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Quantite Volatilita
(110764301)

Created by: Quantite Quantite
Started: 04/2017
Stocks
Last trade: 3 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 $75.00 per month.

25.0%
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.

(14.9%)
Max Drawdown
100
Num Trades
45.0%
Win Trades
1.4 : 1
Profit Factor
63.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                     +2.5%+15.5%+1.4%(0.7%)(1.9%)+2.2%+0.9%+2.1%+3.6%+27.6%
2018+0.9%+7.4%(0.8%)(2.8%)(0.7%)(1.3%)+2.0%+6.4%+5.1%(5.1%)            +10.7%

Model Account Details

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

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

Trading Record

This strategy has placed 26 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/17/18 10:40 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 645 33.82 10/18 11:49 34.73 1.52%
Trade id #120402113
Max drawdown($587)
Time10/18/18 11:49
Quant open0
Worst price34.73
Drawdown as % of equity-1.52%
($592)
Includes Typical Broker Commissions trade costs of $5.00
10/8/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 825 29.15 10/8 11:37 29.93 1.69%
Trade id #120229626
Max drawdown($644)
Time10/8/18 11:37
Quant open0
Worst price29.93
Drawdown as % of equity-1.69%
($649)
Includes Typical Broker Commissions trade costs of $5.00
10/5/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 852 27.49 10/5 11:02 28.26 1.68%
Trade id #120203589
Max drawdown($656)
Time10/5/18 11:02
Quant open0
Worst price28.26
Drawdown as % of equity-1.68%
($661)
Includes Typical Broker Commissions trade costs of $5.00
9/24/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 883 26.85 10/4 9:30 26.66 1.39%
Trade id #119999575
Max drawdown($547)
Time9/26/18 16:03
Quant open-883
Worst price27.47
Drawdown as % of equity-1.39%
$163
Includes Typical Broker Commissions trade costs of $5.00
9/18/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 818 27.80 9/21 9:36 26.77 0.73%
Trade id #119905798
Max drawdown($278)
Time9/18/18 16:02
Quant open-818
Worst price28.14
Drawdown as % of equity-0.73%
$836
Includes Typical Broker Commissions trade costs of $5.03
8/31/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,399 29.50 9/17 10:07 28.91 1.36%
Trade id #119678592
Max drawdown($509)
Time9/7/18 9:39
Quant open-426
Worst price31.36
Drawdown as % of equity-1.36%
$1,388
Includes Typical Broker Commissions trade costs of $27.18
8/22/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 741 29.49 8/30 9:30 28.95 0.1%
Trade id #119547452
Max drawdown($37)
Time8/22/18 9:54
Quant open-741
Worst price29.54
Drawdown as % of equity-0.10%
$395
Includes Typical Broker Commissions trade costs of $5.00
8/17/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 704 30.58 8/21 14:03 29.04 0.71%
Trade id #119485139
Max drawdown($253)
Time8/17/18 10:27
Quant open-704
Worst price30.94
Drawdown as % of equity-0.71%
$1,079
Includes Typical Broker Commissions trade costs of $5.00
8/10/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 758 29.85 8/13 11:32 30.66 3.85%
Trade id #119375938
Max drawdown($1,387)
Time8/13/18 4:12
Quant open-758
Worst price31.68
Drawdown as % of equity-3.85%
($619)
Includes Typical Broker Commissions trade costs of $5.00
8/3/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 663 30.64 8/9 15:49 28.41 0.31%
Trade id #119267343
Max drawdown($106)
Time8/3/18 9:32
Quant open-663
Worst price30.80
Drawdown as % of equity-0.31%
$1,473
Includes Typical Broker Commissions trade costs of $5.00
7/31/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 643 31.50 8/2 9:30 32.36 2.54%
Trade id #119201190
Max drawdown($900)
Time8/2/18 6:49
Quant open-643
Worst price32.90
Drawdown as % of equity-2.54%
($558)
Includes Typical Broker Commissions trade costs of $5.00
7/30/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 674 31.12 7/30 12:08 32.00 1.67%
Trade id #119181553
Max drawdown($593)
Time7/30/18 12:08
Quant open0
Worst price32.00
Drawdown as % of equity-1.67%
($598)
Includes Typical Broker Commissions trade costs of $5.00
7/26/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 706 30.54 7/27 12:36 31.38 1.63%
Trade id #119133704
Max drawdown($593)
Time7/27/18 12:36
Quant open0
Worst price31.38
Drawdown as % of equity-1.63%
($598)
Includes Typical Broker Commissions trade costs of $5.00
