Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

Sage Volatility Margin
(102427283)

Created by: Sage_Volatility Sage_Volatility
Started: 05/2016
Stocks, Options
Last trade: 6 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. Subscriptions to this system cost $130.00 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.

33.7%
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.

(35.5%)
Max Drawdown
902
Num Trades
27.2%
Win Trades
1.6 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                            +27.7%+14.9%+19.9%+5.2%+7.4%(3.8%)(9.1%)+9.4%+90.1%
2017+24.9%+1.1%+16.3%(0.1%)+3.6%(1.9%)+10.6%(14.5%)+13.9%+9.1%(2.9%)+3.2%+75.7%
2018(8.4%)+26.1%(4.6%)+2.5%+0.9%(0.9%)+3.0%+4.8%+4.8%(9.7%)+0.4%+1.8%+17.8%
2019(7.8%)(2.4%)(4.4%)+7.4%(7.3%)+0.5%+0.2%(2.3%)(0.5%)+11.4%+10.2%(0.7%)+2.3%
2020(1.2%)+23.3%+21.5%+1.2%+8.9%(1.1%)+3.5%+2.0%(1.9%)+3.8%(1.3%)+0.4%+71.6%
2021(4%)+9.8%+10.4%+0.9%+2.2%+5.9%(8.7%)+4.9%(10.8%)+11.5%(4.7%)(0.4%)+15.0%
2022(12.8%)(6.4%)+6.5%(8.7%)+3.9%(2.7%)+7.2%(3.8%)(6.5%)+5.4%+3.5%  -  (15.7%)

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 48 hours.

