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This is an archived track record. This track record was archived on 12/1/17 10:54 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

VXX Iron Condor Daily
(111685689)

Created by: Kees_vanHeugten Kees_vanHeugten
Started: 05/2017
Options
Last trade: 2,360 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 $50.00 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.

244.9%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(47.0%)
Max Drawdown
33
Num Trades
72.7%
Win Trades
2.6 : 1
Profit Factor
6.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +28.7%+13.1%+8.1%(7.4%)+26.6%+5.6%(0.4%)  -  +93.9%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
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.

Trading Record

This strategy has placed 74 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
10/2/17 11:09 VIX1711V12.5 VIX Oct11'17 12.5 put LONG 60 2.36 10/11 8:05 2.54 9.47%
Trade id #113974289
Max drawdown($1,730)
Time10/10/17 10:36
Quant open60
Worst price2.07
Drawdown as % of equity-9.47%
$1,006
Includes Typical Broker Commissions trade costs of $84.00
9/29/17 13:38 VIX1704V10.5 VIX Oct4'17 10.5 put LONG 20 0.50 10/2 9:56 0.60 0%
Trade id #113947514
Max drawdown$0
Time9/29/17 13:40
Quant open1
Worst price0.50
Drawdown as % of equity0.00%
$172
Includes Typical Broker Commissions trade costs of $28.30
9/26/17 14:43 VIX1704V15 VIX Oct4'17 15 put LONG 20 4.07 9/29 12:15 4.47 0.72%
Trade id #113872866
Max drawdown($133)
Time9/26/17 15:40
Quant open20
Worst price4.00
Drawdown as % of equity-0.72%
$772
Includes Typical Broker Commissions trade costs of $28.00
9/15/17 11:43 VIX1727U15 VIX Sep27'17 15 put LONG 20 3.87 9/26 14:30 4.03 n/a $305
Includes Typical Broker Commissions trade costs of $28.00
9/11/17 11:50 VIX1720U16 VIX Sep20'17 16 put LONG 20 4.00 9/15 11:37 4.90 0%
Trade id #113626255
Max drawdown$0
Time9/11/17 11:52
Quant open20
Worst price4.00
Drawdown as % of equity0.00%
$1,772
Includes Typical Broker Commissions trade costs of $28.00
8/31/17 13:22 VIX1713U15 VIX Sep13'17 15 put LONG 20 3.18 9/11 11:45 3.43 14.43%
Trade id #113474170
Max drawdown($2,153)
Time9/5/17 12:51
Quant open20
Worst price2.10
Drawdown as % of equity-14.43%
$485
Includes Typical Broker Commissions trade costs of $28.00
8/25/17 12:02 VIX1706U15 VIX Sep6'17 15 put LONG 20 2.85 8/31 11:10 3.23 7.92%
Trade id #113344407
Max drawdown($1,229)
Time8/29/17 9:43
Quant open20
Worst price2.24
Drawdown as % of equity-7.92%
$724
Includes Typical Broker Commissions trade costs of $28.00
8/23/17 13:35 VIX1730T13.5 VIX Aug30'17 13.5 put LONG 30 1.54 8/25 10:19 1.92 5.98%
Trade id #113300791
Max drawdown($855)
Time8/23/17 13:42
Quant open30
Worst price1.25
Drawdown as % of equity-5.98%
$1,098
Includes Typical Broker Commissions trade costs of $42.00
