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

Fast Nickles
(105828277)

Created by: C_J_ C_J_
Started: 09/2016
Stocks
Last trade: 287 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 $49.00 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.

29.0%
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.

(32.3%)
Max Drawdown
65
Num Trades
67.7%
Win Trades
2.0 : 1
Profit Factor
70.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +10.2%+1.2%+19.4%+4.6%+39.3%
2017+15.6%+14.4%+14.6%(10.9%)(3.5%)+1.9%+2.4%(7.1%)+11.2%+7.6%+4.0%+4.8%+64.5%
2018+9.3%(18.1%)+1.3%+2.1%(1.8%)(2.2%)+5.6%(0.5%)+3.0%(12.8%)+1.9%(9.4%)(22.6%)
2019+9.0%+4.6%+0.8%+3.7%(8.3%)+4.6%                                    +14.3%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 113 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/17/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 900 13.71 8/31 9:30 14.01 2.55%
Trade id #118970980
Max drawdown($585)
Time8/15/18 10:57
Quant open900
Worst price13.06
Drawdown as % of equity-2.55%
$265
Includes Typical Broker Commissions trade costs of $5.00
6/8/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 900 13.56 7/13 9:30 13.64 5.81%
Trade id #118330737
Max drawdown($1,242)
Time6/28/18 10:38
Quant open900
Worst price12.18
Drawdown as % of equity-5.81%
$67
Includes Typical Broker Commissions trade costs of $5.00
5/21/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 900 13.58 6/7 9:30 13.86 4.6%
Trade id #118017500
Max drawdown($1,008)
Time5/29/18 15:21
Quant open900
Worst price12.46
Drawdown as % of equity-4.60%
$247
Includes Typical Broker Commissions trade costs of $5.00
5/11/18 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 250 36.44 5/15 9:30 36.00 2.12%
Trade id #117892883
Max drawdown($482)
Time5/14/18 10:36
Quant open250
Worst price34.51
Drawdown as % of equity-2.12%
($115)
Includes Typical Broker Commissions trade costs of $5.00
4/23/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 12.29 5/10 9:30 12.90 2.52%
Trade id #117618940
Max drawdown($555)
Time4/24/18 14:06
Quant open1,000
Worst price11.73
Drawdown as % of equity-2.52%
$605
Includes Typical Broker Commissions trade costs of $5.00
4/12/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 11.51 4/19 9:30 12.35 0%
Trade id #117480841
Max drawdown$0
Time4/12/18 9:32
Quant open1,000
Worst price11.51
Drawdown as % of equity0.00%
$835
Includes Typical Broker Commissions trade costs of $5.00
3/28/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 11.46 4/9 9:30 11.42 2.69%
Trade id #117274521
Max drawdown($580)
Time4/4/18 6:35
Quant open1,000
Worst price10.88
Drawdown as % of equity-2.69%
($45)
Includes Typical Broker Commissions trade costs of $5.00
3/22/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 12.15 3/26 9:30 11.82 3.64%
Trade id #117177711
Max drawdown($770)
Time3/23/18 15:53
Quant open1,000
Worst price11.38
Drawdown as % of equity-3.64%
($335)
Includes Typical Broker Commissions trade costs of $5.00
3/13/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 13.03 3/21 9:30 12.53 4.75%
Trade id #117012118
Max drawdown($1,030)
Time3/19/18 14:43
Quant open1,000
Worst price12.00
Drawdown as % of equity-4.75%
($505)
Includes Typical Broker Commissions trade costs of $5.00
3/7/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 12.09 3/12 9:30 13.07 0.18%
Trade id #116903327
Max drawdown($40)
Time3/7/18 12:11
Quant open1,000
Worst price12.05
Drawdown as % of equity-0.18%
$975
Includes Typical Broker Commissions trade costs of $5.00
2/22/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 12.33 2/27 9:30 13.47 1.84%
Trade id #116663428
Max drawdown($379)
Time2/22/18 15:04
Quant open1,000
Worst price11.95
Drawdown as % of equity-1.84%
$1,135
Includes Typical Broker Commissions trade costs of $5.00
9/12/16 14:08 HTUS HULL TACTICAL US ETF LONG 950 26.17 2/23/18 9:30 26.12 2.81%
Trade id #105828440
Max drawdown($553)
Time2/9/18 12:46
Quant open260
Worst price24.04
Drawdown as % of equity-2.81%
($59)
Includes Typical Broker Commissions trade costs of $9.00
1/30/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 950 16.48 2/14 9:30 11.35 26.82%
Trade id #116172370
Max drawdown($5,285)
Time2/9/18 13:41
Quant open50
Worst price9.53
Drawdown as % of equity-26.82%
($4,875)
Includes Typical Broker Commissions trade costs of $5.50
1/18/18 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 450 27.35 1/25 9:30 27.26 2.28%
Trade id #115953146
Max drawdown($585)
Time1/22/18 12:22
