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VIX Tactical Trader
(104952602)

Created by: LuizCoelho LuizCoelho
Started: 12/2016
Stocks
Last trade: 6 days ago
Trading style: Equity Trend-following Momentum

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 $129.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
34.9%
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.

(21.3%)
Max Drawdown
160
Num Trades
43.8%
Win Trades
1.7 : 1
Profit Factor
71.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             +5.7%+5.7%
2017+16.0%(1.7%)+9.1%+11.8%+6.4%(4.9%)+6.8%+6.4%+7.2%+6.2%+5.8%+3.5%+99.2%
2018(6.4%)+7.2%(0.9%)+2.9%+1.3%(4.7%)+3.9%(4.1%)+3.5%(1.3%)+4.9%(12.7%)(8%)
2019+9.7%+3.0%+1.5%+0.5%(8.1%)+4.7%                                    +10.8%

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 84 hours.

Trading Record

This strategy has placed 365 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/28/19 15:44 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 110 50.98 6/4 9:30 50.40 0.12%
Trade id #123849921
Max drawdown($29)
Time5/30/19 9:52
Quant open-110
Worst price51.25
Drawdown as % of equity-0.12%
$62
Includes Typical Broker Commissions trade costs of $2.20
5/29/19 9:47 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 130 29.93 5/30 13:33 29.38 0.56%
Trade id #123858906
Max drawdown($141)
Time5/30/19 9:54
Quant open130
Worst price28.84
Drawdown as % of equity-0.56%
($75)
Includes Typical Broker Commissions trade costs of $2.60
5/28/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 210 28.23 5/29 9:45 29.94 1.66%
Trade id #123842251
Max drawdown($422)
Time5/29/19 9:41
Quant open-210
Worst price30.24
Drawdown as % of equity-1.66%
($363)
Includes Typical Broker Commissions trade costs of $4.20
5/15/19 10:15 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 50.00 5/28 15:44 50.97 0.17%
Trade id #123679551
Max drawdown($43)
Time5/15/19 10:18
Quant open200
Worst price49.78
Drawdown as % of equity-0.17%
$190
Includes Typical Broker Commissions trade costs of $4.00
5/23/19 13:00 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 150 29.41 5/28 9:30 28.22 0.89%
Trade id #123800279
Max drawdown($229)
Time5/24/19 9:37
Quant open150
Worst price27.88
Drawdown as % of equity-0.89%
($182)
Includes Typical Broker Commissions trade costs of $3.00
5/15/19 10:24 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 170 30.59 5/23 13:00 29.40 n/a $199
Includes Typical Broker Commissions trade costs of $3.40
5/10/19 10:40 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 120 31.41 5/15 10:24 30.59 1.59%
Trade id #123618216
Max drawdown($397)
Time5/10/19 16:17
Quant open120
Worst price28.10
Drawdown as % of equity-1.59%
($100)
Includes Typical Broker Commissions trade costs of $2.40
5/10/19 10:41 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 140 49.75 5/15 10:15 49.99 1.66%
Trade id #123618249
Max drawdown($413)
Time5/10/19 16:43
Quant open-140
Worst price52.70
Drawdown as % of equity-1.66%
($37)
Includes Typical Broker Commissions trade costs of $2.80
5/9/19 12:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 50.61 5/10 10:41 49.74 0.68%
Trade id #123594835
Max drawdown($174)
Time5/10/19 10:41
Quant open0
Worst price49.74
Drawdown as % of equity-0.68%
($178)
Includes Typical Broker Commissions trade costs of $4.00
5/9/19 12:41 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 150 30.48 5/10 10:40 31.40 0.6%
Trade id #123594656
Max drawdown($156)
Time5/9/19 15:11
Quant open-150
Worst price31.52
Drawdown as % of equity-0.60%
($141)
Includes Typical Broker Commissions trade costs of $3.00
5/6/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 150 52.82 5/9 12:40 50.61 0.55%
Trade id #123540095
Max drawdown($137)
Time5/6/19 15:09
Quant open-90
Worst price54.50
Drawdown as % of equity-0.55%
$329
Includes Typical Broker Commissions trade costs of $3.00
5/6/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 100 28.06 5/9 12:40 30.80 0.56%
Trade id #123540088
Max drawdown($140)
Time5/6/19 15:09
Quant open100
Worst price26.66
Drawdown as % of equity-0.56%
$272
Includes Typical Broker Commissions trade costs of $2.00
5/3/19 9:38 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 150 25.88 5/6 9:30 27.94 1.57%
Trade id #123519703
Max drawdown($412)
Time5/6/19 4:50
Quant open-150
Worst price28.63
Drawdown as % of equity-1.57%
($312)
Includes Typical Broker Commissions trade costs of $3.00
5/3/19 9:36 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 180 55.40 5/6 9:30 53.07 2.12%
Trade id #123519613
Max drawdown($555)