8/17/17 14:18 VIX1723T13 VIX Aug23'17 13 put LONG 30 0.50 8/22 15:54 1.35 8.61%
Trade id #113205500
Max drawdown($900)
Time8/18/17 9:38
Quant open30
Worst price0.20
Drawdown as % of equity-8.61%
$2,508
Includes Typical Broker Commissions trade costs of $42.00
8/16/17 9:34 VIX1723T12 VIX Aug23'17 12 put LONG 30 0.94 8/22 15:52 0.43 27.82%
Trade id #113171529
Max drawdown($2,739)
Time8/18/17 10:10
Quant open30
Worst price0.03
Drawdown as % of equity-27.82%
($1,581)
Includes Typical Broker Commissions trade costs of $42.00
8/16/17 9:31 VIX1716T12 VIX Aug16'17 12 put LONG 30 0.15 8/16 9:31 0.00 2.99%
Trade id #113171347
Max drawdown($450)
Time8/15/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-2.99%
($471)
Includes Typical Broker Commissions trade costs of $21.00
8/16/17 9:31 VIX1716T13.5 VIX Aug16'17 13.5 put LONG 10 1.20 8/16 9:31 0.55 4.32%
Trade id #113171345
Max drawdown($650)
Time8/15/17 16:15
Quant open0
Worst price0.55
Drawdown as % of equity-4.32%
($664)
Includes Typical Broker Commissions trade costs of $14.00
8/10/17 10:33 VIX1716T13.5 VIX Aug16'17 13.5 put LONG 10 1.20 8/15 16:15 1.53 6.29%
Trade id #113082019
Max drawdown($850)
Time8/11/17 15:15
Quant open10
Worst price0.35
Drawdown as % of equity-6.29%
$316
Includes Typical Broker Commissions trade costs of $14.00
8/1/17 15:58 VIX1716T12 VIX Aug16'17 12 put LONG 30 1.14 8/15 16:15 0.03 22.16%
Trade id #112929440
Max drawdown($3,334)
Time8/15/17 16:15
Quant open0
Worst price0.03
Drawdown as % of equity-22.16%
($3,376)
Includes Typical Broker Commissions trade costs of $42.00
7/26/17 11:34 VIX1702T11.5 VIX Aug2'17 11.5 put LONG 31 1.40 8/2 9:30 1.32 11.28%
Trade id #112792233
Max drawdown($1,990)
Time7/27/17 13:39
Quant open20
Worst price0.55
Drawdown as % of equity-11.28%
($299)
Includes Typical Broker Commissions trade costs of $43.70
7/20/17 14:28 VIX1726S10.5 VIX Jul26'17 10.5 put LONG 11 0.49 7/25 10:04 0.76 1.29%
Trade id #112707156
Max drawdown($212)
Time7/21/17 10:04
Quant open11
Worst price0.30
Drawdown as % of equity-1.29%
$273
Includes Typical Broker Commissions trade costs of $15.40
7/14/17 11:51 VIX1726S12 VIX Jul26'17 12 put LONG 9 1.40 7/25 10:03 2.21 0.8%
Trade id #112611696
Max drawdown($130)
Time7/14/17 15:24
Quant open9
Worst price1.25
Drawdown as % of equity-0.80%
$717
Includes Typical Broker Commissions trade costs of $12.60
7/13/17 14:59 VIX1719S11.5 VIX Jul19'17 11.5 put LONG 11 0.75 7/17 15:51 1.10 0.68%
Trade id #112589172
Max drawdown($110)
Time7/13/17 15:08
Quant open11
Worst price0.65
Drawdown as % of equity-0.68%
$370
Includes Typical Broker Commissions trade costs of $15.40
7/6/17 10:16 VIX1719S13.5 VIX Jul19'17 13.5 put LONG 15 1.89 7/13 15:14 2.41 0.68%
Trade id #112442737
Max drawdown($100)
Time7/11/17 11:26
Quant open5
Worst price1.30
Drawdown as % of equity-0.68%
$764
Includes Typical Broker Commissions trade costs of $21.30