Trading Record

This strategy has placed 3,973 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/21/22 14:34 SVXY2218W35 SVXY Nov18'22 35 put LONG 5 0.09 11/19 9:35 0.00 0.02%
Trade id #142268255
Max drawdown($22)
Time10/24/22 0:00
Quant open5
Worst price0.05
Drawdown as % of equity-0.02%
($51)
Includes Typical Broker Commissions trade costs of $3.50
11/4/22 11:32 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 800 53.59 11/8 10:37 53.58 0.46%
Trade id #142443605
Max drawdown($671)
Time11/4/22 14:06
Quant open800
Worst price52.75
Drawdown as % of equity-0.46%
($17)
Includes Typical Broker Commissions trade costs of $10.50
11/1/22 10:39 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 800 17.55 11/3 11:33 17.97 0.13%
Trade id #142395281
Max drawdown($190)
Time11/2/22 0:00
Quant open800
Worst price17.31
Drawdown as % of equity-0.13%
$328
Includes Typical Broker Commissions trade costs of $10.50
3/14/22 14:03 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 38,600 50.06 10/31 11:35 50.58 9.54%
Trade id #139776150
Max drawdown($13,143)
Time5/9/22 0:00
Quant open2,500
Worst price45.24
Drawdown as % of equity-9.54%
$20,044
Includes Typical Broker Commissions trade costs of $262.50
10/31/22 11:35 SPY SPDR S&P 500 SHORT 600 387.38 10/31 11:35 387.40 0.01%
Trade id #142381907
Max drawdown($12)
Time10/31/22 11:35
Quant open600
Worst price387.40
Drawdown as % of equity-0.01%
($17)
Includes Typical Broker Commissions trade costs of $5.00
9/16/22 14:08 SVXY2221V40 SVXY Oct21'22 40 put LONG 5 0.25 10/22 9:35 0.00 0.08%
Trade id #141834546
Max drawdown($119)
Time10/20/22 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-0.08%
($128)
Includes Typical Broker Commissions trade costs of $3.50
8/23/22 10:39 SVXY2216U40 SVXY Sep16'22 40 put LONG 5 0.23 9/17 9:35 0.00 0.07%
Trade id #141508144
Max drawdown($101)
Time9/2/22 0:00
Quant open5
Worst price0.03
Drawdown as % of equity-0.07%
($120)
Includes Typical Broker Commissions trade costs of $3.50
7/29/22 15:14 SVXY2219T40 SVXY Aug19'22 40 put LONG 5 0.10 8/20 9:35 0.00 0.03%
Trade id #141235404
Max drawdown($45)
Time8/9/22 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-0.03%
($54)
Includes Typical Broker Commissions trade costs of $3.50
7/15/22 13:19 SVXY2222S45 SVXY Jul22'22 45 put LONG 5 0.10 7/23 9:35 0.00 0.02%
Trade id #141076391
Max drawdown($23)
Time7/15/22 15:40
Quant open5
Worst price0.05
Drawdown as % of equity-0.02%
($52)
Includes Typical Broker Commissions trade costs of $3.50
7/5/22 14:44 SVXY2215S35 SVXY Jul15'22 35 put LONG 5 0.05 7/16 9:35 0.00 n/a ($29)
Includes Typical Broker Commissions trade costs of $3.50
6/24/22 15:18 SVXY2208S35 SVXY Jul8'22 35 put LONG 5 0.10 7/9 9:35 0.00 0%
Trade id #140857727
Max drawdown($5)
Time6/24/22 15:27
Quant open5
Worst price0.09
Drawdown as % of equity-0.00%
($54)
Includes Typical Broker Commissions trade costs of $3.50
6/17/22 14:48 SVXY2224R35 SVXY Jun24'22 35 put LONG 10 0.05 6/25 9:35 0.00 0%
Trade id #140800297
Max drawdown($0)
Time6/17/22 15:41
Quant open10
Worst price0.05
Drawdown as % of equity-0.00%
($57)
Includes Typical Broker Commissions trade costs of $7.00
6/10/22 11:38 SVXY2217R35 SVXY Jun17'22 35 put LONG 10 0.18 6/18 9:35 0.00 0.09%
Trade id #140734431
Max drawdown($133)
Time6/10/22 15:48
Quant open10
Worst price0.05
Drawdown as % of equity-0.09%
($191)
Includes Typical Broker Commissions trade costs of $7.00
5/31/22 16:01 SVXY2210F40 SVXY Jun10'22 40 call LONG 10 10.28 6/11 9:35 0.00 n/a ($10,286)
Includes Typical Broker Commissions trade costs of $7.00
5/20/22 12:03 SVXY2227Q30 SVXY May27'22 30 put LONG 20 0.10 5/28 9:35 0.00 0.08%
Trade id #140546792
Max drawdown($120)
Time5/26/22 0:00
Quant open20
Worst price0.04
Drawdown as % of equity-0.08%
($214)