Quant open450
Worst price26.05
Drawdown as % of equity-2.28%
($50)
Includes Typical Broker Commissions trade costs of $9.00
1/10/18 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 55 141.27 1/12 9:30 145.73 0.45%
Trade id #115797614
Max drawdown($108)
Time1/10/18 9:54
Quant open55
Worst price139.30
Drawdown as % of equity-0.45%
$244
Includes Typical Broker Commissions trade costs of $1.10
12/26/17 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 325 28.04 1/2/18 9:30 27.59 1.23%
Trade id #115516271
Max drawdown($295)
Time1/2/18 9:30
Quant open0
Worst price27.84
Drawdown as % of equity-1.23%
($305)
Includes Typical Broker Commissions trade costs of $9.75
12/19/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 55 135.67 12/22 9:30 136.06 0.58%
Trade id #115422807
Max drawdown($142)
Time12/19/17 12:03
Quant open55
Worst price133.08
Drawdown as % of equity-0.58%
$20
Includes Typical Broker Commissions trade costs of $1.10
12/6/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 120 114.77 12/13 9:30 126.62 0.26%
Trade id #115217078
Max drawdown($60)
Time12/6/17 12:30
Quant open120
Worst price114.27
Drawdown as % of equity-0.26%
$1,421
Includes Typical Broker Commissions trade costs of $2.40
11/30/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 60 120.08 12/4 9:30 119.84 4.72%
Trade id #115116885
Max drawdown($1,035)
Time12/1/17 11:34
Quant open60
Worst price102.82
Drawdown as % of equity-4.72%
($15)
Includes Typical Broker Commissions trade costs of $1.20
11/8/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 165 109.54 11/29 9:30 114.73 3.42%
Trade id #114744569
Max drawdown($738)
Time11/15/17 5:45
Quant open110
Worst price103.95
Drawdown as % of equity-3.42%
$852
Includes Typical Broker Commissions trade costs of $3.30
10/25/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 110 106.55 11/6 9:30 112.01 2.83%
Trade id #114514889
Max drawdown($594)
Time10/25/17 12:32
Quant open60
Worst price96.95
Drawdown as % of equity-2.83%
$598
Includes Typical Broker Commissions trade costs of $2.20
10/12/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 55 105.09 10/23 9:30 113.49 0.6%
Trade id #114177405
Max drawdown($127)
Time10/19/17 4:02
Quant open55
Worst price102.77
Drawdown as % of equity-0.60%
$461
Includes Typical Broker Commissions trade costs of $1.10
9/8/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 115 80.86 10/3 9:30 100.44 1.17%
Trade id #113598405
Max drawdown($214)
Time9/8/17 16:01
Quant open115
Worst price79.00
Drawdown as % of equity-1.17%
$2,250
Includes Typical Broker Commissions trade costs of $2.30
8/1/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 225 85.49 8/31 9:30 80.08 16.29%
Trade id #112915735
Max drawdown($2,781)
Time8/17/17 16:04
Quant open115
Worst price70.90
Drawdown as % of equity-16.29%
($1,224)
Includes Typical Broker Commissions trade costs of $4.50
7/20/17 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 850 11.36 7/21 9:30 11.39 0.39%
Trade id #112696708
Max drawdown($76)
Time7/21/17 4:20
Quant open850
Worst price11.27
Drawdown as % of equity-0.39%
$21
Includes Typical Broker Commissions trade costs of $5.00
7/7/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 115 79.85 7/12 9:30 82.99 0.45%
Trade id #112464486
Max drawdown($87)
Time7/7/17 9:35
Quant open115
Worst price79.09
Drawdown as % of equity-0.45%
$359
Includes Typical Broker Commissions trade costs of $2.30
6/22/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 60 83.65 7/3 9:30 84.86 3.21%
Trade id #112169165
Max drawdown($597)
Time6/29/17 13:30
Quant open60
Worst price73.69
Drawdown as % of equity-3.21%
$71
Includes Typical Broker Commissions trade costs of $1.20
5/23/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 110 77.65 6/20 9:30 82.36 0.31%
Trade id #111727019
Max drawdown($56)
Time5/23/17 14:16
Quant open55
Worst price76.30
Drawdown as % of equity-0.31%
$516
Includes Typical Broker Commissions trade costs of $2.20
5/11/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 120 78.60 5/18 9:31 68.03 8.39%
Trade id #111541894
Max drawdown($1,551)
Time5/18/17 6:01
Quant open120
Worst price65.67
Drawdown as % of equity-8.39%
($1,271)
Includes Typical Broker Commissions trade costs of $2.40
4/25/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 120 74.49 5/8 9:30 78.78 0.85%
Trade id #111245631
Max drawdown($165)
Time4/26/17 11:51
Quant open120
Worst price73.11
Drawdown as % of equity-0.85%
$513
Includes Typical Broker Commissions trade costs of $2.40