Time5/6/19 4:57
Quant open180
Worst price52.31
Drawdown as % of equity-2.12%
($423)
Includes Typical Broker Commissions trade costs of $3.60
5/2/19 13:33 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 120 26.78 5/3 9:38 25.89 0.47%
Trade id #123510969
Max drawdown($123)
Time5/3/19 9:34
Quant open120
Worst price25.75
Drawdown as % of equity-0.47%
($109)
Includes Typical Broker Commissions trade costs of $2.40
5/2/19 10:54 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 50 54.50 5/3 9:35 55.45 0.19%
Trade id #123506112
Max drawdown($50)
Time5/3/19 9:34
Quant open-50
Worst price55.51
Drawdown as % of equity-0.19%
($49)
Includes Typical Broker Commissions trade costs of $1.00
5/1/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 210 25.39 5/2 13:18 26.75 1.9%
Trade id #123489242
Max drawdown($493)
Time5/2/19 11:57
Quant open-210
Worst price27.74
Drawdown as % of equity-1.90%
($290)
Includes Typical Broker Commissions trade costs of $4.20
5/1/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 220 55.98 5/2 10:54 54.51 1.55%
Trade id #123489223
Max drawdown($405)
Time5/1/19 16:54
Quant open220
Worst price54.13
Drawdown as % of equity-1.55%
($327)
Includes Typical Broker Commissions trade costs of $4.40
4/29/19 10:08 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 180 25.68 4/30 11:03 26.26 0.39%
Trade id #123462994
Max drawdown($104)
Time4/30/19 11:03
Quant open0
Worst price26.26
Drawdown as % of equity-0.39%
($108)
Includes Typical Broker Commissions trade costs of $3.60
4/29/19 10:03 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 55.71 4/30 11:03 55.08 0.47%
Trade id #123462916
Max drawdown($126)
Time4/30/19 11:03
Quant open0
Worst price55.08
Drawdown as % of equity-0.47%
($130)
Includes Typical Broker Commissions trade costs of $4.00
4/25/19 9:48 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 160 54.88 4/26 10:50 55.77 0.61%
Trade id #123426445
Max drawdown($164)
Time4/26/19 10:35
Quant open-160
Worst price55.91
Drawdown as % of equity-0.61%
($145)
Includes Typical Broker Commissions trade costs of $3.20
4/25/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR LONG 180 25.99 4/26 10:21 25.62 0.24%
Trade id #123425504
Max drawdown($66)
Time4/26/19 10:21
Quant open0
Worst price25.62
Drawdown as % of equity-0.24%
($70)
Includes Typical Broker Commissions trade costs of $3.60
3/28/19 11:50 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 180 51.29 4/25 9:47 54.85 0.11%
Trade id #123115573
Max drawdown($28)
Time3/28/19 12:17
Quant open100
Worst price50.92
Drawdown as % of equity-0.11%
$636
Includes Typical Broker Commissions trade costs of $3.60
4/11/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 220 27.69 4/25 9:30 25.98 0.15%
Trade id #123280017
Max drawdown($39)
Time4/11/19 9:37
Quant open-220
Worst price27.87
Drawdown as % of equity-0.15%
$372
Includes Typical Broker Commissions trade costs of $4.40
4/9/19 15:25 VXXB IPATH SER B S&P 500 VIX SHOR LONG 150 28.94 4/11 9:30 27.68 0.76%
Trade id #123258927
Max drawdown($202)
Time4/11/19 9:18
Quant open150
Worst price27.59
Drawdown as % of equity-0.76%
($192)
Includes Typical Broker Commissions trade costs of $3.00
3/26/19 9:38 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 200 30.69 4/9 15:25 28.96 1.1%
Trade id #123074405
Max drawdown($284)
Time3/27/19 11:46
Quant open-200
Worst price32.11
Drawdown as % of equity-1.10%
$342
Includes Typical Broker Commissions trade costs of $4.00
3/27/19 11:35 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 70 49.98 3/28 11:50 51.20 0.44%
Trade id #123099236
Max drawdown($115)
Time3/28/19 10:11
Quant open-70
Worst price51.63
Drawdown as % of equity-0.44%
($86)
Includes Typical Broker Commissions trade costs of $1.40
3/26/19 9:37 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 250 51.20 3/27 11:35 49.98 1.15%
Trade id #123074370
Max drawdown($305)
Time3/27/19 11:35
Quant open0
Worst price49.98
Drawdown as % of equity-1.15%
($310)
Includes Typical Broker Commissions trade costs of $5.00
3/22/19 10:18 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 170 51.46 3/26 9:30 51.00 0.06%
Trade id #123030982
Max drawdown($15)
Time3/22/19 10:22
Quant open-120
Worst price52.21
Drawdown as % of equity-0.06%
$75
Includes Typical Broker Commissions trade costs of $3.40
3/22/19 9:31 VXXB IPATH SER B S&P 500 VIX SHOR LONG 120 29.25 3/26 9:30 30.80 0.08%
Trade id #123028951
Max drawdown($20)
Time3/22/19 9:34
Quant open120
Worst price29.08
Drawdown as % of equity-0.08%
$184
Includes Typical Broker Commissions trade costs of $2.40