7/17/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 387 31.80 7/19 9:30 31.20 n/a $224
Includes Typical Broker Commissions trade costs of $7.74
7/2/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 316 38.78 7/11 9:30 33.36 0.4%
Trade id #118740673
Max drawdown($139)
Time7/2/18 9:32
Quant open-316
Worst price39.22
Drawdown as % of equity-0.40%
$1,707
Includes Typical Broker Commissions trade costs of $6.32
6/25/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 618 34.27 6/25 9:39 35.17 1.59%
Trade id #118621083
Max drawdown($556)
Time6/25/18 9:39
Quant open0
Worst price35.17
Drawdown as % of equity-1.59%
($561)
Includes Typical Broker Commissions trade costs of $5.00
6/20/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 633 32.11 6/21 10:05 33.04 1.64%
Trade id #118532915
Max drawdown($586)
Time6/21/18 10:05
Quant open0
Worst price33.04
Drawdown as % of equity-1.64%
($591)
Includes Typical Broker Commissions trade costs of $5.00
6/18/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 665 32.55 6/19 9:30 33.34 3.29%
Trade id #118478854
Max drawdown($1,216)
Time6/19/18 4:42
Quant open-665
Worst price34.38
Drawdown as % of equity-3.29%
($530)
Includes Typical Broker Commissions trade costs of $5.00
6/13/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 670 31.59 6/15 10:38 32.52 2.01%
Trade id #118408249
Max drawdown($728)
Time6/14/18 4:16
Quant open-670
Worst price32.68
Drawdown as % of equity-2.01%
($627)
Includes Typical Broker Commissions trade costs of $5.00
6/6/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 626 33.26 6/12 9:58 32.20 1.79%
Trade id #118286912
Max drawdown($650)
Time6/8/18 5:55
Quant open-626
Worst price34.30
Drawdown as % of equity-1.79%
$662
Includes Typical Broker Commissions trade costs of $5.00
5/30/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 521 37.40 6/5 11:48 34.33 0.82%
Trade id #118165367
Max drawdown($285)
Time5/31/18 10:51
Quant open-521
Worst price37.95
Drawdown as % of equity-0.82%
$1,596
Includes Typical Broker Commissions trade costs of $5.00
5/25/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 610 34.30 5/29 9:30 35.88 5.47%
Trade id #118112856
Max drawdown($1,939)
Time5/29/18 4:34
Quant open-610
Worst price37.48
Drawdown as % of equity-5.47%
($967)
Includes Typical Broker Commissions trade costs of $5.00
5/24/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 617 34.15 5/24 10:32 35.18 1.76%
Trade id #118089494
Max drawdown($633)
Time5/24/18 10:32
Quant open0
Worst price35.18
Drawdown as % of equity-1.76%
($638)
Includes Typical Broker Commissions trade costs of $5.00
5/21/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 610 34.00 5/23 9:30 35.70 3.59%
Trade id #118017503
Max drawdown($1,317)
Time5/23/18 4:27
Quant open-610
Worst price36.16
Drawdown as % of equity-3.59%
($1,041)
Includes Typical Broker Commissions trade costs of $5.00
5/16/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 568 36.55 5/18 9:30 35.28 n/a $717
Includes Typical Broker Commissions trade costs of $5.00
5/14/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 600 35.44 5/15 9:40 36.49 1.69%
Trade id #117915856
Max drawdown($631)
Time5/15/18 9:40
Quant open0
Worst price36.49
Drawdown as % of equity-1.69%
($636)
Includes Typical Broker Commissions trade costs of $5.00
5/8/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 512 40.26 5/11 12:25 36.81 0.54%
Trade id #117835877
Max drawdown($189)
Time5/8/18 14:14
Quant open-512
Worst price40.63
Drawdown as % of equity-0.54%
$1,762
Includes Typical Broker Commissions trade costs of $5.00
5/4/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 480 41.99 5/7 15:20 40.23 0.58%
Trade id #117794854
Max drawdown($199)
Time5/4/18 9:34
Quant open-480
Worst price42.41
Drawdown as % of equity-0.58%
$837
Includes Typical Broker Commissions trade costs of $9.60
5/1/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 404 41.91 5/3 10:30 43.14 1.41%
Trade id #117734207
Max drawdown($499)
Time5/3/18 10:30
Quant open0
Worst price43.14
Drawdown as % of equity-1.41%
($507)
Includes Typical Broker Commissions trade costs of $8.08
4/26/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 370 43.38 4/30 12:15 41.66 0.61%
Trade id #117673052
Max drawdown($208)
Time4/26/18 9:37
Quant open-370
Worst price43.94
Drawdown as % of equity-0.61%
$628
Includes Typical Broker Commissions trade costs of $7.40

