.8%)(97.2%)
2019+2973.1%+38.2%  -    -    -    -    -    -    -    -    -    -  +4146.6%
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 168 hours.

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2271 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/29/18 9:30 VIX1913B10 VIX Feb13'19 10 call SHORT 100 9.40 2/13/19 8:05 8.71 646.33%
Trade id #120593799
Max drawdown($17,160)
Time12/24/18 10:12
Quant open-44
Worst price13.30
Drawdown as % of equity-646.33%
$6,826
Includes Typical Broker Commissions trade costs of $114.40
10/11/18 9:30 VIX1821W12.5 VIX Nov21'18 12.5 put LONG 50 0.25 10/29 10:46 0.04 5.67%
Trade id #120296535
Max drawdown($1,150)
Time10/25/18 10:18
Quant open50
Worst price0.02
Drawdown as % of equity-5.67%
($1,120)
Includes Typical Broker Commissions trade costs of $70.00
8/7/18 9:30 VIX1815H21 VIX Aug15'18 21 call SHORT 50 0.05 8/15 8:06 0.00 3.57%
Trade id #119315726
Max drawdown($750)
Time8/10/18 14:43
Quant open-50
Worst price0.20
Drawdown as % of equity-3.57%
$215
Includes Typical Broker Commissions trade costs of $35.00
7/24/18 9:30 VIX1801H22 VIX Aug1'18 22 call SHORT 50 0.05 8/1 8:06 0.00 2.47%
Trade id #119088542
Max drawdown($500)
Time7/24/18 14:09
Quant open-50
Worst price0.15
Drawdown as % of equity-2.47%
$215
Includes Typical Broker Commissions trade costs of $35.00
5/29/18 9:40 VIX1806F22 VIX Jun6'18 22 call SHORT 50 0.15 5/29 11:46 0.40 5.74%
Trade id #118144500
Max drawdown($1,250)
Time5/29/18 11:46
Quant open0
Worst price0.40
Drawdown as % of equity-5.74%
($1,320)
Includes Typical Broker Commissions trade costs of $70.00
2/26/18 13:54 VIX1807C30 VIX Mar7'18 30 call SHORT 50 0.10 3/1 9:54 0.25 4.04%
Trade id #116729345
Max drawdown($900)
Time2/27/18 15:42
Quant open-50
Worst price0.28
Drawdown as % of equity-4.04%
($820)
Includes Typical Broker Commissions trade costs of $70.00
1/22/18 11:37 VIX1831A23 VIX Jan31'18 23 call SHORT 50 0.05 1/31 8:05 0.00 0%
Trade id #116025892
Max drawdown$0
Time1/22/18 12:36
Quant open-50
Worst price0.05
Drawdown as % of equity0.00%
$215
Includes Typical Broker Commissions trade costs of $35.00
1/8/18 14:58 VIX1817A20 VIX Jan17'18 20 call SHORT 75 0.05 1/17 8:05 0.00 1.71%
Trade id #115756053
Max drawdown($375)
Time1/8/18 15:23
Quant open-75
Worst price0.10
Drawdown as % of equity-1.71%
$323
Includes Typical Broker Commissions trade costs of $52.50
1/2/18 11:49 VIX1810A22 VIX Jan10'18 22 call SHORT 50 0.05 1/10 8:05 0.00 0%
Trade id #115646965
Max drawdown$0
Time1/5/18 12:47
Quant open-50
Worst price0.05
Drawdown as % of equity0.00%
$215
Includes Typical Broker Commissions trade costs of $35.00
12/11/17 9:34 VIX1720L19 VIX Dec20'17 19 call SHORT 50 0.10 12/20 8:05 0.00 0%
Trade id #115288691
Max drawdown$0
Time12/11/17 10:41
Quant open-50
Worst price0.10
Drawdown as % of equity0.00%
$465
Includes Typical Broker Commissions trade costs of $35.00
11/27/17 11:02 VIX1706L23 VIX Dec6'17 23 call SHORT 50 0.10 12/6 8:05 0.00 n/a $465
Includes Typical Broker Commissions trade costs of $35.00
11/21/17 12:27 VIX1729K16 VIX Nov29'17 16 call SHORT 50 0.05 11/29 8:05 0.00 0%
Trade id #114964188
Max drawdown$0
Time11/21/17 16:11
Quant open-50
Worst price0.05
Drawdown as % of equity0.00%
$215
Includes Typical Broker Commissions trade costs of $35.00
11/6/17 9:30 VIX1715K17 VIX Nov15'17 17 call SHORT 75 0.10 11/15 8:05 0.00 5.76%
Trade id #114700370
Max drawdown($1,125)
Time11/9/17 12:30
Quant open-75
Worst price0.25
Drawdown as % of equity-5.76%
$698
Includes Typical Broker Commissions trade costs of $52.50
10/30/17 10:58 VIX1708K19 VIX Nov8'17 19 call SHORT 50 0.10 11/2 10:59 0.10 0.26%
Trade id #114594693
Max drawdown($50)
Time10/30/17 11:56
Quant open-50
Worst price0.11
Drawdown as % of equity-0.26%
($70)
Includes Typical Broker Commissions trade costs of $70.00
10/23/17 9:49 VIX1701K19 VIX Nov1'17 19 call SHORT 50 0.10 11/1 8:05 0.00 2.59%
Trade id #114421476
Max drawdown($500)
Time10/25/17 12:51
Quant open-50