Statistics

  • Strategy began
    9/12/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1009.11
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    65
  • # Profitable
    44
  • % Profitable
    67.70%
  • Avg trade duration
    28.5 days
  • Max peak-to-valley drawdown
    32.28%
  • drawdown period
    Feb 01, 2018 - Dec 27, 2018
  • Annual Return (Compounded)
    29.0%
  • Avg win
    $558.57
  • Avg loss
    $700.14
  • Model Account Values (Raw)
  • Cash
    $7,762
  • Margin Used
    $0
  • Buying Power
    $6,047
  • Ratios
  • W:L ratio
    1.99:1
  • Sharpe Ratio
    0.9
  • Sortino Ratio
    1.21
  • Calmar Ratio
    1.317
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.43220
  • Return Statistics
  • Ann Return (w trading costs)
    29.0%
  • Ann Return (Compnd, No Fees)
    33.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    7.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    738
  • C2 Score
    21.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $700
  • Avg Win
    $559
  • # Winners
    44
  • # Losers
    21
  • % Winners
    67.7%
  • Frequency
  • Avg Position Time (mins)
    41100.30
  • Avg Position Time (hrs)
    685.00
  • Avg Trade Length
    28.5 days
  • Last Trade Ago
    287
  • Leverage
  • Daily leverage (average)
    1.56
  • Daily leverage (max)
    6.11
  • Unknown
  • Alpha
    0.05
  • Beta
    0.78
  • Treynor Index
    0.09
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32029
  • SD
    0.28775
  • Sharpe ratio (Glass type estimate)
    1.11309
  • Sharpe ratio (Hedges UMVUE)
    1.08401
  • df
    29.00000
  • t
    1.75994
  • p
    0.04448
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35460
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89152
  • Upside Potential Ratio
    3.38729
  • Upside part of mean
    0.57357
  • Downside part of mean
    -0.25328
  • Upside SD
    0.24478
  • Downside SD
    0.16933
  • N nonnegative terms
    20.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.08528
  • Mean of criterion
    0.32029
  • SD of predictor
    0.10214
  • SD of criterion
    0.28775
  • Covariance
    0.01607
  • r
    0.54694
  • b (slope, estimate of beta)
    1.54091
  • a (intercept, estimate of alpha)
    0.18888
  • Mean Square Error
    0.06010
  • DF error
    28.00000
  • t(b)
    3.45701
  • p(b)
    0.00088
  • t(a)
    1.18311
  • p(a)
    0.12336
  • Lowerbound of 95% confidence interval for beta
    0.62786
  • Upperbound of 95% confidence interval for beta
    2.45396
  • Lowerbound of 95% confidence interval for alpha
    -0.13814
  • Upperbound of 95% confidence interval for alpha
    0.51590
  • Treynor index (mean / b)
    0.20786
  • Jensen alpha (a)
    0.18888
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27605
  • SD
    0.28836
  • Sharpe ratio (Glass type estimate)
    0.95733
  • Sharpe ratio (Hedges UMVUE)
    0.93232
  • df
    29.00000
  • t
    1.51367
  • p
    0.07047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19491
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49956
  • Upside Potential Ratio
    2.95907
  • Upside part of mean
    0.54473
  • Downside part of mean
    -0.26868
  • Upside SD
    0.22987
  • Downside SD
    0.18409
  • N nonnegative terms
    20.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.07978
  • Mean of criterion
    0.27605
  • SD of predictor
    0.10204
  • SD of criterion
    0.28836
  • Covariance
    0.01599
  • r
    0.54336
  • b (slope, estimate of beta)
    1.53555
  • a (intercept, estimate of alpha)
    0.15355
  • Mean Square Error
    0.06069
  • DF error
    28.00000
  • t(b)
    3.42489
  • p(b)
    0.00096
  • t(a)
    0.96047
  • p(a)
    0.17252
  • Lowerbound of 95% confidence interval for beta
    0.61715
  • Upperbound of 95% confidence interval for beta
    2.45395
  • Lowerbound of 95% confidence interval for alpha
    -0.17392
  • Upperbound of 95% confidence interval for alpha
    0.48102
  • Treynor index (mean / b)
    0.17977
  • Jensen alpha (a)
    0.15355
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10767
  • Expected Shortfall on VaR
    0.13777
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03627
  • Expected Shortfall on VaR
    0.08012
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.79419
  • Quartile 1
    0.98352
  • Median
    1.03180
  • Quartile 3
    1.07699
  • Maximum
    1.20622
  • Mean of quarter 1
    0.92542
  • Mean of quarter 2
    1.01096
  • Mean of quarter 3
    1.06320
  • Mean of quarter 4
    1.11851
  • Inter Quartile Range
    0.09347
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03333
  • Mean of outliers low
    0.79419
  • 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)
    -1.24079
  • VaR(95%) (moments method)
    0.05492
  • Expected Shortfall (moments method)
    0.05851
  • Extreme Value Index (regression method)
    0.41812
  • VaR(95%) (regression method)
    0.08686
  • Expected Shortfall (regression method)
