Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/07/2023
Most recent certification approved 12/7/23 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 121
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 114
Percent signals followed since 12/07/2023 94.2%
This information was last updated 12/21/24 10:46 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/07/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

LIQUID Volatility Plus
(140995589)

Powered by BrokerTransmit.
Read important disclosures.

Created by: LiquidAssets LiquidAssets
Started: 07/2022
Stocks, Options
Last trade: 141 days ago
Trading style: Equity Hedged Equity Short-term Reversal

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 $149.00 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: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
9.7%
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.

(17.7%)
Max Drawdown
80
Num Trades
43.8%
Win Trades
2.1 : 1
Profit Factor
56.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +1.5%(0.3%)(5.2%)+3.2%+5.3%+2.3%+6.6%
2023+7.1%+1.4%+1.6%+0.8%+3.1%+2.2%+3.1%(1.5%)(0.1%)(0.8%)+1.4%+1.7%+21.4%
2024+3.7%+3.2%(0.2%)(0.9%)+4.7%+1.8%(2.2%)(12%)  -    -    -    -  (3%)

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

This strategy has placed 109 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/18/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 453 44.29 8/2 15:51 55.51 14.72%
Trade id #148678958
Max drawdown($4,577)
Time8/2/24 11:09
Quant open227
Worst price64.45
Drawdown as % of equity-14.72%
 ($5,095)
Includes Typical Broker Commissions trade costs of $9.06
7/18/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 199 100.58 8/2 15:51 100.34 0.18%
Trade id #148678969
Max drawdown($57)
Time8/1/24 0:00
Quant open199
Worst price100.29
Drawdown as % of equity-0.18%
 ($51)
Includes Typical Broker Commissions trade costs of $3.98
7/24/24 9:31 VXX22426G13 VXX2 Jul26'24 13 call LONG 18 0.01 7/26 11:23 0.01 n/a ($25)
Includes Typical Broker Commissions trade costs of $25.20
7/18/24 9:32 VXX2426G13 VXX Jul26'24 13 call LONG 18 0.12 7/24 9:32 0.00 0.41%
Trade id #148679249
Max drawdown($135)
Time7/22/24 0:00
Quant open18
Worst price0.04
Drawdown as % of equity-0.41%
 ($232)
Includes Typical Broker Commissions trade costs of $25.20
6/25/24 9:37 VXX2405G14.5 VXX Jul5'24 14.5 call LONG 18 0.05 7/3 9:31 0.01 0.22%
Trade id #148492955
Max drawdown($72)
Time6/26/24 0:00
Quant open18
Worst price0.01
Drawdown as % of equity-0.22%
 ($93)
Includes Typical Broker Commissions trade costs of $25.20
6/25/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 199 100.65 7/3 9:30 100.39 0.19%
Trade id #148492502
Max drawdown($62)
Time7/1/24 0:00
Quant open179
Worst price100.30
Drawdown as % of equity-0.19%
 ($57)
Includes Typical Broker Commissions trade costs of $3.98
6/25/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,790 11.17 7/3 9:30 10.39 0.55%
Trade id #148492479
Max drawdown($179)
Time6/25/24 10:00
Quant open1,790
Worst price11.27
Drawdown as % of equity-0.55%
 $1,382
Includes Typical Broker Commissions trade costs of $6.79
6/3/24 10:10 VXX2407F14 VXX Jun7'24 14 call LONG 17 0.04 6/6 9:30 0.01 0.16%
Trade id #148314849
Max drawdown($51)
Time6/4/24 0:00
Quant open17
Worst price0.01
Drawdown as % of equity-0.16%
 ($75)
Includes Typical Broker Commissions trade costs of $24.10
6/3/24 9:33 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 198 100.34 6/6 9:30 100.38 0.01%
Trade id #148313691
Max drawdown($1)
Time6/3/24 9:57
Quant open198
Worst price100.33
Drawdown as % of equity-0.01%
 $4
Includes Typical Broker Commissions trade costs of $3.96
6/3/24 9:33 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,734 11.50 6/6 9:30 11.25 2.18%
Trade id #148313689
Max drawdown($693)
Time6/3/24 13:11
Quant open1,734
Worst price11.90
Drawdown as % of equity-2.18%
 $427
Includes Typical Broker Commissions trade costs of $7.50
5/1/24 9:44 VXX2410E16.5 VXX May10'24 16.5 call LONG 14 0.10 5/11 9:35 0.00 0.35%
Trade id #148061494
Max drawdown($109)
Time5/3/24 0:00
Quant open14
Worst price0.02
Drawdown as % of equity-0.35%
 ($144)
Includes Typical Broker Commissions trade costs of $11.20
5/1/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 199 100.32 5/7 9:30 100.39 0%
Trade id #148061001
Max drawdown($1)
Time5/1/24 9:33
Quant open139
Worst price100.30
Drawdown as % of equity-0.00%
 $9