Includes Typical Broker Commissions trade costs of $14.00
5/6/22 11:16 SVXY2220Q30 SVXY May20'22 30 put LONG 40 0.14 5/21 9:35 0.00 0.27%
Trade id #140394341
Max drawdown($360)
Time5/10/22 0:00
Quant open20
Worst price0.02
Drawdown as % of equity-0.27%
($608)
Includes Typical Broker Commissions trade costs of $28.00
4/29/22 14:32 SVXY2206Q40 SVXY May6'22 40 put LONG 20 0.20 5/7 9:35 0.00 0.06%
Trade id #140317158
Max drawdown($91)
Time5/2/22 0:00
Quant open20
Worst price0.15
Drawdown as % of equity-0.06%
($405)
Includes Typical Broker Commissions trade costs of $14.00
4/22/22 12:05 SVXY2229P40 SVXY Apr29'22 40 put LONG 20 0.14 4/30 9:35 0.00 0.13%
Trade id #140231605
Max drawdown($189)
Time4/25/22 0:00
Quant open20
Worst price0.05
Drawdown as % of equity-0.13%
($303)
Includes Typical Broker Commissions trade costs of $14.00
4/18/22 14:37 SVXY2222P40 SVXY Apr22'22 40 put LONG 25 0.10 4/23 9:35 0.00 n/a ($265)
Includes Typical Broker Commissions trade costs of $17.50
4/7/22 10:50 SVXY2214P40 SVXY Apr14'22 40 put LONG 35 0.11 4/15 8:05 0.00 0.03%
Trade id #140059217
Max drawdown($48)
Time4/8/22 0:00
Quant open5
Worst price0.05
Drawdown as % of equity-0.03%
($399)
Includes Typical Broker Commissions trade costs of $24.50
4/1/22 10:40 SVXY2208P40 SVXY Apr8'22 40 put LONG 25 0.10 4/9 9:35 0.00 0.08%
Trade id #139992194
Max drawdown($123)
Time4/1/22 11:38
Quant open25
Worst price0.05
Drawdown as % of equity-0.08%
($267)
Includes Typical Broker Commissions trade costs of $17.50
3/25/22 12:40 SVXY2201D40 SVXY Apr1'22 40 call LONG 20 15.02 4/1 10:40 14.90 0.28%
Trade id #139923536
Max drawdown($435)
Time3/31/22 0:00
Quant open20
Worst price14.80
Drawdown as % of equity-0.28%
($256)
Includes Typical Broker Commissions trade costs of $28.00
3/21/22 14:54 SVXY2225O42 SVXY Mar25'22 42 put LONG 15 0.19 3/26 9:35 0.00 n/a ($302)
Includes Typical Broker Commissions trade costs of $10.50
3/15/22 10:45 SVXY2218O40 SVXY Mar18'22 40 put LONG 15 0.37 3/19 9:35 0.00 0.36%
Trade id #139788450
Max drawdown($538)
Time3/17/22 0:00
Quant open15
Worst price0.01
Drawdown as % of equity-0.36%
($565)
Includes Typical Broker Commissions trade costs of $10.50
3/14/22 14:06 SVXY2218C52 SVXY Mar18'22 52 call SHORT 15 0.03 3/15 10:44 0.14 0.13%
Trade id #139776189
Max drawdown($184)
Time3/15/22 0:00
Quant open15
Worst price0.15
Drawdown as % of equity-0.13%
($198)
Includes Typical Broker Commissions trade costs of $21.00
3/10/22 11:15 VXX2218C40 VXX Mar18'22 40 call LONG 10 0.17 3/14 13:22 0.85 0.09%
Trade id #139735082
Max drawdown($123)
Time3/14/22 10:25
Quant open10
Worst price0.05
Drawdown as % of equity-0.09%
$660
Includes Typical Broker Commissions trade costs of $14.00
3/11/22 10:46 VXX2218C38 VXX Mar18'22 38 call LONG 25 0.12 3/14 13:21 0.95 0.09%
Trade id #139751359
Max drawdown($125)
Time3/14/22 10:28
Quant open25
Worst price0.07
Drawdown as % of equity-0.09%
$2,049
Includes Typical Broker Commissions trade costs of $35.00
1/27/22 11:09 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 10,100 23.90 3/14 13:21 25.07 10.12%
Trade id #139127849
Max drawdown($14,542)
Time3/14/22 13:13
Quant open3,000
Worst price28.75
Drawdown as % of equity-10.12%
($11,900)
Includes Typical Broker Commissions trade costs of $61.00
3/4/22 10:39 VXX2211C40 VXX Mar11'22 40 call LONG 25 0.17 3/12 9:35 0.00 0.29%
Trade id #139649032
Max drawdown($407)
Time3/9/22 0:00
Quant open25
Worst price0.01
Drawdown as % of equity-0.29%
($450)
Includes Typical Broker Commissions trade costs of $17.50
2/25/22 11:08 VXX2204C35 VXX Mar4'22 35 call LONG 20 0.07 3/5 9:35 0.00 0.08%
Trade id #139550330
Max drawdown($115)
Time3/3/22 0:00
Quant open20
Worst price0.01
Drawdown as % of equity-0.08%
($149)
Includes Typical Broker Commissions trade costs of $14.00

