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NQ VX Timer
(120355485)

Created by: ETFTIMER ETFTIMER
Started: 10/2018
Futures
Last trade: 7 days ago
Trading style: Futures Trend-following

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 $150.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
16.9%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(18.4%)
Max Drawdown
304
Num Trades
85.2%
Win Trades
1.4 : 1
Profit Factor
90.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +7.8%+6.0%+1.0%+15.4%
2019+3.1%+2.4%+3.4%+0.2%+1.0%+2.8%+0.2%(11%)                        +1.3%

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 168 hours.

Trading Record

This strategy has placed 411 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/15/19 13:46 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7466.93 8/15 14:23 7476.00 1.11%
Trade id #124953926
Max drawdown($628)
Time8/15/19 13:46
Quant open1
Worst price7435.50
Drawdown as % of equity-1.11%
$173
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 11:10 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7465.68 8/15 11:25 7474.36 0.39%
Trade id #124951109
Max drawdown($218)
Time8/15/19 11:10
Quant open1
Worst price7454.75
Drawdown as % of equity-0.39%
$166
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 10:49 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7501.04 8/15 10:53 7508.71 0.21%
Trade id #124950666
Max drawdown($120)
Time8/15/19 10:49
Quant open1
Worst price7495.00
Drawdown as % of equity-0.21%
$146
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 10:18 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7502.70 8/15 10:20 7506.32 0.11%
Trade id #124950135
Max drawdown($64)
Time8/15/19 10:18
Quant open1
Worst price7499.50
Drawdown as % of equity-0.11%
$64
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 10:04 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7501.54 8/15 10:16 7512.00 0.32%
Trade id #124949768
Max drawdown($175)
Time8/15/19 10:04
Quant open1
Worst price7492.75
Drawdown as % of equity-0.32%
$201
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 9:35 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7508.68 8/15 10:02 7514.00 1.7%
Trade id #124948432
Max drawdown($953)
Time8/15/19 9:35
Quant open1
Worst price7461.00
Drawdown as % of equity-1.70%
$98
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 9:41 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7617.57 8/14 12:00 7518.70 3.34%
Trade id #124928156
Max drawdown($1,946)
Time8/14/19 9:41
Quant open1
Worst price7520.25
Drawdown as % of equity-3.34%
($1,986)
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 8:16 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7622.17 8/14 8:57 7631.83 0.31%
Trade id #124926566
Max drawdown($178)
Time8/14/19 8:16
Quant open1
Worst price7613.25
Drawdown as % of equity-0.31%
$185
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 11:22 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7709.48 8/13 11:39 7718.10 0.53%
Trade id #124908821
Max drawdown($309)
Time8/13/19 11:22
Quant open1
Worst price7694.00
Drawdown as % of equity-0.53%
$165
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 9:50 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7725.70 8/13 10:27 7781.48 1.73%
Trade id #124905732
Max drawdown($1,020)
Time8/13/19 9:50
Quant open1
Worst price7776.75
Drawdown as % of equity-1.73%
($1,123)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 9:37 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7615.00 8/13 9:38 7614.25 0.09%
Trade id #124905004
Max drawdown($50)
Time8/13/19 9:37
Quant open1
Worst price7617.50
Drawdown as % of equity-0.09%
$7
Includes Typical Broker Commissions trade costs of $8.00
8/12/19 13:20 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7602.11 8/12 13:24 7604.61 0.05%
Trade id #124886970
Max drawdown($32)
Time8/12/19 13:20
Quant open1
Worst price7600.50
Drawdown as % of equity-0.05%
$42
Includes Typical Broker Commissions trade costs of $8.00
8/12/19 11:04 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 2 7592.61 8/12 11:22 7594.00 1%
Trade id #124883194
Max drawdown($594)
Time8/12/19 11:04
Quant open2
Worst price7577.75