Includes Typical Broker Commissions trade costs of $3.98
5/1/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,458 13.64 5/7 9:30 12.42 0.36%
Trade id #148060993
Max drawdown($111)
Time5/1/24 10:24
Quant open1,011
Worst price13.86
Drawdown as % of equity-0.36%
 $1,763
Includes Typical Broker Commissions trade costs of $14.05
4/30/24 9:37 INCY INCYTE LONG 50 53.00 4/30 9:38 53.02 n/a $0
Includes Typical Broker Commissions trade costs of $1.00
4/25/24 13:11 VXX2403E16.5 VXX May3'24 16.5 call LONG 12 0.14 4/30 9:36 0.02 0.47%
Trade id #148012184
Max drawdown($144)
Time4/30/24 9:36
Quant open12
Worst price0.02
Drawdown as % of equity-0.47%
 ($161)
Includes Typical Broker Commissions trade costs of $16.80
4/3/24 16:00 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 159 100.32 4/30 9:30 100.70 n/a $57
Includes Typical Broker Commissions trade costs of $3.18
4/3/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,370 13.82 4/30 9:29 13.48 7.55%
Trade id #147792674
Max drawdown($2,203)
Time4/19/24 0:00
Quant open1,170
Worst price15.71
Drawdown as % of equity-7.55%
 $453
Includes Typical Broker Commissions trade costs of $9.00
4/22/24 10:06 VXX2426D17.5 VXX Apr26'24 17.5 call LONG 10 0.09 4/27 9:35 0.00 0.26%
Trade id #147974564
Max drawdown($80)
Time4/24/24 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-0.26%
 ($97)
Includes Typical Broker Commissions trade costs of $7.00
4/15/24 9:32 VXX2419D18 VXX Apr19'24 18 call LONG 12 0.19 4/20 9:35 0.00 0.74%
Trade id #147903903
Max drawdown($216)
Time4/19/24 0:00
Quant open12
Worst price0.01
Drawdown as % of equity-0.74%
 ($236)
Includes Typical Broker Commissions trade costs of $8.40
4/12/24 15:58 VXX2419D18 VXX Apr19'24 18 call LONG 6 0.26 4/12 15:59 0.23 0.06%
Trade id #147891358
Max drawdown($18)
Time4/12/24 15:59
Quant open6
Worst price0.23
Drawdown as % of equity-0.06%
 ($26)
Includes Typical Broker Commissions trade costs of $8.40
4/3/24 9:51 VXX2412D17 VXX Apr12'24 17 call LONG 12 0.10 4/12 13:30 0.03 0.35%
Trade id #147793290
Max drawdown($108)
Time4/11/24 0:00
Quant open12
Worst price0.01
Drawdown as % of equity-0.35%
 ($101)
Includes Typical Broker Commissions trade costs of $16.80
3/28/24 15:39: Rescaled downward to 75% of previous Model Account size
3/18/24 11:04 VXX2422C18 VXX Mar22'24 18 call LONG 3 0.04 3/23 9:35 0.00 0.02%
Trade id #147663675
Max drawdown($6)
Time3/20/24 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.02%
 ($14)
Includes Typical Broker Commissions trade costs of $2.10
3/18/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 45 100.54 3/21 9:30 100.61 0%
Trade id #147661366
Max drawdown($0)
Time3/18/24 9:33
Quant open34
Worst price100.53
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.90
3/18/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 321.750000000 13.96 3/21 9:30 13.00 0%
Trade id #147661321
Max drawdown($1)
Time3/18/24 13:40
Quant open242
Worst price13.97
Drawdown as % of equity-0.00%
 $304
Includes Typical Broker Commissions trade costs of $6.44
3/6/24 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 104.250000000 100.36 3/7 9:30 100.40 0%
Trade id #147551233
Max drawdown($0)
Time3/6/24 9:33
Quant open78
Worst price100.35
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $2.08
3/6/24 9:47 VXX2408C16 VXX Mar8'24 16 call LONG 7.500000000 0.04 3/6 10:36 0.04 n/a ($11)
Includes Typical Broker Commissions trade costs of $10.50
3/6/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,296 13.83 3/6 10:03 13.94 0.44%
Trade id #147551228
Max drawdown($135)
Time3/6/24 10:00
Quant open570
Worst price13.98
Drawdown as % of equity-0.44%
 ($152)
Includes Typical Broker Commissions trade costs of $9.75
2/14/24 9:37 VXX2423B20 VXX Feb23'24 20 call LONG 9.750000000 0.13 2/24 9:35 0.00 0.28%
Trade id #147333371
Max drawdown($87)
Time2/20/24 0:00
Quant open8
Worst price0.01
Drawdown as % of equity-0.28%
 ($134)
Includes Typical Broker Commissions trade costs of $6.82
2/14/24 16:09 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 146.250000000 100.52 2/22 16:01 100.62 n/a $11
Includes Typical Broker Commissions trade costs of $2.92
2/14/24 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,006.500000000 14.71 2/22 15:56 14.37 1.28%
Trade id #147332926
Max drawdown($399)
Time2/20/24 0:00
Quant open754
Worst price15.24
Drawdown as % of equity-1.28%
 $337
Includes Typical Broker Commissions trade costs of $7.50
Next