Statistics

  • Strategy began
    12/2/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    928.23
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    160
  • # Profitable
    70
  • % Profitable
    43.80%
  • Avg trade duration
    7.4 days
  • Max peak-to-valley drawdown
    21.29%
  • drawdown period
    May 21, 2018 - Dec 20, 2018
  • Annual Return (Compounded)
    34.9%
  • Avg win
    $537.50
  • Avg loss
    $241.06
  • Model Account Values (Raw)
  • Cash
    $20,079
  • Margin Used
    $7,263
  • Buying Power
    $13,637
  • Ratios
  • W:L ratio
    1.73:1
  • Sharpe Ratio
    1.05
  • Sortino Ratio
    1.6
  • Calmar Ratio
    3.336
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.32760
  • Return Statistics
  • Ann Return (w trading costs)
    34.9%
  • Ann Return (Compnd, No Fees)
    45.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    625
  • Popularity (Last 6 weeks)
    920
  • C2 Score
    68.2
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $241
  • Avg Win
    $540
  • # Winners
    70
  • # Losers
    90
  • % Winners
    43.8%
  • Frequency
  • Avg Position Time (mins)
    10675.20
  • Avg Position Time (hrs)
    177.92
  • Avg Trade Length
    7.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    2.01
  • Unknown
  • Alpha
    0.07
  • Beta
    0.65
  • Treynor Index
    0.14
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39621
  • SD
    0.26965
  • Sharpe ratio (Glass type estimate)
    1.46933
  • Sharpe ratio (Hedges UMVUE)
    1.43095
  • df
    29.00000
  • t
    2.32322
  • p
    0.01369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16227
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75329
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72408
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68825
  • Upside Potential Ratio
    4.32221
  • Upside part of mean
    0.63704
  • Downside part of mean
    -0.24082
  • Upside SD
    0.24829
  • Downside SD
    0.14739
  • N nonnegative terms
    23.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.08816
  • Mean of criterion
    0.39621
  • SD of predictor
    0.09902
  • SD of criterion
    0.26965
  • Covariance
    0.01514
  • r
    0.56717
  • b (slope, estimate of beta)
    1.54454
  • a (intercept, estimate of alpha)
    0.26004
  • Mean Square Error
    0.05108
  • DF error
    28.00000
  • t(b)
    3.64398
  • p(b)
    0.00054
  • t(a)
    1.76000
  • p(a)
    0.04467
  • Lowerbound of 95% confidence interval for beta
    0.67630
  • Upperbound of 95% confidence interval for beta
    2.41278
  • Lowerbound of 95% confidence interval for alpha
    -0.04261
  • Upperbound of 95% confidence interval for alpha
    0.56269
  • Treynor index (mean / b)
    0.25653
  • Jensen alpha (a)
    0.26004
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35521
  • SD
    0.26600
  • Sharpe ratio (Glass type estimate)
    1.33539
  • Sharpe ratio (Hedges UMVUE)
    1.30051
  • df
    29.00000
  • t
    2.11144
  • p
    0.02174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58448
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30052
  • Upside Potential Ratio
    3.93131
  • Upside part of mean
    0.60701
  • Downside part of mean
    -0.25180
  • Upside SD
    0.23467
  • Downside SD
    0.15440
  • N nonnegative terms
    23.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.08291
  • Mean of criterion
    0.35521
  • SD of predictor
    0.09939
  • SD of criterion
    0.26600
  • Covariance
    0.01539
  • r
    0.58212
  • b (slope, estimate of beta)
    1.55788
  • a (intercept, estimate of alpha)
    0.22605
  • Mean Square Error
    0.04845
  • DF error
    28.00000
  • t(b)
    3.78826
  • p(b)
    0.00037
  • t(a)
    1.57720
  • p(a)
    0.06299
  • Lowerbound of 95% confidence interval for beta
    0.71550
  • Upperbound of 95% confidence interval for beta
    2.40027
  • Lowerbound of 95% confidence interval for alpha
    -0.06754
  • Upperbound of 95% confidence interval for alpha
    0.51964
  • Treynor index (mean / b)
    0.22801