Worst price0.20
Drawdown as % of equity-2.59%
$430
Includes Typical Broker Commissions trade costs of $70.00
10/27/17 11:13 VIX1701K18 VIX Nov1'17 18 call SHORT 20 0.05 11/1 8:05 0.00 0%
Trade id #114570919
Max drawdown$0
Time10/27/17 11:26
Quant open-20
Worst price0.05
Drawdown as % of equity0.00%
$72
Includes Typical Broker Commissions trade costs of $28.00
10/18/17 10:16 VIX1725J19 VIX Oct25'17 19 call SHORT 30 0.05 10/25 8:05 0.00 0.79%
Trade id #114348178
Max drawdown($150)
Time10/19/17 9:54
Quant open-30
Worst price0.10
Drawdown as % of equity-0.79%
$108
Includes Typical Broker Commissions trade costs of $42.00
10/16/17 10:55 VIX1725J18 VIX Oct25'17 18 call SHORT 20 0.10 10/25 8:05 0.00 0%
Trade id #114298488
Max drawdown$0
Time10/16/17 11:02
Quant open-20
Worst price0.10
Drawdown as % of equity0.00%
$172
Includes Typical Broker Commissions trade costs of $28.00
10/10/17 10:39 VIX1718J17 VIX Oct18'17 17 call SHORT 60 0.14 10/18 8:05 0.00 n/a $756
Includes Typical Broker Commissions trade costs of $84.00
10/9/17 9:34 VXX1713J58 VXX Oct13'17 58 call SHORT 10 0.05 10/14 9:35 0.00 0%
Trade id #114108856
Max drawdown$0
Time10/9/17 9:42
Quant open-10
Worst price0.05
Drawdown as % of equity0.00%
$43
Includes Typical Broker Commissions trade costs of $7.00
10/4/17 10:27 VIX1711J18 VIX Oct11'17 18 call SHORT 20 0.05 10/11 8:05 0.00 0%
Trade id #114012657
Max drawdown$0
Time10/4/17 10:54
Quant open-20
Worst price0.05
Drawdown as % of equity0.00%
$72
Includes Typical Broker Commissions trade costs of $28.00
10/2/17 10:47 VIX1711J19 VIX Oct11'17 19 call SHORT 50 0.05 10/11 8:05 0.00 0.87%
Trade id #113973724
Max drawdown($150)
Time10/2/17 12:17
Quant open-50
Worst price0.08
Drawdown as % of equity-0.87%
$180
Includes Typical Broker Commissions trade costs of $70.00
9/28/17 9:37 VIX1704J17 VIX Oct4'17 17 call SHORT 50 0.05 10/3 16:15 0.00 1.43%
Trade id #113910554
Max drawdown($250)
Time9/28/17 13:31
Quant open-50
Worst price0.10
Drawdown as % of equity-1.43%
$215
Includes Typical Broker Commissions trade costs of $35.00
9/20/17 12:05 VIX1727I18 VIX Sep27'17 18 call SHORT 20 0.05 9/26 16:15 0.00 0.58%
Trade id #113766841
Max drawdown($100)
Time9/20/17 14:25
Quant open-20
Worst price0.10
Drawdown as % of equity-0.58%
$86
Includes Typical Broker Commissions trade costs of $14.00
9/18/17 11:15 VIX1727I19 VIX Sep27'17 19 call SHORT 50 0.05 9/26 16:15 0.00 0%
Trade id #113725233
Max drawdown$0
Time9/20/17 9:55
Quant open-50
Worst price0.05
Drawdown as % of equity0.00%
$215
Includes Typical Broker Commissions trade costs of $35.00
9/11/17 13:38 VIX1720I17 VIX Sep20'17 17 call SHORT 50 0.15 9/19 16:15 0.00 0%
Trade id #113628382
Max drawdown$0
Time9/11/17 14:06
Quant open-50
Worst price0.15
Drawdown as % of equity0.00%
$715
Includes Typical Broker Commissions trade costs of $35.00
8/28/17 13:41 VIX1706I25 VIX Sep6'17 25 call SHORT 30 0.05 9/5 16:15 0.00 1.11%
Trade id #113389430
Max drawdown($180)
Time8/29/17 9:31
Quant open-30
Worst price0.11
Drawdown as % of equity-1.11%
$129
Includes Typical Broker Commissions trade costs of $21.00
8/18/17 10:30 VIX1723H21 VIX Aug23'17 21 call SHORT 30 0.27 8/18 13:38 0.20 n/a $168
Includes Typical Broker Commissions trade costs of $42.00
8/14/17 10:17 VIX1716H14.5 VIX Aug16'17 14.5 call SHORT 50 0.20 8/15 16:15 0.00 1.67%
Trade id #113129565
Max drawdown($250)
Time8/14/17 11:10
Quant open-50
Worst price0.25
Drawdown as % of equity-1.67%
$965
Includes Typical Broker Commissions trade costs of $35.00

Statistics

  • Strategy began
    8/14/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2411.15
  • Age
    81 months ago
  • What it trades
    Options
  • # Trades
    29
  • # Profitable
    25
  • % Profitable
    86.20%
  • Avg trade duration
    10.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 20, 2018 - Dec 27, 2018
  • Annual Return (Compounded)
    8.2%
  • Avg win
    $608.60
  • Avg loss
    $762.50
  • Model Account Values (Raw)
  • Cash