6/26/17 15:13 VIX1719S11.5 VIX Jul19'17 11.5 put LONG 20 0.80 7/13 14:57 0.70 8.82%
Trade id #112219467
Max drawdown($1,300)
Time7/11/17 11:27
Quant open20
Worst price0.15
Drawdown as % of equity-8.82%
($228)
Includes Typical Broker Commissions trade costs of $28.30
6/29/17 13:09 VIX1712S12 VIX Jul12'17 12 put LONG 20 0.65 6/29 15:16 0.92 1.58%
Trade id #112287341
Max drawdown($220)
Time6/29/17 13:36
Quant open20
Worst price0.54
Drawdown as % of equity-1.58%
$505
Includes Typical Broker Commissions trade costs of $28.00
6/26/17 15:08 VIX1719S11.5 VIX Jul19'17 11.5 put SHORT 10 0.73 6/26 15:13 0.80 0.44%
Trade id #112219401
Max drawdown($67)
Time6/26/17 15:13
Quant open0
Worst price0.80
Drawdown as % of equity-0.44%
($81)
Includes Typical Broker Commissions trade costs of $14.00
6/22/17 13:34 VIX1705S11.5 VIX Jul5'17 11.5 put LONG 10 0.90 6/26 12:35 1.10 0%
Trade id #112176475
Max drawdown$0
Time6/23/17 11:02
Quant open10
Worst price0.90
Drawdown as % of equity0.00%
$186
Includes Typical Broker Commissions trade costs of $14.00
6/22/17 15:42 VIX1728R11.5 VIX Jun28'17 11.5 put LONG 10 0.90 6/26 11:43 1.20 0.07%
Trade id #112179860
Max drawdown($10)
Time6/22/17 15:57
Quant open10
Worst price0.89
Drawdown as % of equity-0.07%
$286
Includes Typical Broker Commissions trade costs of $14.00
6/12/17 10:27 VIX1721R12 VIX Jun21'17 12 put LONG 20 0.82 6/19 10:41 1.37 3.24%
Trade id #112014183
Max drawdown($450)
Time6/15/17 6:47
Quant open20
Worst price0.60
Drawdown as % of equity-3.24%
$1,057
Includes Typical Broker Commissions trade costs of $28.00
6/6/17 13:10 VIX1714R11.5 VIX Jun14'17 11.5 put LONG 10 0.75 6/13 16:15 0.95 4.2%
Trade id #111935782
Max drawdown($550)
Time6/12/17 10:04
Quant open10
Worst price0.20
Drawdown as % of equity-4.20%
$186
Includes Typical Broker Commissions trade costs of $14.00
5/31/17 10:11 VIX1707R11.5 VIX Jun7'17 11.5 put LONG 5 0.77 6/5 14:33 1.35 0.08%
Trade id #111849070
Max drawdown($10)
Time5/31/17 13:59
Quant open5
Worst price0.75
Drawdown as % of equity-0.08%
$283
Includes Typical Broker Commissions trade costs of $7.30
5/31/17 10:08 VIX1707R11 VIX Jun7'17 11 put LONG 19 0.46 6/5 14:31 0.88 0.88%
Trade id #111848822
Max drawdown($115)
Time5/31/17 13:02
Quant open19
Worst price0.40
Drawdown as % of equity-0.88%
$763
Includes Typical Broker Commissions trade costs of $26.60
5/25/17 9:30 VIX1731Q10.5 VIX May31'17 10.5 put LONG 5 0.35 5/30 16:15 0.00 1.38%
Trade id #111767039
Max drawdown($175)
Time5/30/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-1.38%
($179)
Includes Typical Broker Commissions trade costs of $3.50
5/24/17 15:39 VIX1731Q11 VIX May31'17 11 put LONG 15 0.61 5/30 16:15 0.42 4.76%
Trade id #111756091
Max drawdown($610)
Time5/30/17 9:31
Quant open15
Worst price0.20
Drawdown as % of equity-4.76%
($301)
Includes Typical Broker Commissions trade costs of $21.00