  • Jensen alpha (a)
    0.22605
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09217
  • Expected Shortfall on VaR
    0.12049
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02650
  • Expected Shortfall on VaR
    0.06128
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.89172
  • Quartile 1
    1.01564
  • Median
    1.03893
  • Quartile 3
    1.10500
  • Maximum
    1.16441
  • Mean of quarter 1
    0.92854
  • Mean of quarter 2
    1.03009
  • Mean of quarter 3
    1.06087
  • Mean of quarter 4
    1.12441
  • Inter Quartile Range
    0.08936
  • 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)
    -1.70182
  • VaR(95%) (regression method)
    0.07193
  • Expected Shortfall (regression method)
    0.07547
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.05569
  • Quartile 1
    0.06784
  • Median
    0.08805
  • Quartile 3
    0.09903
  • Maximum
    0.10828
  • Mean of quarter 1
    0.05769
  • Mean of quarter 2
    0.08202
  • Mean of quarter 3
    0.09661
  • Mean of quarter 4
    0.10486
  • Inter Quartile Range
    0.03118
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64238
  • Compounded annual return (geometric extrapolation)
    0.46685
  • Calmar ratio (compounded annual return / max draw down)
    4.31138
  • Compounded annual return / average of 25% largest draw downs
    4.45200
  • Compounded annual return / Expected Shortfall lognormal
    3.87471
  • 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
    0.38410
  • SD
    0.22989
  • Sharpe ratio (Glass type estimate)
    1.67083
  • Sharpe ratio (Hedges UMVUE)
    1.66892
  • df
    657.00000
  • t
    2.64785
  • p
    0.00415
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43014
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90897
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63832
  • Upside Potential Ratio
    10.67130
  • Upside part of mean
    1.55359
  • Downside part of mean
    -1.16949
  • Upside SD
    0.17926
  • Downside SD
    0.14558
  • N nonnegative terms
    351.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    658.00000
  • Mean of predictor
    0.09428
  • Mean of criterion
    0.38410
  • SD of predictor
    0.12859
  • SD of criterion
    0.22989
  • Covariance
    0.00963
  • r
    0.32578
  • b (slope, estimate of beta)
    0.58243
  • a (intercept, estimate of alpha)
    0.32900
  • Mean Square Error
    0.04731
  • DF error
    656.00000
  • t(b)
    8.82563
  • p(b)
    0.00000
  • t(a)
    2.39597
  • p(a)
    0.00843
  • Lowerbound of 95% confidence interval for beta
    0.45284
  • Upperbound of 95% confidence interval for beta
    0.71201
  • Lowerbound of 95% confidence interval for alpha
    0.05941
  • Upperbound of 95% confidence interval for alpha
    0.59897
  • Treynor index (mean / b)
    0.65948
  • Jensen alpha (a)
    0.32919
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35754
  • SD
    0.22914
  • Sharpe ratio (Glass type estimate)
    1.56032
  • Sharpe ratio (Hedges UMVUE)
    1.55854
  • df
    657.00000
  • t
    2.47273
  • p
    0.00683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32011
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79938
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31892
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79817
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42444
  • Upside Potential Ratio
    10.42690
  • Upside part of mean
    1.53768
  • Downside part of mean
    -1.18015
  • Upside SD
    0.17654
  • Downside SD
    0.14747
  • N nonnegative terms
    351.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    658.00000
  • Mean of predictor
    0.08598
  • Mean of criterion
    0.35754
  • SD of predictor
    0.12883
  • SD of criterion
    0.22914
  • Covariance
    0.00959
  • r
    0.32474
  • b (slope, estimate of beta)
    0.57758
  • a (intercept, estimate of alpha)
    0.30788
  • Mean Square Error
    0.04704
  • DF error
    656.00000
  • t(b)
    8.79392
  • p(b)
    0.00000
  • t(a)
    2.24766
  • p(a)
    0.01246