Drawdown as % of equity-1.00%
$40
Includes Typical Broker Commissions trade costs of $16.00
8/12/19 9:33 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7601.89 8/12 10:01 7609.39 0.73%
Trade id #124880310
Max drawdown($427)
Time8/12/19 9:33
Quant open1
Worst price7580.50
Drawdown as % of equity-0.73%
$142
Includes Typical Broker Commissions trade costs of $8.00
8/9/19 11:20 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 2 7627.56 8/9 12:54 7638.38 2.09%
Trade id #124857436
Max drawdown($1,232)
Time8/9/19 11:20
Quant open2
Worst price7596.75
Drawdown as % of equity-2.09%
$417
Includes Typical Broker Commissions trade costs of $16.00
8/9/19 10:20 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7659.32 8/9 10:57 7661.05 1.19%
Trade id #124856296
Max drawdown($701)
Time8/9/19 10:20
Quant open1
Worst price7624.25
Drawdown as % of equity-1.19%
$27
Includes Typical Broker Commissions trade costs of $8.00
8/9/19 9:47 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 2 7675.36 8/9 10:06 7680.91 0.84%
Trade id #124855347
Max drawdown($494)
Time8/9/19 9:47
Quant open2
Worst price7663.00
Drawdown as % of equity-0.84%
$206
Includes Typical Broker Commissions trade costs of $16.00
8/9/19 9:35 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7710.55 8/9 9:41 7701.50 0.32%
Trade id #124854931
Max drawdown($189)
Time8/9/19 9:35
Quant open1
Worst price7720.00
Drawdown as % of equity-0.32%
$173
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 12:51 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7696.59 8/8 13:27 7690.39 0.27%
Trade id #124839628
Max drawdown($158)
Time8/8/19 12:51
Quant open1
Worst price7704.50
Drawdown as % of equity-0.27%
$116
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 10:32 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 2 7654.50 8/8 11:39 7678.94 1.4%
Trade id #124836320
Max drawdown($830)
Time8/8/19 10:32
Quant open2
Worst price7675.25
Drawdown as % of equity-1.40%
($994)
Includes Typical Broker Commissions trade costs of $16.00
8/8/19 10:19 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7630.57 8/8 10:21 7625.39 0.08%
Trade id #124835980
Max drawdown($48)
Time8/8/19 10:19
Quant open1
Worst price7633.00
Drawdown as % of equity-0.08%
$96
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 9:52 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7587.39 8/8 9:57 7615.75 0.03%
Trade id #124835014
Max drawdown($17)
Time8/8/19 9:52
Quant open1
Worst price7586.50
Drawdown as % of equity-0.03%
$559
Includes Typical Broker Commissions trade costs of $8.00
8/7/19 13:38 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7528.34 8/7 13:50 7549.00 0.7%
Trade id #124819178
Max drawdown($413)
Time8/7/19 13:50
Quant open1
Worst price7549.00
Drawdown as % of equity-0.70%
($421)
Includes Typical Broker Commissions trade costs of $8.00
8/7/19 11:44 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7478.88 8/7 11:57 7488.62 0.39%
Trade id #124815677
Max drawdown($227)
Time8/7/19 11:44
Quant open1
Worst price7467.50
Drawdown as % of equity-0.39%
$187
Includes Typical Broker Commissions trade costs of $8.00
8/7/19 11:31 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7484.00 8/7 11:35 7493.75 0.17%
Trade id #124815260
Max drawdown($100)
Time8/7/19 11:31
Quant open1
Worst price7479.00
Drawdown as % of equity-0.17%
$187
Includes Typical Broker Commissions trade costs of $8.00
8/7/19 9:45 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7424.23 8/7 9:57 7431.25 1.28%
Trade id #124811523
Max drawdown($734)
Time8/7/19 9:45
Quant open1
Worst price7387.50
Drawdown as % of equity-1.28%
$132
Includes Typical Broker Commissions trade costs of $8.00
8/7/19 9:32 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7427.90 8/7 9:39 7453.80 0.27%
Trade id #124810805
Max drawdown($158)
Time8/7/19 9:32
Quant open1
Worst price7420.00
Drawdown as % of equity-0.27%
$510
Includes Typical Broker Commissions trade costs of $8.00
8/7/19 8:35 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7484.66 8/7 8:50 7448.75 1.25%
Trade id #124809532
Max drawdown($718)
Time8/7/19 8:50
Quant open1
Worst price7448.75
Drawdown as % of equity-1.25%
($726)