Statistics

  • Strategy began
    5/19/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2497.04
  • Age
    84 months ago
  • What it trades
    Options
  • # Trades
    33
  • # Profitable
    24
  • % Profitable
    72.70%
  • Avg trade duration
    5.6 days
  • Max peak-to-valley drawdown
    47.04%
  • drawdown period
    July 25, 2017 - Aug 18, 2017
  • Cumul. Return
    96.2%
  • Avg win
    $744.33
  • Avg loss
    $772.22
  • Model Account Values (Raw)
  • Cash
    $20,914
  • Margin Used
    $0
  • Buying Power
    $20,914
  • Ratios
  • W:L ratio
    2.57:1
  • Sharpe Ratio
    0.39
  • Sortino Ratio
    0.67
  • Calmar Ratio
    1.51
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    85.30%
  • Correlation to SP500
    0.05530
  • Return Percent SP500 (cumu) during strategy life
    120.36%
  • Return Statistics
  • Ann Return (w trading costs)
    244.9%
  • Slump
  • Current Slump as Pcnt Equity
    2.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.962%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    31.00%
  • Chance of 30% account loss
    12.00%
  • 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)
    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)
    833
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    497
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $772
  • Avg Win
    $744
  • Sum Trade PL (losers)
    $6,950.000
  • Age
  • Num Months filled monthly returns table
    83
  • Win / Loss
  • Sum Trade PL (winners)
    $17,864.000
  • # Winners
    24
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    9
  • % Winners
    72.7%
  • Frequency
  • Avg Position Time (mins)
    7999.28
  • Avg Position Time (hrs)
    133.32
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    2352
  • Regression
  • Alpha
    0.02
  • Beta
    0.07
  • Treynor Index
    0.39
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    18.10
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    47.92
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.20
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.10
  • Avg(MAE) / Avg(PL) - All trades
    2.024
  • 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
    0.30
  • Avg(MAE) / Avg(PL) - Winning trades
    0.576
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.628
  • Hold-and-Hope Ratio
    0.494
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.22715
  • SD
    1.37085
  • Sharpe ratio (Glass type estimate)
    1.62464
  • Sharpe ratio (Hedges UMVUE)
    1.36591
  • df
    5.00000
  • t
    1.14879
  • p
    0.15131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38446
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49503
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53229
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26412
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21123
  • Upside Potential Ratio
    5.62545
  • Upside part of mean
    2.97506
  • Downside part of mean
    -0.74792
  • Upside SD
    1.30372
  • Downside SD
    0.52886
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.16423
  • Mean of criterion
    2.22715
  • SD of predictor
    0.06120
  • SD of criterion
    1.37085
  • Covariance
    0.07650
  • r
    0.91191
  • b (slope, estimate of beta)
    20.42750
  • a (intercept, estimate of alpha)
    -1.12769
  • Mean Square Error
    0.39563
  • DF error
    4.00000
  • t(b)
    4.44407
  • p(b)
    0.00565
  • t(a)
    -0.96658
  • p(a)
    0.80575
  • Lowerbound of 95% confidence interval for beta
    7.66284
  • Upperbound of 95% confidence interval for beta
    33.19210
  • Lowerbound of 95% confidence interval for alpha
    -4.36756
  • Upperbound of 95% confidence interval for alpha
    2.11217
  • Treynor index (mean / b)
    0.10903
  • Jensen alpha (a)
    -1.12769
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.44161
  • SD
    1.23373
  • Sharpe ratio (Glass type estimate)
    1.16849
  • Sharpe ratio (Hedges UMVUE)
    0.98241
  • df
    5.00000
  • t
    0.82625
  • p
    0.22314
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97552
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82031
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17657
  • Upside Potential Ratio
    3.59078
  • Upside part of mean
    2.37829
  • Downside part of mean
    -0.93668
  • Upside SD
    1.00146
  • Downside SD
    0.66233
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.16158
  • Mean of criterion
    1.44161
  • SD of predictor
    0.06086
  • SD of criterion
    1.23373
  • Covariance
    0.07217
  • r
    0.96122
  • b (slope, estimate of beta)
    19.48510
  • a (intercept, estimate of alpha)
    -1.70685
  • Mean Square Error
    0.14471
  • DF error
    4.00000
  • t(b)
    6.97074
  • p(b)
    0.00111
  • t(a)
    -2.42988
  • p(a)
    0.96401
  • Lowerbound of 95% confidence interval for beta
    11.72270
  • Upperbound of 95% confidence interval for beta
    27.24760
  • Lowerbound of 95% confidence interval for alpha
    -3.65752
  • Upperbound of 95% confidence interval for alpha
    0.24383
  • Treynor index (mean / b)
    0.07399
  • Jensen alpha (a)
    -1.70685
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37229
  • Expected Shortfall on VaR
    0.45462
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05784
  • Expected Shortfall on VaR
    0.15872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.62604
  • Quartile 1
    1.02756
  • Median
    1.12858
  • Quartile 3
    1.36908
  • Maximum
    1.78723
  • Mean of quarter 1