Statistics

  • Strategy began
    7/7/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    895.46
  • Age
    30 months ago
  • What it trades
    Stocks, Options
  • # Trades
    80
  • # Profitable
    35
  • % Profitable
    43.80%
  • Avg trade duration
    9.2 days
  • Max peak-to-valley drawdown
    17.68%
  • drawdown period
    July 23, 2024 - Aug 03, 2024
  • Annual Return (Compounded)
    9.7%
  • Avg win
    $503.26
  • Avg loss
    $189.33
  • Model Account Values (Raw)
  • Cash
    $31,763
  • Margin Used
    $0
  • Buying Power
    $31,763
  • Ratios
  • W:L ratio
    2.09:1
  • Sharpe Ratio
    0.58
  • Sortino Ratio
    0.75
  • Calmar Ratio
    1.176
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -24.79%
  • Correlation to SP500
    0.43850
  • Return Percent SP500 (cumu) during strategy life
    51.97%
  • Return Statistics
  • Ann Return (w trading costs)
    9.7%
  • Slump
  • Current Slump as Pcnt Equity
    21.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.17%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.097%
  • Instruments
  • Percent Trades Options
    0.44%
  • Percent Trades Stocks
    0.56%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    725
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    573
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $189
  • Avg Win
    $503
  • Sum Trade PL (losers)
    $8,520.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $17,614.000
  • # Winners
    35
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    169
  • Win / Loss
  • # Losers
    45
  • % Winners
    43.8%
  • Frequency
  • Avg Position Time (mins)
    13256.50
  • Avg Position Time (hrs)
    220.94
  • Avg Trade Length
    9.2 days
  • Last Trade Ago
    139
  • Leverage
  • Daily leverage (average)
    0.54
  • Daily leverage (max)
    1.83
  • Regression
  • Alpha
    0.01
  • Beta
    0.33
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.69
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.617
  • 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
    0.15
  • Avg(MAE) / Avg(PL) - Winning trades
    0.387
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.909
  • Hold-and-Hope Ratio
    0.619
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15608
  • SD
    0.14368
  • Sharpe ratio (Glass type estimate)
    1.08630
  • Sharpe ratio (Hedges UMVUE)
    1.05042
  • df
    23.00000
  • t
    1.53626
  • p
    0.06906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49575
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46918
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49581
  • Upside Potential Ratio
    2.50269
  • Upside part of mean
    0.26114
  • Downside part of mean
    -0.10506
  • Upside SD
    0.10453
  • Downside SD
    0.10434
  • N nonnegative terms
    18.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.15185
  • Mean of criterion
    0.15608
  • SD of predictor
    0.14197
  • SD of criterion
    0.14368
  • Covariance
    0.00734
  • r
    0.35986
  • b (slope, estimate of beta)
    0.36419
  • a (intercept, estimate of alpha)
    0.10078
  • Mean Square Error
    0.01879
  • DF error
    22.00000
  • t(b)
    1.80912
  • p(b)
    0.04206
  • t(a)
    0.99162
  • p(a)
    0.16608
  • Lowerbound of 95% confidence interval for beta
    -0.05330
  • Upperbound of 95% confidence interval for beta
    0.78169
  • Lowerbound of 95% confidence interval for alpha
    -0.10999
  • Upperbound of 95% confidence interval for alpha
    0.31154
  • Treynor index (mean / b)
    0.42856
  • Jensen alpha (a)
    0.10078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14450
  • SD
    0.14838
  • Sharpe ratio (Glass type estimate)
    0.97390
  • Sharpe ratio (Hedges UMVUE)
    0.94173
  • df
    23.00000
  • t
    1.37730
  • p
    0.09084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45007
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47064
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35410
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29428
  • Upside Potential Ratio
    2.28639
  • Upside part of mean