Statistics

  • Strategy began
    5/18/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2387.54
  • Age
    80 months ago
  • What it trades
    Stocks, Options
  • # Trades
    902
  • # Profitable
    245
  • % Profitable
    27.20%
  • Avg trade duration
    13.2 days
  • Max peak-to-valley drawdown
    35.51%
  • drawdown period
    July 14, 2021 - May 10, 2022
  • Annual Return (Compounded)
    33.7%
  • Avg win
    $1,662
  • Avg loss
    $392.42
  • Model Account Values (Raw)
  • Cash
    $147,667
  • Margin Used
    $0
  • Buying Power
    $152,724
  • Ratios
  • W:L ratio
    1.58:1
  • Sharpe Ratio
    0.89
  • Sortino Ratio
    1.35
  • Calmar Ratio
    1.28
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    471.23%
  • Correlation to SP500
    0.16680
  • Return Percent SP500 (cumu) during strategy life
    99.26%
  • Return Statistics
  • Ann Return (w trading costs)
    33.7%
  • Slump
  • Current Slump as Pcnt Equity
    36.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Instruments
  • Short Options - Percent Covered
    68.42%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.337%
  • Instruments
  • Percent Trades Options
    0.36%
  • Percent Trades Stocks
    0.64%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.00%
  • Chance of 20% account loss
    21.50%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    1.00%
  • 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
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    761
  • Popularity (Last 6 weeks)
    915
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    955
  • Popularity (7 days, Percentile 1000 scale)
    830
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $392
  • Avg Win
    $1,680
  • Sum Trade PL (losers)
    $257,822.000
  • Age
  • Num Months filled monthly returns table
    80
  • Win / Loss
  • Sum Trade PL (winners)
    $411,539.000
  • # Winners
    245
  • Num Months Winners
    47
  • Dividends
  • Dividends Received in Model Acct
    211
  • AUM
  • AUM (AutoTrader live capital)
    593578
  • Win / Loss
  • # Losers
    657
  • % Winners
    27.2%
  • Frequency
  • Avg Position Time (mins)
    19047.80
  • Avg Position Time (hrs)
    317.46
  • Avg Trade Length
    13.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.38
  • Daily leverage (max)
    5.45
  • Regression
  • Alpha
    0.08
  • Beta
    0.25
  • Treynor Index
    0.35
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.72
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.71
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.67
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.592
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.311
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.198
  • Hold-and-Hope Ratio
    0.393
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34603
  • SD
    0.32805
  • Sharpe ratio (Glass type estimate)
    1.05479
  • Sharpe ratio (Hedges UMVUE)
    1.04435
  • df
    76.00000
  • t
    2.67191
  • p
    0.00461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25986
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83570
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32973
  • Upside Potential Ratio
    3.91289
  • Upside part of mean
    0.58117
  • Downside part of mean
    -0.23514
  • Upside SD
    0.30682
  • Downside SD
    0.14853
  • N nonnegative terms
    48.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.09124
  • Mean of criterion
    0.34603
  • SD of predictor
    0.16154
  • SD of criterion
    0.32805
  • Covariance
    0.00318
  • r
    0.05992
  • b (slope, estimate of beta)
    0.12168
  • a (intercept, estimate of alpha)
    0.33493
  • Mean Square Error
    0.10866
  • DF error
    75.00000
  • t(b)
    0.51982
  • p(b)
    0.30236
  • t(a)
    2.53976
  • p(a)
    0.00658
  • Lowerbound of 95% confidence interval for beta
    -0.34463
  • Upperbound of 95% confidence interval for beta
    0.58799
  • Lowerbound of 95% confidence interval for alpha
    0.07222
  • Upperbound of 95% confidence interval for alpha
    0.59764
  • Treynor index (mean / b)
    2.84378
  • Jensen alpha (a)
    0.33493
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29268
  • SD
    0.30796
  • Sharpe ratio (Glass type estimate)
    0.95035
  • Sharpe ratio (Hedges UMVUE)
    0.94094
  • df
    76.00000
  • t
    2.40735
  • p
    0.00925
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73566
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72901
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83485
  • Upside Potential Ratio
    3.38148
  • Upside part of mean
    0.53938
  • Downside part of mean
    -0.24670
  • Upside SD
    0.27442
  • Downside SD
    0.15951
  • N nonnegative terms
    48.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.07746
  • Mean of criterion
    0.29268
  • SD of predictor
    0.16572
  • SD of criterion
    0.30796
  • Covariance
    0.00398
  • r
    0.07804
  • b (slope, estimate of beta)
    0.14502
  • a (intercept, estimate of alpha)
    0.28144
  • Mean Square Error
    0.09552
  • DF error
    75.00000
  • t(b)
    0.67791
  • p(b)
    0.24996
  • t(a)
    2.28572
  • p(a)
    0.01255
  • Lowerbound of 95% confidence interval for beta
    -0.28114
  • Upperbound of 95% confidence interval for beta
    0.57119
  • Lowerbound of 95% confidence interval for alpha
    0.03615
  • Upperbound of 95% confidence interval for alpha
    0.52673
  • Treynor index (mean / b)
    2.01813
  • Jensen alpha (a)
    0.28144
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11471
  • Expected Shortfall on VaR
    0.14654
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03710
  • Expected Shortfall on VaR