    0.81302
  • Mean of quarter 2
    1.11026
  • Mean of quarter 3
    1.14690
  • Mean of quarter 4
    1.61519
  • Inter Quartile Range
    0.34152
  • 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
    1.00000
  • Minimum
    0.37396
  • Quartile 1
    0.37396
  • Median
    0.37396
  • Quartile 3
    0.37396
  • Maximum
    0.37396
  • 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)
    2.11218
  • Compounded annual return (geometric extrapolation)
    3.22750
  • Calmar ratio (compounded annual return / max draw down)
    8.63063
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.09932
  • 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
    1.59359
  • SD
    0.69344
  • Sharpe ratio (Glass type estimate)
    2.29810
  • Sharpe ratio (Hedges UMVUE)
    2.28559
  • df
    138.00000
  • t
    1.67389
  • p
    0.42947
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41875
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98992
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.93604
  • Upside Potential Ratio
    8.99222
  • Upside part of mean
    3.64070
  • Downside part of mean
    -2.04710
  • Upside SD
    0.56848
  • Downside SD
    0.40487
  • N nonnegative terms
    100.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    139.00000
  • Mean of predictor
    0.19698
  • Mean of criterion
    1.59359
  • SD of predictor
    0.06514
  • SD of criterion
    0.69344
  • Covariance
    0.02283
  • r
    0.50546
  • b (slope, estimate of beta)
    5.38088
  • a (intercept, estimate of alpha)
    0.49900
  • Mean Square Error
    0.36062
  • DF error
    137.00000
  • t(b)
    6.85670
  • p(b)
    0.19249
  • t(a)
    0.63624
  • p(a)
    0.46546
  • Lowerbound of 95% confidence interval for beta
    3.82907
  • Upperbound of 95% confidence interval for beta
    6.93270
  • Lowerbound of 95% confidence interval for alpha
    -1.12502
  • Upperbound of 95% confidence interval for alpha
    2.19239
  • Treynor index (mean / b)
    0.29616
  • Jensen alpha (a)
    0.53369
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.35864
  • SD
    0.67822
  • Sharpe ratio (Glass type estimate)
    2.00326
  • Sharpe ratio (Hedges UMVUE)
    1.99235
  • df
    138.00000
  • t
    1.45913
  • p
    0.43837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70094
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69346
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12958
  • Upside Potential Ratio
    8.05209
  • Upside part of mean
    3.49564
  • Downside part of mean
    -2.13700
  • Upside SD
    0.52464
  • Downside SD
    0.43413
  • N nonnegative terms
    100.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    139.00000
  • Mean of predictor
    0.19479
  • Mean of criterion
    1.35864
  • SD of predictor
    0.06517
  • SD of criterion
    0.67822
  • Covariance
    0.02301
  • r
    0.52053
  • b (slope, estimate of beta)
    5.41707
  • a (intercept, estimate of alpha)
    0.30342
  • Mean Square Error
    0.33779
  • DF error
    137.00000
  • t(b)
    7.13564
  • p(b)
    0.18426
  • t(a)
    0.37389
  • p(a)
    0.47968
  • Lowerbound of 95% confidence interval for beta
    3.91589
  • Upperbound of 95% confidence interval for beta
    6.91825
  • Lowerbound of 95% confidence interval for alpha
    -1.30131
  • Upperbound of 95% confidence interval for alpha
    1.90815
  • Treynor index (mean / b)
    0.25081
  • Jensen alpha (a)
    0.30342
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06175
  • Expected Shortfall on VaR
    0.07792
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01124
  • Expected Shortfall on VaR
    0.02810
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    139.00000
  • Minimum
    0.80311
  • Quartile 1
    0.99886
  • Median
    1.00000
  • Quartile 3
    1.01699
  • Maximum
    1.28405
  • Mean of quarter 1
    0.96900
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00685
  • Mean of quarter 4
    1.04854
  • Inter Quartile Range
    0.01813
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07194
  • Mean of outliers low
    0.92041
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.05755
  • Mean of outliers high
    1.11506
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84124
  • VaR(95%) (moments method)
    0.01533
  • Expected Shortfall (moments method)
    0.11247
  • Extreme Value Index (regression method)
    0.48220
  • VaR(95%) (regression method)
    0.02680
  • Expected Shortfall (regression method)
    0.06990
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00034
  • Quartile 1
    0.00571
  • Median
    0.02618
  • Quartile 3
    0.03510
  • Maximum
    0.40090
  • Mean of quarter 1
    0.00225
  • Mean of quarter 2
    0.01524
  • Mean of quarter 3
    0.03286
  • Mean of quarter 4
    0.17810
  • Inter Quartile Range
    0.02939
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.24938
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.74984
  • VaR(95%) (moments method)
    0.12391
  • Expected Shortfall (moments method)
    0.14710
  • Extreme Value Index (regression method)
    1.28198
  • VaR(95%) (regression method)
    0.43276
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.99061
  • Compounded annual return (geometric extrapolation)
    2.89090
  • Calmar ratio (compounded annual return / max draw down)
    7.21100
  • Compounded annual return / average of 25% largest draw downs
    16.23190
  • Compounded annual return / Expected Shortfall lognormal
    37.10130
