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

VIX ETF DAY TRADING (98408819)

Started: 11/2015
Stocks
Last trade: Yesterday

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 $239.00 per month.

31.6%
Annual Return (Compounded)
47.1%
Max Drawdown
482
Num Trades
57.5%
Win Trades
1.3 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                      +22.8%+8.6%+33.4%
2016+0.9%+0.4%+19.4%+10.7%+0.9%+12.8%+2.1%+4.8%(6%)+7.1%+15.5%(7.1%)+76.2%
2017(5.4%)+1.7%(5.3%)(5.2%)(2.2%)(7.8%)(4.4%)(12.5%)+7.5%+3.2%            (27.8%)

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.

Trading Record

This strategy has placed 1,569 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/17/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 109.28 10/17 15:41 109.40 0.81%
Trade id #114315659
Max drawdown($203)
Time10/17/17 12:47
Quant open220
Worst price108.35
Drawdown as % of equity-0.81%
$23
Includes Typical Broker Commissions trade costs of $4.00
10/16/17 9:37 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 109.21 10/16 15:45 109.48 0.96%
Trade id #114295544
Max drawdown($241)
Time10/16/17 10:44
Quant open220
Worst price108.11
Drawdown as % of equity-0.96%
$55
Includes Typical Broker Commissions trade costs of $4.00
10/13/17 9:43 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 107.36 10/13 15:48 107.92 0.09%
Trade id #114239765
Max drawdown($22)
Time10/13/17 9:46
Quant open110
Worst price106.95
Drawdown as % of equity-0.09%
$118
Includes Typical Broker Commissions trade costs of $4.00
10/12/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 104.90 10/12 15:45 106.27 0.72%
Trade id #114177483
Max drawdown($176)
Time10/12/17 9:47
Quant open220
Worst price104.10
Drawdown as % of equity-0.72%
$297
Includes Typical Broker Commissions trade costs of $4.00
10/10/17 9:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 102.26 10/10 15:45 103.18 1.36%
Trade id #114130088
Max drawdown($330)
Time10/10/17 12:23
Quant open220
Worst price100.76
Drawdown as % of equity-1.36%
$197
Includes Typical Broker Commissions trade costs of $4.00
10/9/17 9:39 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 103.02 10/9 15:45 100.20 2.91%
Trade id #114109209
Max drawdown($729)
Time10/9/17 15:15
Quant open220
Worst price99.71
Drawdown as % of equity-2.91%
($624)
Includes Typical Broker Commissions trade costs of $4.00
10/6/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 102.47 10/6 15:45 102.47 1.93%
Trade id #114063058
Max drawdown($484)
Time10/6/17 12:13
Quant open220
Worst price100.27
Drawdown as % of equity-1.93%
($2)
Includes Typical Broker Commissions trade costs of $4.00
10/5/17 10:00 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 100.96 10/5 15:45 102.93 0.07%
Trade id #114038127
Max drawdown($17)
Time10/5/17 10:05
Quant open220
Worst price100.89
Drawdown as % of equity-0.07%
$428
Includes Typical Broker Commissions trade costs of $4.00
10/5/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 110 100.37 10/5 10:00 100.97 0.05%
Trade id #114036683
Max drawdown($12)
Time10/5/17 9:47
Quant open110
Worst price100.26
Drawdown as % of equity-0.05%
$64
Includes Typical Broker Commissions trade costs of $2.00
10/4/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 220 99.47 10/4 15:45 99.77 0.5%
Trade id #114010059
Max drawdown($122)
Time10/4/17 13:53
Quant open220
Worst price98.91
Drawdown as % of equity-0.50%
$61
Includes Typical Broker Commissions trade costs of $4.00
10/3/17 9:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 100.17 10/3 15:48 99.59 0.78%
Trade id #113991174
Max drawdown($191)
Time10/3/17 11:14
Quant open250
Worst price99.40
Drawdown as % of equity-0.78%
($149)
Includes Typical Broker Commissions trade costs of $4.00
10/2/17 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 98.41 10/2 15:45 99.64 0.12%
Trade id #113970033
Max drawdown($28)
Time10/2/17 9:38
Quant open250
Worst price98.29
Drawdown as % of equity-0.12%
$306
Includes Typical Broker Commissions trade costs of $4.00
9/29/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 96.02 9/29 15:45 97.52 0.8%
Trade id #113932484
Max drawdown($191)
Time9/29/17 9:53
Quant open250
Worst price95.25
Drawdown as % of equity-0.80%
$372
Includes Typical Broker Commissions trade costs of $4.00
9/28/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 94.12 9/28 15:45 95.66 0.13%
Trade id #113909878
Max drawdown($30)
Time9/28/17 9:39
Quant open250
Worst price94.00
Drawdown as % of equity-0.13%
$379
Includes Typical Broker Commissions trade costs of $4.00
9/27/17 9:46 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 94.88 9/27 15:49 94.69 1.35%
Trade id #113888663
Max drawdown($320)
Time9/27/17 10:56
Quant open250
Worst price93.60