    0.25527
  • Downside part of mean
    -0.11077
  • Upside SD
    0.10185
  • Downside SD
    0.11165
  • N nonnegative terms
    18.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.14100
  • Mean of criterion
    0.14450
  • SD of predictor
    0.14182
  • SD of criterion
    0.14838
  • Covariance
    0.00743
  • r
    0.35296
  • b (slope, estimate of beta)
    0.36927
  • a (intercept, estimate of alpha)
    0.09243
  • Mean Square Error
    0.02015
  • DF error
    22.00000
  • t(b)
    1.76938
  • p(b)
    0.04535
  • t(a)
    0.88373
  • p(a)
    0.19320
  • Lowerbound of 95% confidence interval for beta
    -0.06355
  • Upperbound of 95% confidence interval for beta
    0.80208
  • Lowerbound of 95% confidence interval for alpha
    -0.12448
  • Upperbound of 95% confidence interval for alpha
    0.30935
  • Treynor index (mean / b)
    0.39132
  • Jensen alpha (a)
    0.09243
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05674
  • Expected Shortfall on VaR
    0.07335
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01134
  • Expected Shortfall on VaR
    0.02951
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.86134
  • Quartile 1
    1.00305
  • Median
    1.01755
  • Quartile 3
    1.03798
  • Maximum
    1.06590
  • Mean of quarter 1
    0.96731
  • Mean of quarter 2
    1.01016
  • Mean of quarter 3
    1.02944
  • Mean of quarter 4
    1.05443
  • Inter Quartile Range
    0.03493
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.86134
  • 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)
    -0.50516
  • VaR(95%) (moments method)
    0.00285
  • Expected Shortfall (moments method)
    0.00382
  • Extreme Value Index (regression method)
    1.14427
  • VaR(95%) (regression method)
    0.04893
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00044
  • Quartile 1
    0.00390
  • Median
    0.02222
  • Quartile 3
    0.03300
  • Maximum
    0.13866
  • Mean of quarter 1
    0.00217
  • Mean of quarter 2
    0.02222
  • Mean of quarter 3
    0.03300
  • Mean of quarter 4
    0.13866
  • Inter Quartile Range
    0.02910
  • 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
    0.20000
  • Mean of outliers high
    0.13866
  • 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)
    0.20587
  • Compounded annual return (geometric extrapolation)
    0.18816
  • Calmar ratio (compounded annual return / max draw down)
    1.35699
  • Compounded annual return / average of 25% largest draw downs
    1.35699
  • Compounded annual return / Expected Shortfall lognormal
    2.56518
  • 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
    0.14519
  • SD
    0.11755
  • Sharpe ratio (Glass type estimate)
    1.23511
  • Sharpe ratio (Hedges UMVUE)
    1.23341
  • df
    543.00000
  • t
    1.77974
  • p
    0.03784
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59676
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59557
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61917
  • Upside Potential Ratio
    6.32966
  • Upside part of mean
    0.56758
  • Downside part of mean
    -0.42239
  • Upside SD
    0.07637
  • Downside SD
    0.08967
  • N nonnegative terms
    211.00000
  • N negative terms
    333.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    544.00000
  • Mean of predictor
    0.19753
  • Mean of criterion
    0.14519
  • SD of predictor
    0.16762
  • SD of criterion
    0.11755
  • Covariance
    0.00908
  • r
    0.46103
  • b (slope, estimate of beta)
    0.32332
  • a (intercept, estimate of alpha)
    0.08100
  • Mean Square Error
    0.01090
  • DF error
    542.00000
  • t(b)
    12.09530
  • p(b)
    0.00000
  • t(a)
    1.11940
  • p(a)
    0.13173
  • Lowerbound of 95% confidence interval for beta
    0.27081
  • Upperbound of 95% confidence interval for beta
    0.37583
  • Lowerbound of 95% confidence interval for alpha
    -0.06139
  • Upperbound of 95% confidence interval for alpha
    0.22404
  • Treynor index (mean / b)
    0.44906
  • Jensen alpha (a)
    0.08133
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13816
  • SD