Includes Typical Broker Commissions trade costs of $8.00
8/6/19 22:44 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7457.44 8/6 22:56 7461.00 0.15%
Trade id #124803056
Max drawdown($88)
Time8/6/19 22:44
Quant open1
Worst price7453.00
Drawdown as % of equity-0.15%
$63
Includes Typical Broker Commissions trade costs of $8.00
8/6/19 11:11 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7476.29 8/6 11:15 7455.40 0.71%
Trade id #124792663
Max drawdown($418)
Time8/6/19 11:15
Quant open1
Worst price7455.40
Drawdown as % of equity-0.71%
($426)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/15/2018
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    311.08
  • Age
    10 months ago
  • What it trades
    Futures
  • # Trades
    304
  • # Profitable
    259
  • % Profitable
    85.20%
  • Avg trade duration
    15.6 hours
  • Max peak-to-valley drawdown
    18.42%
  • drawdown period
    July 24, 2019 - Aug 15, 2019
  • Cumul. Return
    16.9%
  • Avg win
    $175.36
  • Avg loss
    $719.07
  • Model Account Values (Raw)
  • Cash
    $63,061
  • Margin Used
    $0
  • Buying Power
    $63,061
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.89
  • Sortino Ratio
    1.21
  • Calmar Ratio
    2.305
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.25650
  • Return Statistics
  • Ann Return (w trading costs)
    19.9%
  • Ann Return (Compnd, No Fees)
    31.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    824
  • Popularity (Last 6 weeks)
    992
  • C2 Score
    19
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $719
  • Avg Win
    $175
  • # Winners
    259
  • # Losers
    45
  • % Winners
    85.2%
  • Frequency
  • Avg Position Time (mins)
    938.63
  • Avg Position Time (hrs)
    15.64
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.02
  • Daily leverage (max)
    11.49
  • Regression
  • Alpha
    0.05
  • Beta
    0.27
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    14.019
  • Avg(MAE) / Avg(PL) - Winning trades
    2.365
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.518
  • Hold-and-Hope Ratio
    0.071
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27996
  • SD
    0.17508
  • Sharpe ratio (Glass type estimate)
    1.59909
  • Sharpe ratio (Hedges UMVUE)
    1.46136
  • df
    9.00000
  • t
    1.45976
  • p
    0.08918
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.82699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71203
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59710
  • Upside Potential Ratio
    3.76213
  • Upside part of mean
    0.40555
  • Downside part of mean
    -0.12559
  • Upside SD
    0.14999
  • Downside SD
    0.10780
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.05079
  • Mean of criterion
    0.27996
  • SD of predictor
    0.10619
  • SD of criterion
    0.17508
  • Covariance
    0.00410
  • r
    0.22051
  • b (slope, estimate of beta)
    0.36355
  • a (intercept, estimate of alpha)
    0.26150
  • Mean Square Error
    0.03281
  • DF error
    8.00000
  • t(b)
    0.63943
  • p(b)
    0.27021
  • t(a)
    1.30420
  • p(a)
    0.11422
  • Lowerbound of 95% confidence interval for beta
    -0.94755
  • Upperbound of 95% confidence interval for beta
    1.67466
  • Lowerbound of 95% confidence interval for alpha
    -0.20086
  • Upperbound of 95% confidence interval for alpha
    0.72386
  • Treynor index (mean / b)
    0.77007
  • Jensen alpha (a)
    0.26150
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26243
  • SD
    0.17626
  • Sharpe ratio (Glass type estimate)
    1.48887
  • Sharpe ratio (Hedges UMVUE)
    1.36064
  • df
    9.00000
  • t
    1.35914
  • p
    0.10359
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87651
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59779
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31903
  • Upside Potential Ratio
    3.48092
  • Upside part of mean
    0.39392
  • Downside part of mean
    -0.13148
  • Upside SD
    0.14455
  • Downside SD
    0.11316
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.04555
  • Mean of criterion
    0.26243
  • SD of predictor
    0.10566
  • SD of criterion
    0.17626
  • Covariance