Drawdown as % of equity-1.35%
($52)
Includes Typical Broker Commissions trade costs of $4.00
9/26/17 9:45 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 93.79 9/26 15:45 94.01 1.49%
Trade id #113862675
Max drawdown($351)
Time9/26/17 11:28
Quant open250
Worst price92.38
Drawdown as % of equity-1.49%
$51
Includes Typical Broker Commissions trade costs of $4.00
9/25/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 92.76 9/25 15:45 92.02 2.9%
Trade id #113836247
Max drawdown($680)
Time9/25/17 12:22
Quant open250
Worst price90.04
Drawdown as % of equity-2.90%
($190)
Includes Typical Broker Commissions trade costs of $4.00
9/22/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 92.22 9/22 15:45 93.33 1.11%
Trade id #113809060
Max drawdown($261)
Time9/22/17 9:47
Quant open250
Worst price91.18
Drawdown as % of equity-1.11%
$271
Includes Typical Broker Commissions trade costs of $4.00
9/21/17 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 93.74 9/21 15:45 93.49 1.49%
Trade id #113783998
Max drawdown($350)
Time9/21/17 9:57
Quant open250
Worst price92.34
Drawdown as % of equity-1.49%
($66)
Includes Typical Broker Commissions trade costs of $4.00
9/20/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 93.71 9/20 15:45 93.42 1.98%
Trade id #113761856
Max drawdown($466)
Time9/20/17 14:25
Quant open125
Worst price89.98
Drawdown as % of equity-1.98%
($76)
Includes Typical Broker Commissions trade costs of $4.00
9/19/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 93.42 9/19 15:45 93.46 1.16%
Trade id #113741741
Max drawdown($275)
Time9/19/17 13:02
Quant open250
Worst price92.32
Drawdown as % of equity-1.16%
$6
Includes Typical Broker Commissions trade costs of $4.00
9/18/17 9:34 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 91.43 9/18 15:45 93.80 0.05%
Trade id #113721424
Max drawdown($12)
Time9/18/17 9:38
Quant open125
Worst price91.16
Drawdown as % of equity-0.05%
$589
Includes Typical Broker Commissions trade costs of $4.00
9/15/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 88.62 9/15 15:45 89.52 0.07%
Trade id #113699420
Max drawdown($16)
Time9/15/17 9:42
Quant open250
Worst price88.55
Drawdown as % of equity-0.07%
$222
Includes Typical Broker Commissions trade costs of $4.00
9/14/17 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 88.62 9/14 15:45 88.73 0.66%
Trade id #113679450
Max drawdown($150)
Time9/14/17 9:40
Quant open250
Worst price88.02
Drawdown as % of equity-0.66%
$24
Includes Typical Broker Commissions trade costs of $4.00
9/13/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 86.73 9/13 15:45 89.21 0.03%
Trade id #113657598
Max drawdown($7)
Time9/13/17 9:33
Quant open125
Worst price86.56
Drawdown as % of equity-0.03%
$615
Includes Typical Broker Commissions trade costs of $4.00
9/12/17 10:06 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 85.80 9/12 15:45 85.97 1.03%
Trade id #113643154
Max drawdown($227)
Time9/12/17 10:58
Quant open250
Worst price84.89
Drawdown as % of equity-1.03%
$38
Includes Typical Broker Commissions trade costs of $4.00
9/8/17 9:32 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 80.72 9/8 15:45 79.87 1.57%
Trade id #113598619
Max drawdown($347)
Time9/8/17 13:48
Quant open250
Worst price79.33
Drawdown as % of equity-1.57%
($215)
Includes Typical Broker Commissions trade costs of $4.00
9/7/17 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 250 81.40 9/7 15:45 81.68 1.27%
Trade id #113576078
Max drawdown($282)
Time9/7/17 11:21
Quant open250
Worst price80.27
Drawdown as % of equity-1.27%
$65
Includes Typical Broker Commissions trade costs of $4.00
9/6/17 10:48 XIV VELOCITYSHARES DAILY INVERSE V LONG 375 80.34 9/6 15:45 81.02 0.92%
Trade id #113560374
Max drawdown($202)
Time9/6/17 11:14
Quant open250
Worst price79.53
Drawdown as % of equity-0.92%
$249
Includes Typical Broker Commissions trade costs of $6.00
9/5/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 375 81.66 9/5 15:45 79.34 4.95%
Trade id #113535157
Max drawdown($1,097)
Time9/5/17 12:53
Quant open250
Worst price77.27
Drawdown as % of equity-4.95%
($876)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    11/17/2015
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    700.64
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    482
  • # Profitable
    277
  • % Profitable
    57.50%
  • Avg trade duration
    5.6 hours
  • Max peak-to-valley drawdown
    47.11%
  • drawdown period
    Dec 07, 2016 - Sept 05, 2017
  • Annual Return (Compounded)
    29.0%
  • Avg win
    $237.37
  • Avg loss
    $246.30
  • Model Account Values (Raw)
  • Cash
    $25,257
  • Margin Used
    $0
  • Buying Power
    $25,257
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    2.282
  • Sortino Ratio