    0.07830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.78746
  • Quartile 1
    0.97410
  • Median
    1.02345
  • Quartile 3
    1.07183
  • Maximum
    1.41063
  • Mean of quarter 1
    0.93112
  • Mean of quarter 2
    1.00333
  • Mean of quarter 3
    1.04518
  • Mean of quarter 4
    1.15029
  • Inter Quartile Range
    0.09773
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01299
  • Mean of outliers low
    0.78746
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03896
  • Mean of outliers high
    1.32612
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17287
  • VaR(95%) (moments method)
    0.06283
  • Expected Shortfall (moments method)
    0.07996
  • Extreme Value Index (regression method)
    -0.08873
  • VaR(95%) (regression method)
    0.05261
  • Expected Shortfall (regression method)
    0.06655
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.02260
  • Quartile 1
    0.03543
  • Median
    0.06890
  • Quartile 3
    0.21254
  • Maximum
    0.26822
  • Mean of quarter 1
    0.03002
  • Mean of quarter 2
    0.06619
  • Mean of quarter 3
    0.18600
  • Mean of quarter 4
    0.25151
  • Inter Quartile Range
    0.17711
  • 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)
    -2.44722
  • VaR(95%) (moments method)
    0.26098
  • Expected Shortfall (moments method)
    0.26190
  • Extreme Value Index (regression method)
    -0.41214
  • VaR(95%) (regression method)
    0.27916
  • Expected Shortfall (regression method)
    0.29696
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06333
  • Compounded annual return (geometric extrapolation)
    0.37793
  • Calmar ratio (compounded annual return / max draw down)
    1.40901
  • Compounded annual return / average of 25% largest draw downs
    1.50267
  • Compounded annual return / Expected Shortfall lognormal
    2.57909
  • 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
    0.33088
  • SD
    0.27704
  • Sharpe ratio (Glass type estimate)
    1.19433
  • Sharpe ratio (Hedges UMVUE)
    1.19380
  • df
    1684.00000
  • t
    3.02882
  • p
    0.46320
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96809
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41989
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96770
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80370
  • Upside Potential Ratio
    8.36419
  • Upside part of mean
    1.53437
  • Downside part of mean
    -1.20349
  • Upside SD
    0.20850
  • Downside SD
    0.18344
  • N nonnegative terms
    932.00000
  • N negative terms
    753.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1685.00000
  • Mean of predictor
    0.09868
  • Mean of criterion
    0.33088
  • SD of predictor
    0.19631
  • SD of criterion
    0.27704
  • Covariance
    0.00906
  • r
    0.16665
  • b (slope, estimate of beta)
    0.23518
  • a (intercept, estimate of alpha)
    0.30800
  • Mean Square Error
    0.07467
  • DF error
    1683.00000
  • t(b)
    6.93357
  • p(b)
    0.39440
  • t(a)
    2.85410
  • p(a)
    0.45585
  • Lowerbound of 95% confidence interval for beta
    0.16865
  • Upperbound of 95% confidence interval for beta
    0.30171
  • Lowerbound of 95% confidence interval for alpha
    0.09624
  • Upperbound of 95% confidence interval for alpha
    0.51911
  • Treynor index (mean / b)
    1.40693
  • Jensen alpha (a)
    0.30767
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29266
  • SD
    0.27534
  • Sharpe ratio (Glass type estimate)
    1.06288
  • Sharpe ratio (Hedges UMVUE)
    1.06241
  • df
    1684.00000
  • t
    2.69547
  • p
    0.46723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83642
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28872
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83610
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55378
  • Upside Potential Ratio
    8.03521
  • Upside part of mean
    1.51344
  • Downside part of mean
    -1.22078
  • Upside SD
    0.20154
  • Downside SD
    0.18835
  • N nonnegative terms
    932.00000
  • N negative terms
    753.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1685.00000
  • Mean of predictor
    0.07929
  • Mean of criterion
    0.29266
  • SD of predictor
    0.19716
  • SD of criterion
    0.27534
  • Covariance
    0.00906
  • r
    0.16697
  • b (slope, estimate of beta)
    0.23318
  • a (intercept, estimate of alpha)
    0.27417
  • Mean Square Error
    0.07374
  • DF error
    1683.00000
  • t(b)
    6.94738
  • p(b)
    0.39420
  • t(a)
    2.55957
  • p(a)
    0.46038
  • Lowerbound of 95% confidence interval for beta
    0.16735
  • Upperbound of 95% confidence interval for beta
    0.29902
  • Lowerbound of 95% confidence interval for alpha
    0.06408
  • Upperbound of 95% confidence interval for alpha
    0.48426
  • Treynor index (mean / b)
    1.25504
  • Jensen alpha (a)
    0.27417
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02651
  • Expected Shortfall on VaR
    0.03338
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00965
  • Expected Shortfall on VaR
    0.02072
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1685.00000
  • Minimum
    0.87504
  • Quartile 1
    0.99545
  • Median
    1.00087
  • Quartile 3
    1.00803
  • Maximum
    1.21845
  • Mean of quarter 1
    0.98332
  • Mean of quarter 2
    0.99862
  • Mean of quarter 3
    1.00406
  • Mean of quarter 4
    1.01952
  • Inter Quartile Range
    0.01259
  • Number outliers low
    75.00000
  • Percentage of outliers low
    0.04451
  • Mean of outliers low
    0.95808
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.04154
  • Mean of outliers high
    1.04408
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38740
  • VaR(95%) (moments method)
    0.01508
  • Expected Shortfall (moments method)