Statistics

  • Strategy began
    4/6/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    562.86
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    100
  • # Profitable
    45
  • % Profitable
    45.00%
  • Avg trade duration
    3.4 days
  • Max peak-to-valley drawdown
    14.87%
  • drawdown period
    March 09, 2018 - July 02, 2018
  • Annual Return (Compounded)
    25.0%
  • Avg win
    $985.80
  • Avg loss
    $578.98
  • Model Account Values (Raw)
  • Cash
    $37,517
  • Margin Used
    $0
  • Buying Power
    $37,517
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    1.356
  • Sortino Ratio
    2.237
  • Calmar Ratio
    2.383
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31800
  • Return Statistics
  • Ann Return (w trading costs)
    25.0%
  • Ann Return (Compnd, No Fees)
    30.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.00%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    854
  • C2 Score
    95.6
  • 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
    $579
  • Avg Win
    $986
  • # Winners
    45
  • # Losers
    55
  • % Winners
    45.0%
  • Frequency
  • Avg Position Time (mins)
    4853.28
  • Avg Position Time (hrs)
    80.89
  • Avg Trade Length
    3.4 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27449
  • SD
    0.20139
  • Sharpe ratio (Glass type estimate)
    1.36301
  • Sharpe ratio (Hedges UMVUE)
    1.30183
  • df
    17.00000
  • t
    1.66934
  • p
    0.26682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96088
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53983
  • Upside Potential Ratio
    4.09040
  • Upside part of mean
    0.44207
  • Downside part of mean
    -0.16758
  • Upside SD
    0.18139
  • Downside SD
    0.10808
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.07681
  • Mean of criterion
    0.27449
  • SD of predictor
    0.12100
  • SD of criterion
    0.20139
  • Covariance
    0.01230
  • r
    0.50493
  • b (slope, estimate of beta)
    0.84041
  • a (intercept, estimate of alpha)
    0.20994
  • Mean Square Error
    0.03211
  • DF error
    16.00000
  • t(b)
    2.33992
  • p(b)
    0.24754
  • t(a)
    1.41014
  • p(a)
    0.33376
  • Lowerbound of 95% confidence interval for beta
    0.07902
  • Upperbound of 95% confidence interval for beta
    1.60179
  • Lowerbound of 95% confidence interval for alpha
    -0.10567
  • Upperbound of 95% confidence interval for alpha
    0.52554
  • Treynor index (mean / b)
    0.32662
  • Jensen alpha (a)
    0.20994
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25211
  • SD
    0.20008
  • Sharpe ratio (Glass type estimate)
    1.26001
  • Sharpe ratio (Hedges UMVUE)
    1.20345
  • df
    17.00000
  • t
    1.54319
  • p
    0.28150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85409
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23354
  • Upside Potential Ratio
    3.76948
  • Upside part of mean
    0.42547
  • Downside part of mean
    -0.17337
  • Upside SD
    0.17426
  • Downside SD
    0.11287
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.06950
  • Mean of criterion
    0.25211
  • SD of predictor
    0.12128
  • SD of criterion
    0.20008
  • Covariance
    0.01216
  • r
    0.50110
  • b (slope, estimate of beta)
    0.82668
  • a (intercept, estimate of alpha)
    0.19465
  • Mean Square Error
    0.03185
  • DF error
    16.00000
  • t(b)
    2.31619
  • p(b)
    0.24945
  • t(a)
    1.31681
  • p(a)
    0.34365
  • Lowerbound of 95% confidence interval for beta
    0.07006
  • Upperbound of 95% confidence interval for beta
    1.58330
  • Lowerbound of 95% confidence interval for alpha
    -0.11872
  • Upperbound of 95% confidence interval for alpha
    0.50802
  • Treynor index (mean / b)
    0.30496
  • Jensen alpha (a)
    0.19465
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07132
  • Expected Shortfall on VaR