    0.00444
  • r
    0.23837
  • b (slope, estimate of beta)
    0.39764
  • a (intercept, estimate of alpha)
    0.24432
  • Mean Square Error
    0.03297
  • DF error
    8.00000
  • t(b)
    0.69421
  • p(b)
    0.25360
  • t(a)
    1.21795
  • p(a)
    0.12897
  • Lowerbound of 95% confidence interval for beta
    -0.92323
  • Upperbound of 95% confidence interval for beta
    1.71850
  • Lowerbound of 95% confidence interval for alpha
    -0.21826
  • Upperbound of 95% confidence interval for alpha
    0.70690
  • Treynor index (mean / b)
    0.65997
  • Jensen alpha (a)
    0.24432
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05995
  • Expected Shortfall on VaR
    0.07957
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01124
  • Expected Shortfall on VaR
    0.03040
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.90414
  • Quartile 1
    1.02605
  • Median
    1.03220
  • Quartile 3
    1.04138
  • Maximum
    1.10313
  • Mean of quarter 1
    0.97493
  • Mean of quarter 2
    1.03007
  • Mean of quarter 3
    1.03637
  • Mean of quarter 4
    1.06631
  • Inter Quartile Range
    0.01533
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.95000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.10313
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.66506
  • VaR(95%) (regression method)
    0.11405
  • Expected Shortfall (regression method)
    0.52163
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00413
  • Quartile 1
    0.02707
  • Median
    0.05000
  • Quartile 3
    0.07293
  • Maximum
    0.09586
  • Mean of quarter 1
    0.00413
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09586
  • Inter Quartile Range
    0.04586
  • 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)
    0.32847
  • Compounded annual return (geometric extrapolation)
    0.33688
  • Calmar ratio (compounded annual return / max draw down)
    3.51412
  • Compounded annual return / average of 25% largest draw downs
    3.51412
  • Compounded annual return / Expected Shortfall lognormal
    4.23397
  • 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
    0.27617
  • SD
    0.18785
  • Sharpe ratio (Glass type estimate)
    1.47018
  • Sharpe ratio (Hedges UMVUE)
    1.46511
  • df
    218.00000
  • t
    1.34413
  • p
    0.09015
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61328
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.13710
  • Upside Potential Ratio
    7.02134
  • Upside part of mean
    0.90735
  • Downside part of mean
    -0.63118
  • Upside SD
    0.13681
  • Downside SD
    0.12923
  • N nonnegative terms
    143.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    219.00000
  • Mean of predictor
    0.05844
  • Mean of criterion
    0.27617
  • SD of predictor
    0.17075
  • SD of criterion
    0.18785
  • Covariance
    0.00836
  • r
    0.26063
  • b (slope, estimate of beta)
    0.28673
  • a (intercept, estimate of alpha)
    0.25900
  • Mean Square Error
    0.03304
  • DF error
    217.00000
  • t(b)
    3.97675
  • p(b)
    0.00005
  • t(a)
    1.30448
  • p(a)
    0.09673
  • Lowerbound of 95% confidence interval for beta
    0.14462
  • Upperbound of 95% confidence interval for beta
    0.42883
  • Lowerbound of 95% confidence interval for alpha
    -0.13254
  • Upperbound of 95% confidence interval for alpha
    0.65137
  • Treynor index (mean / b)
    0.96319
  • Jensen alpha (a)
    0.25942
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25848
  • SD
    0.18762
  • Sharpe ratio (Glass type estimate)
    1.37767
  • Sharpe ratio (Hedges UMVUE)
    1.37292
  • df
    218.00000
  • t
    1.25955
  • p
    0.10459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77151
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52381
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52055
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96217
  • Upside Potential Ratio
    6.81807
  • Upside part of mean
    0.89816
  • Downside part of mean
    -0.63968
  • Upside SD
    0.13395
  • Downside SD
    0.13173
  • N nonnegative terms
    143.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    219.00000