    0.11856
  • Sharpe ratio (Glass type estimate)
    1.16531
  • Sharpe ratio (Hedges UMVUE)
    1.16370
  • df
    543.00000
  • t
    1.67915
  • p
    0.04685
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52674
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52565
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51152
  • Upside Potential Ratio
    6.17713
  • Upside part of mean
    0.56463
  • Downside part of mean
    -0.42647
  • Upside SD
    0.07582
  • Downside SD
    0.09141
  • N nonnegative terms
    211.00000
  • N negative terms
    333.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    544.00000
  • Mean of predictor
    0.18347
  • Mean of criterion
    0.13816
  • SD of predictor
    0.16720
  • SD of criterion
    0.11856
  • Covariance
    0.00913
  • r
    0.46069
  • b (slope, estimate of beta)
    0.32669
  • a (intercept, estimate of alpha)
    0.07823
  • Mean Square Error
    0.01109
  • DF error
    542.00000
  • t(b)
    12.08400
  • p(b)
    0.00000
  • t(a)
    1.06773
  • p(a)
    0.14306
  • Lowerbound of 95% confidence interval for beta
    0.27358
  • Upperbound of 95% confidence interval for beta
    0.37979
  • Lowerbound of 95% confidence interval for alpha
    -0.06569
  • Upperbound of 95% confidence interval for alpha
    0.22215
  • Treynor index (mean / b)
    0.42293
  • Jensen alpha (a)
    0.07823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01145
  • Expected Shortfall on VaR
    0.01447
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00411
  • Expected Shortfall on VaR
    0.00913
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    544.00000
  • Minimum
    0.93643
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00279
  • Maximum
    1.03060
  • Mean of quarter 1
    0.99381
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00073
  • Mean of quarter 4
    1.00810
  • Inter Quartile Range
    0.00279
  • Number outliers low
    58.00000
  • Percentage of outliers low
    0.10662
  • Mean of outliers low
    0.98751
  • Number of outliers high
    68.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.01172
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13710
  • VaR(95%) (moments method)
    0.00290
  • Expected Shortfall (moments method)
    0.00497
  • Extreme Value Index (regression method)
    0.32489
  • VaR(95%) (regression method)
    0.00538
  • Expected Shortfall (regression method)
    0.01177
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00077
  • Median
    0.00700
  • Quartile 3
    0.01623
  • Maximum
    0.15355
  • Mean of quarter 1
    0.00038
  • Mean of quarter 2
    0.00248
  • Mean of quarter 3
    0.01045
  • Mean of quarter 4
    0.05434
  • Inter Quartile Range
    0.01546
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13889
  • Mean of outliers high
    0.08173
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.41867
  • VaR(95%) (moments method)
    0.05236
  • Expected Shortfall (moments method)
    0.10756
  • Extreme Value Index (regression method)
    0.43760
  • VaR(95%) (regression method)
    0.06189
  • Expected Shortfall (regression method)
    0.13217
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19830
  • Compounded annual return (geometric extrapolation)
    0.18066
  • Calmar ratio (compounded annual return / max draw down)
    1.17650
  • Compounded annual return / average of 25% largest draw downs
    3.32486
  • Compounded annual return / Expected Shortfall lognormal
    12.48280
  • 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
    -0.11184
  • SD
    0.18294
  • Sharpe ratio (Glass type estimate)
    -0.61131
  • Sharpe ratio (Hedges UMVUE)
    -0.60778
  • df
    130.00000
  • t
    -0.43226
  • p
    0.51894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38303
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.38057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16501
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72155
  • Upside Potential Ratio
    3.83773
  • Upside part of mean
    0.59483
  • Downside part of mean
    -0.70667
  • Upside SD