    0.09326
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02696
  • Expected Shortfall on VaR
    0.05708
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.89665
  • Quartile 1
    0.99177
  • Median
    1.02959
  • Quartile 3
    1.07675
  • Maximum
    1.09652
  • Mean of quarter 1
    0.95449
  • Mean of quarter 2
    1.00240
  • Mean of quarter 3
    1.05987
  • Mean of quarter 4
    1.08643
  • Inter Quartile Range
    0.08498
  • 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)
    -0.41877
  • VaR(95%) (moments method)
    0.03211
  • Expected Shortfall (moments method)
    0.03985
  • Extreme Value Index (regression method)
    0.14071
  • VaR(95%) (regression method)
    0.08141
  • Expected Shortfall (regression method)
    0.13802
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00483
  • Quartile 1
    0.02675
  • Median
    0.04929
  • Quartile 3
    0.07423
  • Maximum
    0.10336
  • Mean of quarter 1
    0.00483
  • Mean of quarter 2
    0.03406
  • Mean of quarter 3
    0.06452
  • Mean of quarter 4
    0.10336
  • Inter Quartile Range
    0.04748
  • 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)
    0.34799
  • Compounded annual return (geometric extrapolation)
    0.32315
  • Calmar ratio (compounded annual return / max draw down)
    3.12659
  • Compounded annual return / average of 25% largest draw downs
    3.12659
  • Compounded annual return / Expected Shortfall lognormal
    3.46489
  • 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
    0.25532
  • SD
    0.18795
  • Sharpe ratio (Glass type estimate)
    1.35841
  • Sharpe ratio (Hedges UMVUE)
    1.35585
  • df
    398.00000
  • t
    1.67636
  • p
    0.04723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94865
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94687
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23729
  • Upside Potential Ratio
    10.00420
  • Upside part of mean
    1.14167
  • Downside part of mean
    -0.88635
  • Upside SD
    0.14988
  • Downside SD
    0.11412
  • N nonnegative terms
    194.00000
  • N negative terms
    205.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    399.00000
  • Mean of predictor
    0.08424
  • Mean of criterion
    0.25532
  • SD of predictor
    0.11619
  • SD of criterion
    0.18795
  • Covariance
    0.00731
  • r
    0.33461
  • b (slope, estimate of beta)
    0.54128
  • a (intercept, estimate of alpha)
    0.21000
  • Mean Square Error
    0.03145
  • DF error
    397.00000
  • t(b)
    7.07491
  • p(b)
    -0.00000
  • t(a)
    1.45790
  • p(a)
    0.07283
  • Lowerbound of 95% confidence interval for beta
    0.39087
  • Upperbound of 95% confidence interval for beta
    0.69169
  • Lowerbound of 95% confidence interval for alpha
    -0.07308
  • Upperbound of 95% confidence interval for alpha
    0.49252
  • Treynor index (mean / b)
    0.47169
  • Jensen alpha (a)
    0.20972
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23770
  • SD
    0.18683
  • Sharpe ratio (Glass type estimate)
    1.27228
  • Sharpe ratio (Hedges UMVUE)
    1.26988
  • df
    398.00000
  • t
    1.57007
  • p
    0.05860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31920
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86217
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86055
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.06062
  • Upside Potential Ratio
    9.80078
  • Upside part of mean
    1.13057
  • Downside part of mean
    -0.89286
  • Upside SD
    0.14740
  • Downside SD
    0.11535
  • N nonnegative terms
    194.00000
  • N negative terms
    205.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    399.00000
  • Mean of predictor
    0.07745
  • Mean of criterion
    0.23770
  • SD of predictor
    0.11670
  • SD of criterion
    0.18683
  • Covariance
    0.00730
  • r
    0.33466