    0.18714
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.13743
  • Quartile 1
    0.17007
  • Median
    0.20271
  • Quartile 3
    0.23535
  • Maximum
    0.26799
  • Mean of quarter 1
    0.13743
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26799
  • Inter Quartile Range
    0.06528
  • 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)
    0.45523
  • Compounded annual return (geometric extrapolation)
    0.35522
  • Calmar ratio (compounded annual return / max draw down)
    1.32550
  • Compounded annual return / average of 25% largest draw downs
    1.32550
  • Compounded annual return / Expected Shortfall lognormal
    2.57840
  • 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
    0.30977
  • SD
    0.23874
  • Sharpe ratio (Glass type estimate)
    1.29754
  • Sharpe ratio (Hedges UMVUE)
    1.29608
  • df
    667.00000
  • t
    2.07185
  • p
    0.01933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06664
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52552
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75580
  • Upside Potential Ratio
    7.51228
  • Upside part of mean
    1.32536
  • Downside part of mean
    -1.01560
  • Upside SD
    0.16171
  • Downside SD
    0.17643
  • N nonnegative terms
    408.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    668.00000
  • Mean of predictor
    0.10016
  • Mean of criterion
    0.30977
  • SD of predictor
    0.13999
  • SD of criterion
    0.23874
  • Covariance
    0.01409
  • r
    0.42162
  • b (slope, estimate of beta)
    0.71902
  • a (intercept, estimate of alpha)
    0.23800
  • Mean Square Error
    0.04693
  • DF error
    666.00000
  • t(b)
    11.99950
  • p(b)
    0.00000
  • t(a)
    1.75066
  • p(a)
    0.04023
  • Lowerbound of 95% confidence interval for beta
    0.60136
  • Upperbound of 95% confidence interval for beta
    0.83667
  • Lowerbound of 95% confidence interval for alpha
    -0.02891
  • Upperbound of 95% confidence interval for alpha
    0.50442
  • Treynor index (mean / b)
    0.43082
  • Jensen alpha (a)
    0.23775
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28069
  • SD
    0.24152
  • Sharpe ratio (Glass type estimate)
    1.16219
  • Sharpe ratio (Hedges UMVUE)
    1.16088
  • df
    667.00000
  • t
    1.85573
  • p
    0.03197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38993
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53871
  • Upside Potential Ratio
    7.19463
  • Upside part of mean
    1.31245
  • Downside part of mean
    -1.03175
  • Upside SD
    0.15896
  • Downside SD
    0.18242
  • N nonnegative terms
    408.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    668.00000
  • Mean of predictor
    0.09021
  • Mean of criterion
    0.28069
  • SD of predictor
    0.14149
  • SD of criterion
    0.24152
  • Covariance
    0.01425
  • r
    0.41712
  • b (slope, estimate of beta)
    0.71199
  • a (intercept, estimate of alpha)
    0.21646
  • Mean Square Error
    0.04826
  • DF error
    666.00000
  • t(b)
    11.84400
  • p(b)
    0.00000
  • t(a)
    1.57223
  • p(a)
    0.05819
  • Lowerbound of 95% confidence interval for beta
    0.59396
  • Upperbound of 95% confidence interval for beta
    0.83003
  • Lowerbound of 95% confidence interval for alpha
    -0.05388
  • Upperbound of 95% confidence interval for alpha
    0.48680
  • Treynor index (mean / b)
    0.39424
  • Jensen alpha (a)
    0.21646
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02320
  • Expected Shortfall on VaR
    0.02925
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00729
  • Expected Shortfall on VaR
    0.01661
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    668.00000
  • Minimum
    0.85669
  • Quartile 1
    0.99777
  • Median
    1.00157
  • Quartile 3
    1.00693
  • Maximum
    1.07347
  • Mean of quarter 1
    0.98510
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00403
  • Mean of quarter 4
    1.01610
  • Inter Quartile Range
    0.00916
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.06437
  • Mean of outliers low
    0.96543
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.04790
  • Mean of outliers high
    1.03369
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30192
  • VaR(95%) (moments method)
    0.00937
  • Expected Shortfall (moments method)
    0.01739
  • Extreme Value Index (regression method)
    0.05237
  • VaR(95%) (regression method)
    0.01427
  • Expected Shortfall (regression method)
    0.02249
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00131
  • Median
    0.00520
  • Quartile 3
    0.02482
  • Maximum
    0.27444
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.00355
  • Mean of quarter 3
    0.01270
  • Mean of quarter 4
    0.09572
  • Inter Quartile Range
    0.02351
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12821
  • Mean of outliers high
    0.15748
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.72318
  • VaR(95%) (moments method)