    $27,165
  • Margin Used
    $0
  • Buying Power
    $27,165
  • Ratios
  • W:L ratio
    4.99:1
  • Sharpe Ratio
    -0.27
  • Sortino Ratio
    -0.28
  • Calmar Ratio
    0.268
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -44.43%
  • Correlation to SP500
    0.20430
  • Return Percent SP500 (cumu) during strategy life
    113.09%
  • Return Statistics
  • Ann Return (w trading costs)
    8.2%
  • Slump
  • Current Slump as Pcnt Equity
    81.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.082%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.4%
  • 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
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $762
  • Avg Win
    $609
  • Sum Trade PL (losers)
    $3,050.000
  • Age
  • Num Months filled monthly returns table
    80
  • Win / Loss
  • Sum Trade PL (winners)
    $15,215.000
  • # Winners
    25
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    4
  • % Winners
    86.2%
  • Frequency
  • Avg Position Time (mins)
    15013.00
  • Avg Position Time (hrs)
    250.22
  • Avg Trade Length
    10.4 days
  • Last Trade Ago
    1863
  • Leverage
  • Daily leverage (average)
    15.13
  • Daily leverage (max)
    33.85
  • Regression
  • Alpha
    0.00
  • Beta
    2.58
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.80
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    12.72
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    5.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.51
  • MAE:Equity, average, winning trades
    0.90
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    2.335
  • 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
    1.573
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.082
  • Hold-and-Hope Ratio
    0.427
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77340
  • SD
    1.32812
  • Sharpe ratio (Glass type estimate)
    0.58232
  • Sharpe ratio (Hedges UMVUE)
    0.56656
  • df
    28.00000
  • t
    0.90526
  • p
    0.18653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84713
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83605
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78485
  • Upside Potential Ratio
    2.75612
  • Upside part of mean
    1.19426
  • Downside part of mean
    -0.42086
  • Upside SD
    1.25106
  • Downside SD
    0.43331
  • N nonnegative terms
    9.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.23334
  • Mean of criterion
    0.77340
  • SD of predictor
    0.20718
  • SD of criterion
    1.32812
  • Covariance
    0.05128
  • r
    0.18635
  • b (slope, estimate of beta)
    1.19458
  • a (intercept, estimate of alpha)
    0.49466
  • Mean Square Error
    1.76571
  • DF error
    27.00000
  • t(b)
    0.98558
  • p(b)
    0.16654
  • t(a)
    0.54941
  • p(a)
    0.29362
  • Lowerbound of 95% confidence interval for beta
    -1.29236
  • Upperbound of 95% confidence interval for beta
    3.68153
  • Lowerbound of 95% confidence interval for alpha
    -1.35270
  • Upperbound of 95% confidence interval for alpha
    2.34201
  • Treynor index (mean / b)
    0.64742
  • Jensen alpha (a)
    0.49466
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21784
  • SD
    1.01287
  • Sharpe ratio (Glass type estimate)
    0.21507
  • Sharpe ratio (Hedges UMVUE)
    0.20925
  • df
    28.00000
  • t
    0.33434
  • p
    0.37031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04884
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47122
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32877
  • Upside Potential Ratio
    1.21043
  • Upside part of mean
    0.80200
  • Downside part of mean
    -0.58416
  • Upside SD
    0.74531
  • Downside SD
    0.66257
  • N nonnegative terms
    9.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.21065
  • Mean of criterion
    0.21784
  • SD of predictor
    0.20346
  • SD of criterion
    1.01287
  • Covariance
    0.05403
  • r
    0.26217