    3.867
  • Calmar Ratio
    2.105
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.04700
  • Return Statistics
  • Ann Return (w trading costs)
    29.0%
  • Ann Return (Compnd, No Fees)
    61.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.50%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    888
  • Popularity (Last 6 weeks)
    968
  • C2 Score
    28.2
  • 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
    $246
  • Avg Win
    $237
  • # Winners
    277
  • # Losers
    205
  • % Winners
    57.5%
  • Frequency
  • Avg Position Time (mins)
    335.12
  • Avg Position Time (hrs)
    5.58
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45857
  • SD
    0.31524
  • Sharpe ratio (Glass type estimate)
    1.45466
  • Sharpe ratio (Hedges UMVUE)
    1.40198
  • df
    21.00000
  • t
    1.96962
  • p
    0.25531
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91032
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.96485
  • Upside Potential Ratio
    5.44899
  • Upside part of mean
    0.63022
  • Downside part of mean
    -0.17165
  • Upside SD
    0.31465
  • Downside SD
    0.11566
  • N nonnegative terms
    14.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.08310
  • Mean of criterion
    0.45857
  • SD of predictor
    0.08130
  • SD of criterion
    0.31524
  • Covariance
    0.00154
  • r
    0.06013
  • b (slope, estimate of beta)
    0.23315
  • a (intercept, estimate of alpha)
    0.43919
  • Mean Square Error
    0.10397
  • DF error
    20.00000
  • t(b)
    0.26938
  • p(b)
    0.46994
  • t(a)
    1.76551
  • p(a)
    0.31640
  • Lowerbound of 95% confidence interval for beta
    -1.57228
  • Upperbound of 95% confidence interval for beta
    2.03858
  • Lowerbound of 95% confidence interval for alpha
    -0.07972
  • Upperbound of 95% confidence interval for alpha
    0.95810
  • Treynor index (mean / b)
    1.96681
  • Jensen alpha (a)
    0.43919
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40679
  • SD
    0.29486
  • Sharpe ratio (Glass type estimate)
    1.37959
  • Sharpe ratio (Hedges UMVUE)
    1.32962
  • df
    21.00000
  • t
    1.86797
  • p
    0.26553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83196
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35248
  • Upside Potential Ratio
    4.82250
  • Upside part of mean
    0.58516
  • Downside part of mean
    -0.17837
  • Upside SD
    0.28646
  • Downside SD
    0.12134
  • N nonnegative terms
    14.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.07949
  • Mean of criterion
    0.40679
  • SD of predictor
    0.08117
  • SD of criterion
    0.29486
  • Covariance
    0.00153
  • r
    0.06409
  • b (slope, estimate of beta)
    0.23280
  • a (intercept, estimate of alpha)
    0.38828
  • Mean Square Error
    0.09092
  • DF error
    20.00000
  • t(b)
    0.28720
  • p(b)
    0.46796
  • t(a)
    1.67490
  • p(a)
    0.32464
  • Lowerbound of 95% confidence interval for beta
    -1.45806
  • Upperbound of 95% confidence interval for beta
    1.92365
  • Lowerbound of 95% confidence interval for alpha
    -0.09530
  • Upperbound of 95% confidence interval for alpha
    0.87186
  • Treynor index (mean / b)
    1.74738
  • Jensen alpha (a)
    0.38828
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10067
  • Expected Shortfall on VaR
    0.13167
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02617
  • Expected Shortfall on VaR
    0.05703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.88288
  • Quartile 1
    0.99576
  • Median
    1.03038
  • Quartile 3
    1.06347
  • Maximum
    1.26934
  • Mean of quarter 1
    0.95167
  • Mean of quarter 2
    1.00673
  • Mean of quarter 3
    1.04038
  • Mean of quarter 4
    1.15772
  • Inter Quartile Range
    0.06771
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04545
  • Mean of outliers low
    0.88288
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    1.21633
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.24841
  • VaR(95%) (moments method)
    0.01954
  • Expected Shortfall (moments method)
    0.02104
  • Extreme Value Index (regression method)
    -0.19885
  • VaR(95%) (regression method)
    0.07830
  • Expected Shortfall (regression method)
    0.10986
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00402
  • Quartile 1
    0.06094
  • Median
    0.11786
  • Quartile 3
    0.17478
  • Maximum
    0.23170
  • Mean of quarter 1
    0.00402
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23170
  • Inter Quartile Range
    0.11384
  • 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)
    0.66477
  • Compounded annual return (geometric extrapolation)
    0.54449
  • Calmar ratio (compounded annual return / max draw down)