    0.10611
  • Expected Shortfall (moments method)
    0.40723
  • Extreme Value Index (regression method)
    0.92724
  • VaR(95%) (regression method)
    0.10899
  • Expected Shortfall (regression method)
    1.42429
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46924
  • Compounded annual return (geometric extrapolation)
    0.36152
  • Calmar ratio (compounded annual return / max draw down)
    1.31731
  • Compounded annual return / average of 25% largest draw downs
    3.77669
  • Compounded annual return / Expected Shortfall lognormal
    12.35750
  • 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
    -0.07185
  • SD
    0.18791
  • Sharpe ratio (Glass type estimate)
    -0.38238
  • Sharpe ratio (Hedges UMVUE)
    -0.38017
  • df
    130.00000
  • t
    -0.27039
  • p
    0.51185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.15386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.15236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39202
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46917
  • Upside Potential Ratio
    6.91338
  • Upside part of mean
    1.05880
  • Downside part of mean
    -1.13066
  • Upside SD
    0.10773
  • Downside SD
    0.15315
  • 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
    0.02295
  • Mean of criterion
    -0.07185
  • SD of predictor
    0.23783
  • SD of criterion
    0.18791
  • Covariance
    0.02998
  • r
    0.67073
  • b (slope, estimate of beta)
    0.52994
  • a (intercept, estimate of alpha)
    -0.08402
  • Mean Square Error
    0.01958
  • DF error
    129.00000
  • t(b)
    10.27090
  • p(b)
    0.10763
  • t(a)
    -0.42461
  • p(a)
    0.52378
  • Lowerbound of 95% confidence interval for beta
    0.42785
  • Upperbound of 95% confidence interval for beta
    0.63202
  • Lowerbound of 95% confidence interval for alpha
    -0.47552
  • Upperbound of 95% confidence interval for alpha
    0.30748
  • Treynor index (mean / b)
    -0.13559
  • Jensen alpha (a)
    -0.08402
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08956
  • SD
    0.18938
  • Sharpe ratio (Glass type estimate)
    -0.47291
  • Sharpe ratio (Hedges UMVUE)
    -0.47018
  • df
    130.00000
  • t
    -0.33440
  • p
    0.51466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.24447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.24258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30221
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57596
  • Upside Potential Ratio
    6.77135
  • Upside part of mean
    1.05294
  • Downside part of mean
    -1.14250
  • Upside SD
    0.10697
  • Downside SD
    0.15550
  • 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
    -0.00573
  • Mean of criterion
    -0.08956
  • SD of predictor
    0.24177
  • SD of criterion
    0.18938
  • Covariance
    0.03089
  • r
    0.67466
  • b (slope, estimate of beta)
    0.52848
  • a (intercept, estimate of alpha)
    -0.08654
  • Mean Square Error
    0.01969
  • DF error
    129.00000
  • t(b)
    10.38120
  • p(b)
    0.10578
  • t(a)
    -0.43604
  • p(a)
    0.52442
  • Lowerbound of 95% confidence interval for beta
    0.42776
  • Upperbound of 95% confidence interval for beta
    0.62920
  • Lowerbound of 95% confidence interval for alpha
    -0.47919
  • Upperbound of 95% confidence interval for alpha
    0.30612
  • Treynor index (mean / b)
    -0.16947
  • Jensen alpha (a)
    -0.08654
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01940
  • Expected Shortfall on VaR
    0.02417
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00891
  • Expected Shortfall on VaR
    0.01843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95172
  • Quartile 1
    0.99410
  • Median
    1.00169
  • Quartile 3
    1.00698
  • Maximum
    1.02598
  • Mean of quarter 1
    0.98445
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00421
  • Mean of quarter 4
    1.01189
  • Inter Quartile Range
    0.01289
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96542
  • 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)
    0.12631
  • VaR(95%) (moments method)
    0.01450
  • Expected Shortfall (moments method)
    0.02134
  • Extreme Value Index (regression method)
    0.26790
  • VaR(95%) (regression method)
    0.01352
  • Expected Shortfall (regression method)
    0.02147
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08152
  • Quartile 1
    0.10309
  • Median
    0.12467
  • Quartile 3
    0.14624
  • Maximum
    0.16782
  • Mean of quarter 1
    0.08152
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16782
  • Inter Quartile Range
    0.04315
  • 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)
    -0.06071
  • Compounded annual return (geometric extrapolation)
    -0.05979
  • Calmar ratio (compounded annual return / max draw down)
    -0.35629
  • Compounded annual return / average of 25% largest draw downs
    -0.35629
  • Compounded annual return / Expected Shortfall lognormal
    -2.47389