    0.02944
  • Extreme Value Index (regression method)
    0.21800
  • VaR(95%) (regression method)
    0.01563
  • Expected Shortfall (regression method)
    0.02605
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    69.00000
  • Minimum
    0.00078
  • Quartile 1
    0.00737
  • Median
    0.01589
  • Quartile 3
    0.05765
  • Maximum
    0.29529
  • Mean of quarter 1
    0.00389
  • Mean of quarter 2
    0.01157
  • Mean of quarter 3
    0.03827
  • Mean of quarter 4
    0.14038
  • Inter Quartile Range
    0.05028
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.24141
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.30969
  • VaR(95%) (moments method)
    0.14525
  • Expected Shortfall (moments method)
    0.24608
  • Extreme Value Index (regression method)
    -0.13720
  • VaR(95%) (regression method)
    0.15804
  • Expected Shortfall (regression method)
    0.20611
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06647
  • Compounded annual return (geometric extrapolation)
    0.37790
  • Calmar ratio (compounded annual return / max draw down)
    1.27976
  • Compounded annual return / average of 25% largest draw downs
    2.69192
  • Compounded annual return / Expected Shortfall lognormal
    11.32080
  • 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
    0.07442
  • SD
    0.13954
  • Sharpe ratio (Glass type estimate)
    0.53331
  • Sharpe ratio (Hedges UMVUE)
    0.53022
  • df
    130.00000
  • t
    0.37711
  • p
    0.48347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24233
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30278
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66651
  • Upside Potential Ratio
    6.57133
  • Upside part of mean
    0.73372
  • Downside part of mean
    -0.65930
  • Upside SD
    0.08293
  • Downside SD
    0.11165
  • N nonnegative terms
    89.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01515
  • Mean of criterion
    0.07442
  • SD of predictor
    0.25462
  • SD of criterion
    0.13954
  • Covariance
    0.02244
  • r
    0.63156
  • b (slope, estimate of beta)
    0.34612
  • a (intercept, estimate of alpha)
    0.06917
  • Mean Square Error
    0.01180
  • DF error
    129.00000
  • t(b)
    9.25169
  • p(b)
    0.12655
  • t(a)
    0.45036
  • p(a)
    0.47478
  • Lowerbound of 95% confidence interval for beta
    0.27210
  • Upperbound of 95% confidence interval for beta
    0.42014
  • Lowerbound of 95% confidence interval for alpha
    -0.23472
  • Upperbound of 95% confidence interval for alpha
    0.37307
  • Treynor index (mean / b)
    0.21501
  • Jensen alpha (a)
    0.06917
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06466
  • SD
    0.14043
  • Sharpe ratio (Glass type estimate)
    0.46044
  • Sharpe ratio (Hedges UMVUE)
    0.45778
  • df
    130.00000
  • t
    0.32558
  • p
    0.48573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31459
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23014
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57143
  • Upside Potential Ratio
    6.45337
  • Upside part of mean
    0.73023
  • Downside part of mean
    -0.66557
  • Upside SD
    0.08235
  • Downside SD
    0.11316
  • N nonnegative terms
    89.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01696
  • Mean of criterion
    0.06466
  • SD of predictor
    0.25431
  • SD of criterion
    0.14043
  • Covariance
    0.02266
  • r
    0.63446
  • b (slope, estimate of beta)
    0.35035
  • a (intercept, estimate of alpha)
    0.07060
  • Mean Square Error
    0.01187
  • DF error
    129.00000
  • t(b)
    9.32269
  • p(b)
    0.12512
  • t(a)
    0.45815
  • p(a)
    0.47435
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.27599
  • Upperbound of 95% confidence interval for beta
    0.42470
  • Lowerbound of 95% confidence interval for alpha
    -0.23430
  • Upperbound of 95% confidence interval for alpha
    0.37550
  • Treynor index (mean / b)
    0.18456
  • Jensen alpha (a)
    0.07060
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01393
  • Expected Shortfall on VaR
    0.01749
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00410
  • Expected Shortfall on VaR
    0.00963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95783
  • Quartile 1
    0.99888
  • Median
    1.00100
  • Quartile 3
    1.00375
  • Maximum
    1.02545
  • Mean of quarter 1
    0.99025
  • Mean of quarter 2
    1.00027
  • Mean of quarter 3
    1.00229
  • Mean of quarter 4
    1.00881
  • Inter Quartile Range
    0.00487
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97873
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01570
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62568
  • VaR(95%) (moments method)
    0.00669
  • Expected Shortfall (moments method)
    0.02126
  • Extreme Value Index (regression method)
    0.31892
  • VaR(95%) (regression method)
    0.00839
  • Expected Shortfall (regression method)
    0.01678
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00316
  • Quartile 1
    0.00957
  • Median
    0.00993
  • Quartile 3
    0.07619
  • Maximum
    0.11006
  • Mean of quarter 1
    0.00636
  • Mean of quarter 2
    0.00993
  • Mean of quarter 3
    0.07619
  • Mean of quarter 4
    0.11006
  • Inter Quartile Range
    0.06662
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -325806000
  • Max Equity Drawdown (num days)
    300
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09474
  • Compounded annual return (geometric extrapolation)
    0.09699
  • Calmar ratio (compounded annual return / max draw down)
    0.88124
  • Compounded annual return / average of 25% largest draw downs
    0.88124
  • Compounded annual return / Expected Shortfall lognormal
    5.54555