    2.34995
  • Compounded annual return / average of 25% largest draw downs
    2.34995
  • Compounded annual return / Expected Shortfall lognormal
    4.13522
  • 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
    0.44756
  • SD
    0.19582
  • Sharpe ratio (Glass type estimate)
    2.28562
  • Sharpe ratio (Hedges UMVUE)
    2.28216
  • df
    496.00000
  • t
    3.14798
  • p
    0.00087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71467
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85204
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71228
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.86679
  • Upside Potential Ratio
    11.42900
  • Upside part of mean
    1.32284
  • Downside part of mean
    -0.87528
  • Upside SD
    0.16011
  • Downside SD
    0.11575
  • N nonnegative terms
    273.00000
  • N negative terms
    224.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    497.00000
  • Mean of predictor
    0.09526
  • Mean of criterion
    0.44756
  • SD of predictor
    0.11199
  • SD of criterion
    0.19582
  • Covariance
    0.00113
  • r
    0.05138
  • b (slope, estimate of beta)
    0.08985
  • a (intercept, estimate of alpha)
    0.43900
  • Mean Square Error
    0.03832
  • DF error
    495.00000
  • t(b)
    1.14470
  • p(b)
    0.12644
  • t(a)
    3.08448
  • p(a)
    0.00108
  • Lowerbound of 95% confidence interval for beta
    -0.06437
  • Upperbound of 95% confidence interval for beta
    0.24406
  • Lowerbound of 95% confidence interval for alpha
    0.15936
  • Upperbound of 95% confidence interval for alpha
    0.71864
  • Treynor index (mean / b)
    4.98140
  • Jensen alpha (a)
    0.43900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42815
  • SD
    0.19482
  • Sharpe ratio (Glass type estimate)
    2.19767
  • Sharpe ratio (Hedges UMVUE)
    2.19435
  • df
    496.00000
  • t
    3.02685
  • p
    0.00130
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62394
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.66010
  • Upside Potential Ratio
    11.19980
  • Upside part of mean
    1.31013
  • Downside part of mean
    -0.88198
  • Upside SD
    0.15778
  • Downside SD
    0.11698
  • N nonnegative terms
    273.00000
  • N negative terms
    224.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    497.00000
  • Mean of predictor
    0.08897
  • Mean of criterion
    0.42815
  • SD of predictor
    0.11211
  • SD of criterion
    0.19482
  • Covariance
    0.00112
  • r
    0.05121
  • b (slope, estimate of beta)
    0.08899
  • a (intercept, estimate of alpha)
    0.42023
  • Mean Square Error
    0.03793
  • DF error
    495.00000
  • t(b)
    1.14089
  • p(b)
    0.12723
  • t(a)
    2.96821
  • p(a)
    0.00157
  • Lowerbound of 95% confidence interval for beta
    -0.06427
  • Upperbound of 95% confidence interval for beta
    0.24225
  • Lowerbound of 95% confidence interval for alpha
    0.14206
  • Upperbound of 95% confidence interval for alpha
    0.69840
  • Treynor index (mean / b)
    4.81099
  • Jensen alpha (a)
    0.42023
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01800
  • Expected Shortfall on VaR
    0.02292
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00717
  • Expected Shortfall on VaR
    0.01455
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    497.00000
  • Minimum
    0.95518
  • Quartile 1
    0.99571
  • Median
    1.00093
  • Quartile 3
    1.00693
  • Maximum
    1.06955
  • Mean of quarter 1
    0.98797
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.00362
  • Mean of quarter 4
    1.01675
  • Inter Quartile Range
    0.01122
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.02817
  • Mean of outliers low
    0.97254
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.04628
  • Mean of outliers high
    1.03347
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12869
  • VaR(95%) (moments method)
    0.01101
  • Expected Shortfall (moments method)
    0.01632
  • Extreme Value Index (regression method)
    0.03441
  • VaR(95%) (regression method)
    0.01097
  • Expected Shortfall (regression method)
    0.01539
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00656
  • Median
    0.01831
  • Quartile 3
    0.04363
  • Maximum
    0.27451
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.01114
  • Mean of quarter 3
    0.03400
  • Mean of quarter 4
    0.10976
  • Inter Quartile Range
    0.03707
  • 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
    0.08696
  • Mean of outliers high
    0.19103
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.10738
  • VaR(95%) (moments method)
    0.10185
  • Expected Shortfall (moments method)
    0.13484