    0.09611
  • Downside SD
    0.15500
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32568
  • Mean of criterion
    -0.11184
  • SD of predictor
    0.16022
  • SD of criterion
    0.18294
  • Covariance
    0.01381
  • r
    0.47097
  • b (slope, estimate of beta)
    0.53777
  • a (intercept, estimate of alpha)
    -0.28698
  • Mean Square Error
    0.02625
  • DF error
    129.00000
  • t(b)
    6.06390
  • p(b)
    0.21165
  • t(a)
    -1.24272
  • p(a)
    0.56911
  • Lowerbound of 95% confidence interval for beta
    0.36231
  • Upperbound of 95% confidence interval for beta
    0.71323
  • Lowerbound of 95% confidence interval for alpha
    -0.74388
  • Upperbound of 95% confidence interval for alpha
    0.16992
  • Treynor index (mean / b)
    -0.20796
  • Jensen alpha (a)
    -0.28698
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12879
  • SD
    0.18566
  • Sharpe ratio (Glass type estimate)
    -0.69368
  • Sharpe ratio (Hedges UMVUE)
    -0.68967
  • df
    130.00000
  • t
    -0.49051
  • p
    0.52149
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.46544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08074
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.46274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08340
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81097
  • Upside Potential Ratio
    3.71660
  • Upside part of mean
    0.59021
  • Downside part of mean
    -0.71900
  • Upside SD
    0.09513
  • Downside SD
    0.15880
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31280
  • Mean of criterion
    -0.12879
  • SD of predictor
    0.15942
  • SD of criterion
    0.18566
  • Covariance
    0.01407
  • r
    0.47537
  • b (slope, estimate of beta)
    0.55360
  • a (intercept, estimate of alpha)
    -0.30195
  • Mean Square Error
    0.02689
  • DF error
    129.00000
  • t(b)
    6.13689
  • p(b)
    0.20919
  • t(a)
    -1.29262
  • p(a)
    0.57183
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.37512
  • Upperbound of 95% confidence interval for beta
    0.73208
  • Lowerbound of 95% confidence interval for alpha
    -0.76413
  • Upperbound of 95% confidence interval for alpha
    0.16023
  • Treynor index (mean / b)
    -0.23263
  • Jensen alpha (a)
    -0.30195
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01917
  • Expected Shortfall on VaR
    0.02385
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00767
  • Expected Shortfall on VaR
    0.01683
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93643
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00107
  • Maximum
    1.03060
  • Mean of quarter 1
    0.98960
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.00906
  • Inter Quartile Range
    0.00107
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.98205
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.20611
  • Mean of outliers high
    1.01060
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.01133
  • VaR(95%) (moments method)
    0.00259
  • Expected Shortfall (moments method)
    0.00309
  • Extreme Value Index (regression method)
    0.27714
  • VaR(95%) (regression method)
    0.01244
  • Expected Shortfall (regression method)
    0.02911
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00362
  • Median
    0.01536
  • Quartile 3
    0.06305
  • Maximum
    0.15355
  • Mean of quarter 1
    0.00080
  • Mean of quarter 2
    0.00997
  • Mean of quarter 3
    0.02074
  • Mean of quarter 4
    0.11535
  • Inter Quartile Range
    0.05942
  • 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
    0.16667
  • Mean of outliers high
    0.15355
  • 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?
    -367302000
  • Max Equity Drawdown (num days)
    11
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09838
  • Compounded annual return (geometric extrapolation)
    -0.09596
  • Calmar ratio (compounded annual return / max draw down)
    -0.62491
  • Compounded annual return / average of 25% largest draw downs
    -0.83188
  • Compounded annual return / Expected Shortfall lognormal
    -4.02296