  • Lowerbound of 95% confidence interval for beta
    0.44861
  • Upperbound of 95% confidence interval for beta
    0.70655
  • Lowerbound of 95% confidence interval for alpha
    0.03891
  • Upperbound of 95% confidence interval for alpha
    0.57684
  • Treynor index (mean / b)
    0.61902
  • Jensen alpha (a)
    0.30788
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02168
  • Expected Shortfall on VaR
    0.02744
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00986
  • Expected Shortfall on VaR
    0.01933
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    658.00000
  • Minimum
    0.94688
  • Quartile 1
    0.99391
  • Median
    1.00093
  • Quartile 3
    1.00920
  • Maximum
    1.07532
  • Mean of quarter 1
    0.98469
  • Mean of quarter 2
    0.99776
  • Mean of quarter 3
    1.00480
  • Mean of quarter 4
    1.01903
  • Inter Quartile Range
    0.01529
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.01976
  • Mean of outliers low
    0.96305
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.02128
  • Mean of outliers high
    1.04472
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09352
  • VaR(95%) (moments method)
    0.01446
  • Expected Shortfall (moments method)
    0.02062
  • Extreme Value Index (regression method)
    -0.03717
  • VaR(95%) (regression method)
    0.01596
  • Expected Shortfall (regression method)
    0.02166
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00640
  • Median
    0.02535
  • Quartile 3
    0.05222
  • Maximum
    0.14095
  • Mean of quarter 1
    0.00142
  • Mean of quarter 2
    0.01670
  • Mean of quarter 3
    0.03970
  • Mean of quarter 4
    0.09351
  • Inter Quartile Range
    0.04582
  • 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
    0.02778
  • Mean of outliers high
    0.14095
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.68431
  • VaR(95%) (moments method)
    0.09319
  • Expected Shortfall (moments method)
    0.09333
  • Extreme Value Index (regression method)
    -0.69209
  • VaR(95%) (regression method)
    0.11030
  • Expected Shortfall (regression method)
    0.12214
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65012
  • Compounded annual return (geometric extrapolation)
    0.47027
  • Calmar ratio (compounded annual return / max draw down)
    3.33644
  • Compounded annual return / average of 25% largest draw downs
    5.02907
  • Compounded annual return / Expected Shortfall lognormal
    17.13870
  • 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
    0.19215
  • SD
    0.15994
  • Sharpe ratio (Glass type estimate)
    1.20135
  • Sharpe ratio (Hedges UMVUE)
    1.19441
  • df
    130.00000
  • t
    0.84948
  • p
    0.46285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57660
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97471
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97001
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68292
  • Upside Potential Ratio
    9.30310
  • Upside part of mean
    1.06219
  • Downside part of mean
    -0.87004
  • Upside SD
    0.11177
  • Downside SD
    0.11418
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17686
  • Mean of criterion
    0.19215
  • SD of predictor
    0.15965
  • SD of criterion
    0.15994
  • Covariance
    0.00538
  • r
    0.21086
  • b (slope, estimate of beta)
    0.21125
  • a (intercept, estimate of alpha)
    0.15479
  • Mean Square Error
    0.02463
  • DF error
    129.00000
  • t(b)
    2.44996
  • p(b)
    0.36677
  • t(a)
    0.69571
  • p(a)
    0.46110
  • Lowerbound of 95% confidence interval for beta
    0.04065
  • Upperbound of 95% confidence interval for beta
    0.38185
  • Lowerbound of 95% confidence interval for alpha
    -0.28541
  • Upperbound of 95% confidence interval for alpha
    0.59498
  • Treynor index (mean / b)
    0.90957
  • Jensen alpha (a)
    0.15479
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17934
  • SD
    0.16023
  • Sharpe ratio (Glass type estimate)
    1.11925
  • Sharpe ratio (Hedges UMVUE)
    1.11278
  • df