  • Extreme Value Index (regression method)
    0.40610
  • VaR(95%) (regression method)
    0.13881
  • Expected Shortfall (regression method)
    0.27435
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72500
  • Compounded annual return (geometric extrapolation)
    0.57784
  • Calmar ratio (compounded annual return / max draw down)
    2.10500
  • Compounded annual return / average of 25% largest draw downs
    5.26442
  • Compounded annual return / Expected Shortfall lognormal
    25.21560
  • 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
    -0.19110
  • SD
    0.15253
  • Sharpe ratio (Glass type estimate)
    -1.25289
  • Sharpe ratio (Hedges UMVUE)
    -1.24565
  • df
    130.00000
  • t
    -0.88593
  • p
    0.53873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.02659
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.02159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53029
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.55784
  • Upside Potential Ratio
    6.38413
  • Upside part of mean
    0.78314
  • Downside part of mean
    -0.97424
  • Upside SD
    0.09043
  • Downside SD
    0.12267
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15196
  • Mean of criterion
    -0.19110
  • SD of predictor
    0.07041
  • SD of criterion
    0.15253
  • Covariance
    0.00101
  • r
    0.09398
  • b (slope, estimate of beta)
    0.20358
  • a (intercept, estimate of alpha)
    -0.22204
  • Mean Square Error
    0.02324
  • DF error
    129.00000
  • t(b)
    1.07209
  • p(b)
    0.44026
  • t(a)
    -1.02084
  • p(a)
    0.55691
  • Lowerbound of 95% confidence interval for beta
    -0.17213
  • Upperbound of 95% confidence interval for beta
    0.57929
  • Lowerbound of 95% confidence interval for alpha
    -0.65238
  • Upperbound of 95% confidence interval for alpha
    0.20830
  • Treynor index (mean / b)
    -0.93868
  • Jensen alpha (a)
    -0.22204
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20276
  • SD
    0.15315
  • Sharpe ratio (Glass type estimate)
    -1.32397
  • Sharpe ratio (Hedges UMVUE)
    -1.31632
  • df
    130.00000
  • t
    -0.93619
  • p
    0.54092
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.09791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.09274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46010
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63603
  • Upside Potential Ratio
    6.28566
  • Upside part of mean
    0.77901
  • Downside part of mean
    -0.98177
  • Upside SD
    0.08984
  • Downside SD
    0.12393
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14944
  • Mean of criterion
    -0.20276
  • SD of predictor
    0.07052
  • SD of criterion
    0.15315
  • Covariance
    0.00101
  • r
    0.09314
  • b (slope, estimate of beta)
    0.20227
  • a (intercept, estimate of alpha)
    -0.23299
  • Mean Square Error
    0.02343
  • DF error
    129.00000
  • t(b)
    1.06251
  • p(b)
    0.44079
  • t(a)
    -1.06710
  • p(a)
    0.55946
  • Lowerbound of 95% confidence interval for beta
    -0.17438
  • Upperbound of 95% confidence interval for beta
    0.57891
  • Lowerbound of 95% confidence interval for alpha
    -0.66497
  • Upperbound of 95% confidence interval for alpha
    0.19899
  • Treynor index (mean / b)
    -1.00244
  • Jensen alpha (a)
    -0.23299
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01620
  • Expected Shortfall on VaR
    0.02008
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00877
  • Expected Shortfall on VaR
    0.01704
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96955
  • Quartile 1
    0.99574
  • Median
    1.00000
  • Quartile 3
    1.00475
  • Maximum
    1.01997
  • Mean of quarter 1
    0.98721
  • Mean of quarter 2
    0.99825
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.01025
  • Inter Quartile Range
    0.00901
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97725
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01955
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17353
  • VaR(95%) (moments method)
    0.01174
  • Expected Shortfall (moments method)
    0.01820
  • Extreme Value Index (regression method)
    -0.10647
  • VaR(95%) (regression method)
    0.01293
  • Expected Shortfall (regression method)
    0.01735
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.19611
  • Quartile 1
    0.19611
  • Median
    0.19611
  • Quartile 3
    0.19611
  • Maximum
    0.19611
  • 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)
    -0.16743
  • Compounded annual return (geometric extrapolation)
    -0.16042
  • Calmar ratio (compounded annual return / max draw down)
    -0.81801
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -7.98924