Strategy Description

I wouldn't call Volatility an asset class, but volatility products have incredible potential for significant and consistent gains...IF USED WELL!

Being short regular Volatility ETFs or long Inverse Volatility ETFs are winning strategies...MOST OF THE TIME.

The challenge is that when the VIX spikes or when the VIX futures curve is downward sloping instead of upward sloping, very significant losses can occur. Many people have built and back-tested models that attempt to move from long to short to neutral positions in the various Volatility ETFs, but almost all of them have one or both of these very significant flaws: 1) Failure to use "out of sample" back-testing and 2) Failure to protect against "black swan" events.

My strategies do the following:
- A position and weighting in the appropriate Volatility ETFs are established based on a multi-factor model which always uses out of sample back-testing to determine effectiveness.
- Volatility Options are always used to protect against significant short-term moves which left unchecked could result in the total loss of one's portfolio value; these options will usually lose money, but that is a small price to pay for the protection they provide. (Strategies should be scaled at a minimum of 20% to ensure options protection.)

Smart Volatility Margin - this is best strategy for regular brokerage accounts with margin and in which short selling is allowed. A mix of Long positions in Inverse Volatility ETPs and Short positions in Leveraged Volatility ETPs are typically held. Suggested minimum capital: $30,000 (using 20% scaling).

Smart Volatility IRA - this is the best strategy for IRA accounts in which short selling is not allowed. Long positions in Inverse Volatility ETFs are typically held. Suggested minimum capital: $30,000 (using 20% scaling).

Summary Statistics

Strategy began
2016-05-18
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 4.5%
Rank # 
#36
# Trades
902
# Profitable
245
% Profitable
27.2%
Net Dividends
Correlation S&P500
0.167
Sharpe Ratio
0.89
Sortino Ratio
1.35
Beta
0.25
Alpha
0.08
Leverage
1.38 Average
5.45 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.