  • 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
    1.18010
  • SD
    0.68588
  • Sharpe ratio (Glass type estimate)
    1.72057
  • Sharpe ratio (Hedges UMVUE)
    1.71063
  • df
    130.00000
  • t
    1.21663
  • p
    0.44695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06238
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.49022
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.82969
  • Upside Potential Ratio
    8.02934
  • Upside part of mean
    3.34858
  • Downside part of mean
    -2.16848
  • Upside SD
    0.54610
  • Downside SD
    0.41704
  • N nonnegative terms
    93.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18385
  • Mean of criterion
    1.18010
  • SD of predictor
    0.06646
  • SD of criterion
    0.68588
  • Covariance
    0.02296
  • r
    0.50364
  • b (slope, estimate of beta)
    5.19803
  • a (intercept, estimate of alpha)
    0.22442
  • Mean Square Error
    0.35382
  • DF error
    129.00000
  • t(b)
    6.62136
  • p(b)
    0.19350
  • t(a)
    0.26294
  • p(a)
    0.48527
  • Lowerbound of 95% confidence interval for beta
    3.64481
  • Upperbound of 95% confidence interval for beta
    6.75125
  • Lowerbound of 95% confidence interval for alpha
    -1.46427
  • Upperbound of 95% confidence interval for alpha
    1.91311
  • Treynor index (mean / b)
    0.22703
  • Jensen alpha (a)
    0.22442
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.95169
  • SD
    0.67203
  • Sharpe ratio (Glass type estimate)
    1.41616
  • Sharpe ratio (Hedges UMVUE)
    1.40797
  • df
    130.00000
  • t
    1.00137
  • p
    0.45626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18505
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.12821
  • Upside Potential Ratio
    7.19073
  • Upside part of mean
    3.21556
  • Downside part of mean
    -2.26386
  • Upside SD
    0.50166
  • Downside SD
    0.44718
  • N nonnegative terms
    93.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18160
  • Mean of criterion
    0.95169
  • SD of predictor
    0.06649
  • SD of criterion
    0.67203
  • Covariance
    0.02320
  • r
    0.51917
  • b (slope, estimate of beta)
    5.24743
  • a (intercept, estimate of alpha)
    -0.00123
  • Mean Square Error
    0.33245
  • DF error
    129.00000
  • t(b)
    6.89938
  • p(b)
    0.18500
  • t(a)
    -0.00149
  • p(a)
    0.50008
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    3.74264
  • Upperbound of 95% confidence interval for beta
    6.75223
  • Lowerbound of 95% confidence interval for alpha
    -1.63752
  • Upperbound of 95% confidence interval for alpha
    1.63505
  • Treynor index (mean / b)
    0.18136
  • Jensen alpha (a)
    -0.00123
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06261
  • Expected Shortfall on VaR
    0.07863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01227
  • Expected Shortfall on VaR
    0.03029
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80311
  • Quartile 1
    0.99761
  • Median
    1.00000
  • Quartile 3
    1.01699
  • Maximum
    1.28405
  • Mean of quarter 1
    0.96724
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00567
  • Mean of quarter 4
    1.04524
  • Inter Quartile Range
    0.01938
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.92041
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.11912
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77706
  • VaR(95%) (moments method)
    0.01921
  • Expected Shortfall (moments method)
    0.10046
  • Extreme Value Index (regression method)
    0.50293
  • VaR(95%) (regression method)
    0.02798
  • Expected Shortfall (regression method)
    0.07407
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00034
  • Quartile 1
    0.00831
  • Median
    0.02862
  • Quartile 3
    0.03532
  • Maximum
    0.40090
  • Mean of quarter 1
    0.00392
  • Mean of quarter 2
    0.01943
  • Mean of quarter 3
    0.03286
  • Mean of quarter 4
    0.17810
  • Inter Quartile Range
    0.02702
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.24938
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.74984
  • VaR(95%) (moments method)
    0.12764
  • Expected Shortfall (moments method)
    0.14923
  • Extreme Value Index (regression method)
    1.28198
  • VaR(95%) (regression method)
    0.48646
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    24
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.21875
  • Compounded annual return (geometric extrapolation)
    1.59009
  • Calmar ratio (compounded annual return / max draw down)
    3.96629
  • Compounded annual return / average of 25% largest draw downs
    8.92811
  • Compounded annual return / Expected Shortfall lognormal
    20.22360

Strategy Description

Due to the normal contango termstructure the VIX futures, they seem to capture a premium. By buying put options with adequate delta put options on VIX futures have a high probability to earn money. The risk in the system is that the VIX futures don't decrease in value and the put options is not in the money. In that case we have a loss of the option price. There is no spike risk, since losses are maximized by the option premium.

Summary Statistics

Strategy began
2017-05-19
Suggested Minimum Capital
$10,000
# Trades
33
# Profitable
24
% Profitable
72.7%
Correlation S&P500
0.055
Sharpe Ratio
0.39
Sortino Ratio
0.67
Beta
0.07
Alpha
0.02

Latest Activity

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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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