  • b (slope, estimate of beta)
    0.53579
  • a (intercept, estimate of alpha)
    0.19620
  • Mean Square Error
    0.03107
  • DF error
    397.00000
  • t(b)
    7.07599
  • p(b)
    -0.00000
  • t(a)
    1.37239
  • p(a)
    0.08536
  • Lowerbound of 95% confidence interval for beta
    0.38693
  • Upperbound of 95% confidence interval for beta
    0.68465
  • Lowerbound of 95% confidence interval for alpha
    -0.08486
  • Upperbound of 95% confidence interval for alpha
    0.47727
  • Treynor index (mean / b)
    0.44365
  • Jensen alpha (a)
    0.19620
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01792
  • Expected Shortfall on VaR
    0.02263
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00792
  • Expected Shortfall on VaR
    0.01557
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    399.00000
  • Minimum
    0.94762
  • Quartile 1
    0.99496
  • Median
    1.00000
  • Quartile 3
    1.00591
  • Maximum
    1.06876
  • Mean of quarter 1
    0.98791
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00273
  • Mean of quarter 4
    1.01489
  • Inter Quartile Range
    0.01095
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.01504
  • Mean of outliers low
    0.97029
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.03759
  • Mean of outliers high
    1.03491
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04759
  • VaR(95%) (moments method)
    0.01140
  • Expected Shortfall (moments method)
    0.01573
  • Extreme Value Index (regression method)
    -0.05287
  • VaR(95%) (regression method)
    0.01082
  • Expected Shortfall (regression method)
    0.01408
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00538
  • Median
    0.01749
  • Quartile 3
    0.04939
  • Maximum
    0.12768
  • Mean of quarter 1
    0.00215
  • Mean of quarter 2
    0.00810
  • Mean of quarter 3
    0.03609
  • Mean of quarter 4
    0.07952
  • Inter Quartile Range
    0.04401
  • 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
    0.05000
  • Mean of outliers high
    0.12768
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.09743
  • VaR(95%) (moments method)
    0.08619
  • Expected Shortfall (moments method)
    0.11691
  • Extreme Value Index (regression method)
    0.52385
  • VaR(95%) (regression method)
    0.08498
  • Expected Shortfall (regression method)
    0.15344
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32737
  • Compounded annual return (geometric extrapolation)
    0.30423
  • Calmar ratio (compounded annual return / max draw down)
    2.38272
  • Compounded annual return / average of 25% largest draw downs
    3.82586
  • Compounded annual return / Expected Shortfall lognormal
    13.44200
  • 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
    0.06904
  • SD
    0.14512
  • Sharpe ratio (Glass type estimate)
    0.47577
  • Sharpe ratio (Hedges UMVUE)
    0.47302
  • df
    130.00000
  • t
    0.33642
  • p
    0.48525
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24733
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.29938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24542
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69467
  • Upside Potential Ratio
    8.96736
  • Upside part of mean
    0.89127
  • Downside part of mean
    -0.82222
  • Upside SD
    0.10506
  • Downside SD
    0.09939
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03265
  • Mean of criterion
    0.06904
  • SD of predictor
    0.10857
  • SD of criterion
    0.14512
  • Covariance
    0.00463
  • r
    0.29389
  • b (slope, estimate of beta)
    0.39282
  • a (intercept, estimate of alpha)
    0.05622
  • Mean Square Error
    0.01939
  • DF error
    129.00000
  • t(b)
    3.49213
  • p(b)
    0.31563
  • t(a)
    0.28542
  • p(a)
    0.48401
  • Lowerbound of 95% confidence interval for beta
    0.17026
  • Upperbound of 95% confidence interval for beta