Strategy Description

Broker Account Type: Stock/ETF
Minimum Account Size: $25,000
System Trades: ETF's - XIV & VXX
Learn More: www.AlgoTrades.net

VIX-ALGO-ETFS has become a popular asset class amongst sophisticated investors. The volatility index can play many roles and provide multiple opportunities within your portfolio. The VIX can generated large returns, can hedge risk, and acts as a diversification tool.

This system can be autotraded in your brokerage account or have the trades sent to your via email & SMS text alerts.

VIX-ALGO-ETFS system provides access to a professional volatility day trader and strategy. Despite the sophistication of the underlying system, it has been designed to be incredibly simple for the end user. It achieves this by using exchange-traded products such as VXX and XIV (inverse VIX), so that the user does not need access to the futures market. Moreover, the use of long XIV positions allows the strategy to “short” volatility without actually having to borrow stock with a margin account reducing confusion and risk for users of the system.

Using these products, the strategy switches between “risk-on” (VXX) and “risk-off” (XIV) according to a variety of metrics and indicators. The biggest advantage is the ability of this flexible strategy to buy volatility (long VXX) at times of market stress, downturns and crashes. This means the system can be profitable when many other successful “long-only” stock strategies will be suffering losses.

The trading system is a discretionary/semi-automated strategy. The final judgement is made by the professional trader, and includes a range of technical, fundamental, economic and news factors before positions are taken. Each position size will vary according to market conditions.

This system works with any account size. The results shows are based on a $25K account. When setting up autotrading you can adjust the “Scale %” Feature to adjust the system to work with your available account funds.

Example: if you have $50,000 for trading you would sent the Scale % to 200% trading twice of what the system trades. If you only have say $12,500 available for trading you would set the Scaling to 50% trading half of the VIX TRADER system.

Summary Statistics

Strategy began
2015-11-17
Minimum Capital Required
$25,000
# Trades
482
# Profitable
277
% Profitable
57.5%
Correlation S&P500
0.047
Sharpe Ratio
2.282

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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