Strategy Description

New Algorithm Trade System (starting date) : after an initial test period the official version of the strategy started on October 10th 2022.

All Liquid Volatility strategies that can be MANUALLY traded.
All are 100% algorithmic systematic strategies. No human intervention.

LIQUID Volatility SVXY go back to trade “LONG Only” SVXY (-0.5x Short VIX Futures ETF)
Thus it will be possible to trade this strategy also for IRA accounts.

LIQUID Volatility UVXY trades “SHORT only” UVXY (1.5 x ProShares VIX Short-Term Futures ETF).
LIQUID Volatility PLUS trades “SHORT only” VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN).

LIQUID Volatility SVXY and LIQUID Volatility UVXY has no option coverage but only a stop loss updated every day.

LIQUID Volatility PLUS, in addition to the stop loss, also has an option call coverage to prevent a large loss from a "black swan" event.
The vast majority of the time, these options will expire worthless.
However, should there be some sort of unforeseen "black-swan" event, then the options will provide a cap on the amount of money that could be lost on the overall trade.

2024 update :
1)LIQUID VOLATILITY plus is now 100% TOS-certified since January 2024”
2) in order to generate a surplus percentage yield starting from January 2024 all Liquid Volatility strategies will invest in the SGOV iShares 0-3 Month Treasury Bond ETF.
May 1 Update:
After various tests conducted on the standard deviation of the various ETFs and their performance compared to each other, we decided to use SVXY for the Long Only and VXX with UVXY for the Short Only. This change will be permanent.
PS: the trades in TAP or INCY that occurred in LIQUID Volatility Plus were the result of broker transmit errors and were immediately closed. They are not part of the strategy that trades volatility only,
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-07
Suggested Minimum Capital
$25,000
# Trades
80
# Profitable
35
% Profitable
43.8%
Net Dividends
$168
Correlation S&P500
0.439
Sharpe Ratio
0.58
Sortino Ratio
0.75
Beta
0.33
Alpha
0.01
Leverage
0.54 Average
1.83 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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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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