    130.00000
  • t
    0.79143
  • p
    0.46538
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66232
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88789
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55485
  • Upside Potential Ratio
    9.15440
  • Upside part of mean
    1.05589
  • Downside part of mean
    -0.87655
  • Upside SD
    0.11089
  • Downside SD
    0.11534
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16419
  • Mean of criterion
    0.17934
  • SD of predictor
    0.15914
  • SD of criterion
    0.16023
  • Covariance
    0.00535
  • r
    0.20992
  • b (slope, estimate of beta)
    0.21137
  • a (intercept, estimate of alpha)
    0.14464
  • Mean Square Error
    0.02473
  • DF error
    129.00000
  • t(b)
    2.43862
  • p(b)
    0.36735
  • t(a)
    0.64898
  • p(a)
    0.46370
  • Lowerbound of 95% confidence interval for beta
    0.03988
  • Upperbound of 95% confidence interval for beta
    0.38285
  • Lowerbound of 95% confidence interval for alpha
    -0.29631
  • Upperbound of 95% confidence interval for alpha
    0.58558
  • Treynor index (mean / b)
    0.84849
  • Jensen alpha (a)
    0.14464
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01548
  • Expected Shortfall on VaR
    0.01953
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00688
  • Expected Shortfall on VaR
    0.01404
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96461
  • Quartile 1
    0.99545
  • Median
    1.00161
  • Quartile 3
    1.00643
  • Maximum
    1.02608
  • Mean of quarter 1
    0.98814
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00402
  • Mean of quarter 4
    1.01217
  • Inter Quartile Range
    0.01098
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97436
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02608
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21462
  • VaR(95%) (moments method)
    0.01164
  • Expected Shortfall (moments method)
    0.01831
  • Extreme Value Index (regression method)
    -0.02062
  • VaR(95%) (regression method)
    0.01239
  • Expected Shortfall (regression method)
    0.01706
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00114
  • Quartile 1
    0.01325
  • Median
    0.02136
  • Quartile 3
    0.02681
  • Maximum
    0.09263
  • Mean of quarter 1
    0.00572
  • Mean of quarter 2
    0.01847
  • Mean of quarter 3
    0.02438
  • Mean of quarter 4
    0.05470
  • Inter Quartile Range
    0.01356
  • 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
    0.09091
  • Mean of outliers high
    0.09263
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.41308
  • VaR(95%) (moments method)
    0.06049
  • Expected Shortfall (moments method)
    0.06426
  • Extreme Value Index (regression method)
    0.46563
  • VaR(95%) (regression method)
    0.09623
  • Expected Shortfall (regression method)
    0.21060
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21837
  • Compounded annual return (geometric extrapolation)
    0.23029
  • Calmar ratio (compounded annual return / max draw down)
    2.48598
  • Compounded annual return / average of 25% largest draw downs
    4.20997
  • Compounded annual return / Expected Shortfall lognormal
    11.78870

Strategy Description

VIX Tactical Trader is a systematic trend-following strategy implemented via volatility ETFs such as SVXY and VXX. Thus, retail investors can take advantage of a robust strategy usually accessible to professional traders only.

The strategy takes advantage of the strong trends generated by volatility instruments. It can assume a long/short or cash state and it implements stop-loss signals to mitigate the potential losses.

Summary Statistics

Strategy began
2016-12-02
Suggested Minimum Capital
$35,000
# Trades
160
# Profitable
70
% Profitable
43.8%
Correlation S&P500
0.328
Sharpe Ratio
1.05
Sortino Ratio
1.60
Beta
0.65
Alpha
0.07
Leverage
0.88 Average
2.01 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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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.