  • b (slope, estimate of beta)
    1.30515
  • a (intercept, estimate of alpha)
    -0.05709
  • Mean Square Error
    0.99078
  • DF error
    27.00000
  • t(b)
    1.41166
  • p(b)
    0.08474
  • t(a)
    -0.08530
  • p(a)
    0.53368
  • Lowerbound of 95% confidence interval for beta
    -0.59187
  • Upperbound of 95% confidence interval for beta
    3.20218
  • Lowerbound of 95% confidence interval for alpha
    -1.43029
  • Upperbound of 95% confidence interval for alpha
    1.31612
  • Treynor index (mean / b)
    0.16690
  • Jensen alpha (a)
    -0.05709
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37047
  • Expected Shortfall on VaR
    0.43974
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09657
  • Expected Shortfall on VaR
    0.21303
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.36976
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02407
  • Maximum
    2.84064
  • Mean of quarter 1
    0.87869
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00624
  • Mean of quarter 4
    1.40906
  • Inter Quartile Range
    0.02407
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.10345
  • Mean of outliers low
    0.69922
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.17241
  • Mean of outliers high
    1.55436
  • 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)
    1.50006
  • VaR(95%) (regression method)
    0.14067
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.73853
  • Quartile 1
    0.73853
  • Median
    0.73853
  • Quartile 3
    0.73853
  • Maximum
    0.73853
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33559
  • Compounded annual return (geometric extrapolation)
    0.27857
  • Calmar ratio (compounded annual return / max draw down)
    0.37720
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.63348
  • 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
    954.24100
  • SD
    1501.46000
  • Sharpe ratio (Glass type estimate)
    0.63554
  • Sharpe ratio (Hedges UMVUE)
    0.63481
  • df
    654.00000
  • t
    1.00488
  • p
    0.15766
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87537
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87488
  • Statistics related to Sortino ratio
  • Sortino ratio
    870.05600
  • Upside Potential Ratio
    872.66500
  • Upside part of mean
    957.10200
  • Downside part of mean
    -2.86159
  • Upside SD
    1501.47000
  • Downside SD
    1.09676
  • N nonnegative terms
    103.00000
  • N negative terms
    552.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    655.00000
  • Mean of predictor
    0.32746
  • Mean of criterion
    954.24100
  • SD of predictor
    0.32567
  • SD of criterion
    1501.46000
  • Covariance
    6.98539
  • r
    0.01429
  • b (slope, estimate of beta)
    65.86360
  • a (intercept, estimate of alpha)
    932.67300
  • Mean Square Error
    2257360.00000
  • DF error
    653.00000
  • t(b)
    0.36510
  • p(b)
    0.35758
  • t(a)
    0.97963
  • p(a)
    0.16382
  • Lowerbound of 95% confidence interval for beta
    -288.37300
  • Upperbound of 95% confidence interval for beta
    420.10000
  • Lowerbound of 95% confidence interval for alpha
    -936.81200
  • Upperbound of 95% confidence interval for alpha
    2802.16000
  • Treynor index (mean / b)
    14.48810
  • Jensen alpha (a)
    932.67300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20964
  • SD
    7.49184
  • Sharpe ratio (Glass type estimate)
    0.02798
  • Sharpe ratio (Hedges UMVUE)
    0.02795
  • df
    654.00000
  • t
    0.04425
  • p
    0.48236
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21161
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26757
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21164
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26754
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03909
  • Upside Potential Ratio
    1.25431
  • Upside part of mean
    6.72653
  • Downside part of mean