    0.61538
  • Lowerbound of 95% confidence interval for alpha
    -0.33347
  • Upperbound of 95% confidence interval for alpha
    0.44590
  • Treynor index (mean / b)
    0.17576
  • Jensen alpha (a)
    0.05622
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05859
  • SD
    0.14504
  • Sharpe ratio (Glass type estimate)
    0.40393
  • Sharpe ratio (Hedges UMVUE)
    0.40159
  • df
    130.00000
  • t
    0.28562
  • p
    0.48748
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17545
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37064
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17383
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58505
  • Upside Potential Ratio
    8.84463
  • Upside part of mean
    0.88571
  • Downside part of mean
    -0.82712
  • Upside SD
    0.10422
  • Downside SD
    0.10014
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02678
  • Mean of criterion
    0.05859
  • SD of predictor
    0.10889
  • SD of criterion
    0.14504
  • Covariance
    0.00462
  • r
    0.29227
  • b (slope, estimate of beta)
    0.38933
  • a (intercept, estimate of alpha)
    0.04816
  • Mean Square Error
    0.01939
  • DF error
    129.00000
  • t(b)
    3.47115
  • p(b)
    0.31662
  • t(a)
    0.24455
  • p(a)
    0.48630
  • Lowerbound of 95% confidence interval for beta
    0.16741
  • Upperbound of 95% confidence interval for beta
    0.61124
  • Lowerbound of 95% confidence interval for alpha
    -0.34150
  • Upperbound of 95% confidence interval for alpha
    0.43783
  • Treynor index (mean / b)
    0.15048
  • Jensen alpha (a)
    0.04816
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01441
  • Expected Shortfall on VaR
    0.01809
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00763
  • Expected Shortfall on VaR
    0.01441
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97776
  • Quartile 1
    0.99531
  • Median
    1.00000
  • Quartile 3
    1.00551
  • Maximum
    1.02752
  • Mean of quarter 1
    0.98924
  • Mean of quarter 2
    0.99853
  • Mean of quarter 3
    1.00223
  • Mean of quarter 4
    1.01153
  • Inter Quartile Range
    0.01020
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97828
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02752
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04699
  • VaR(95%) (moments method)
    0.01044
  • Expected Shortfall (moments method)
    0.01432
  • Extreme Value Index (regression method)
    -0.15669
  • VaR(95%) (regression method)
    0.01067
  • Expected Shortfall (regression method)
    0.01346
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00091
  • Quartile 1
    0.00222
  • Median
    0.00459
  • Quartile 3
    0.03997
  • Maximum
    0.07658
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00382
  • Mean of quarter 3
    0.02315
  • Mean of quarter 4
    0.06717
  • Inter Quartile Range
    0.03775
  • 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)
    -5.51080
  • VaR(95%) (moments method)
    0.06401
  • Expected Shortfall (moments method)
    0.06402
  • Extreme Value Index (regression method)
    -0.91899
  • VaR(95%) (regression method)
    0.08535
  • Expected Shortfall (regression method)
    0.09053
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08839
  • Compounded annual return (geometric extrapolation)
    0.09034
  • Calmar ratio (compounded annual return / max draw down)
    1.17967
  • Compounded annual return / average of 25% largest draw downs
    1.34492
  • Compounded annual return / Expected Shortfall lognormal
    4.99454

Strategy Description

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Summary Statistics

Strategy began
2017-04-06
Suggested Minimum Capital
$35,000
# Trades
100
# Profitable
45
% Profitable
45.0%
Correlation S&P500
0.318
Sharpe Ratio
1.356

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.