Strategy Description

Invests a core position in highly-stable ETF's (or CEF's opportunistically), with a variable position in volatility ETFs. The allocation to volatility ETF's is determined using a proprietary, quantitative-driven method which encompasses multiple variables known to be predictive of the next-day % change in targeted volatility ETF's.

Fast Nickles is a long-only strategy to accommodate subscribers who want to use the strategy in their IRA and other accounts which will not allow short positions. Furthermore, Fast Nickles will not have an allocation greater than 75% of NAV committed to volatility (with the difference being either in cash or a "core", non-volatility-related ETF or CEF); and Fast Nickles will "shade" its volatility exposure depending on the model's overall score. Normal trading will have this strategy trading 5-10 times per month, with trades typically entered at the market open. Because buy and sell signals are normally tied to quantitative signals, and because the system will maintain open positions overnight, draw downs of 15% or more are possible. You may therefore wish to set your own stop loss limits. However, I have found from extensive back-testing that setting stop losses reduces ultimate gains.

To control downside risk without stop losses, we instead limit our exposures as noted above, and build into our model proprietary variables that are predictive of black-swan events. We also will go short volatility as well as long volatility in order to take advantage of market moves in either direction.

Important: we don't provide professional financial or investment advice specific to your situation; rather, we simply provide algorithmic (and in rare situations discretionary) trading signals for certain S&P 500 volatility (VIX) related exchange traded products based on proprietary analysis.

Summary Statistics

Strategy began
2016-09-12
Suggested Minimum Capital
$15,000
# Trades
65
# Profitable
44
% Profitable
67.7%
Net Dividends
Correlation S&P500
0.432
Sharpe Ratio
0.90
Sortino Ratio
1.21
Beta
0.78
Alpha
0.05
Leverage
1.56 Average
6.11 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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