    -6.51689
  • Upside SD
    5.22333
  • Downside SD
    5.36273
  • N nonnegative terms
    103.00000
  • N negative terms
    552.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    655.00000
  • Mean of predictor
    0.27499
  • Mean of criterion
    0.20964
  • SD of predictor
    0.32302
  • SD of criterion
    7.49184
  • Covariance
    0.20055
  • r
    0.08287
  • b (slope, estimate of beta)
    1.92207
  • a (intercept, estimate of alpha)
    -0.31890
  • Mean Square Error
    55.82750
  • DF error
    653.00000
  • t(b)
    2.12500
  • p(b)
    0.01698
  • t(a)
    -0.06739
  • p(a)
    0.52685
  • Lowerbound of 95% confidence interval for beta
    0.14598
  • Upperbound of 95% confidence interval for beta
    3.69816
  • Lowerbound of 95% confidence interval for alpha
    -9.61089
  • Upperbound of 95% confidence interval for alpha
    8.97309
  • Treynor index (mean / b)
    0.10907
  • Jensen alpha (a)
    -0.31890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.53258
  • Expected Shortfall on VaR
    0.60948
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03403
  • Expected Shortfall on VaR
    0.07721
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    655.00000
  • Minimum
    0.00030
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2375.00000
  • Mean of quarter 1
    0.95674
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    15.59000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    71.00000
  • Percentage of outliers low
    0.10840
  • Mean of outliers low
    0.90007
  • Number of outliers high
    103.00000
  • Percentage of outliers high
    0.15725
  • Mean of outliers high
    24.23070
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.10414
  • VaR(95%) (moments method)
    0.00655
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00328
  • Median
    0.00418
  • Quartile 3
    0.02110
  • Maximum
    0.99996
  • Mean of quarter 1
    0.00155
  • Mean of quarter 2
    0.00368
  • Mean of quarter 3
    0.00823
  • Mean of quarter 4
    0.35607
  • Inter Quartile Range
    0.01781
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.57324
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.92042
  • VaR(95%) (moments method)
    0.20243
  • Expected Shortfall (moments method)
    2.97965
  • Extreme Value Index (regression method)
    1.12288
  • VaR(95%) (regression method)
    0.59839
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32440
  • Compounded annual return (geometric extrapolation)
    0.26814
  • Calmar ratio (compounded annual return / max draw down)
    0.26815
  • Compounded annual return / average of 25% largest draw downs
    0.75307
  • Compounded annual return / Expected Shortfall lognormal
    0.43995
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92343
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43511
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.82827
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43420
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6819060000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.53300
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -157727000000000012924071587086336.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -607435000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

The strategy "VIX community" is automated and based on an indicator developed by LeonKaden AlgoTrading.
The indicator measures the momentum of the market for the coming week and the sale options strategy is activated.
To avoid unnecessary risks, the strategy will only take place when conditions are met, so there will be time without action.

Summary Statistics

Strategy began
2017-08-14
Suggested Minimum Capital
$25,000
# Trades
29
# Profitable
25
% Profitable
86.2%
Correlation S&P500
0.204
Sharpe Ratio
-0.27
Sortino Ratio
-0.28
Beta
2.58
Alpha
0.00
Leverage
15.13 Average
33.85 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.