  • Mean of predictor
    0.04391
  • Mean of criterion
    0.25848
  • SD of predictor
    0.17081
  • SD of criterion
    0.18762
  • Covariance
    0.00846
  • r
    0.26404
  • b (slope, estimate of beta)
    0.29002
  • a (intercept, estimate of alpha)
    0.24574
  • Mean Square Error
    0.03290
  • DF error
    217.00000
  • t(b)
    4.03267
  • p(b)
    0.00004
  • t(a)
    1.23855
  • p(a)
    0.10843
  • Lowerbound of 95% confidence interval for beta
    0.14828
  • Upperbound of 95% confidence interval for beta
    0.43177
  • Lowerbound of 95% confidence interval for alpha
    -0.14532
  • Upperbound of 95% confidence interval for alpha
    0.63681
  • Treynor index (mean / b)
    0.89123
  • Jensen alpha (a)
    0.24574
  • 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
    0.02265
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00410
  • Expected Shortfall on VaR
    0.00986
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    219.00000
  • Minimum
    0.94535
  • Quartile 1
    1.00000
  • Median
    1.00132
  • Quartile 3
    1.00317
  • Maximum
    1.07238
  • Mean of quarter 1
    0.99055
  • Mean of quarter 2
    1.00045
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.01149
  • Inter Quartile Range
    0.00317
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.10959
  • Mean of outliers low
    0.98063
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.11416
  • Mean of outliers high
    1.01908
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70986
  • VaR(95%) (moments method)
    0.00460
  • Expected Shortfall (moments method)
    0.01973
  • Extreme Value Index (regression method)
    0.28031
  • VaR(95%) (regression method)
    0.00921
  • Expected Shortfall (regression method)
    0.01943
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00124
  • Median
    0.00344
  • Quartile 3
    0.02129
  • Maximum
    0.14384
  • Mean of quarter 1
    0.00068
  • Mean of quarter 2
    0.00235
  • Mean of quarter 3
    0.01021
  • Mean of quarter 4
    0.06153
  • Inter Quartile Range
    0.02005
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.09528
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40999
  • VaR(95%) (moments method)
    0.06450
  • Expected Shortfall (moments method)
    0.12736
  • Extreme Value Index (regression method)
    0.97877
  • VaR(95%) (regression method)
    0.07780
  • Expected Shortfall (regression method)
    3.21442
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32357
  • Compounded annual return (geometric extrapolation)
    0.33161
  • Calmar ratio (compounded annual return / max draw down)
    2.30535
  • Compounded annual return / average of 25% largest draw downs
    5.38921
  • Compounded annual return / Expected Shortfall lognormal
    14.63850
  • 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
    0.03298
  • SD
    0.18807
  • Sharpe ratio (Glass type estimate)
    0.17534
  • Sharpe ratio (Hedges UMVUE)
    0.17432
  • df
    130.00000
  • t
    0.12398
  • p
    0.49456
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94621
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24183
  • Upside Potential Ratio
    5.54374
  • Upside part of mean
    0.75593
  • Downside part of mean
    -0.72296
  • Upside SD
    0.12850
  • Downside SD
    0.13636
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08269
  • Mean of criterion
    0.03298
  • SD of predictor
    0.13036
  • SD of criterion
    0.18807
  • Covariance
    0.00958
  • r
    0.39091
  • b (slope, estimate of beta)
    0.56398
  • a (intercept, estimate of alpha)
    -0.01366
  • Mean Square Error
    0.03020
  • DF error
    129.00000
  • t(b)
    4.82371
  • p(b)
    0.25763
  • t(a)
    -0.05553
  • p(a)
    0.50311
  • Lowerbound of 95% confidence interval for beta
    0.33265
  • Upperbound of 95% confidence interval for beta
    0.79531
  • Lowerbound of 95% confidence interval for alpha
    -0.50027
  • Upperbound of 95% confidence interval for alpha
    0.47296
  • Treynor index (mean / b)
    0.05847
  • Jensen alpha (a)
    -0.01366
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01547
  • SD
    0.18773
  • Sharpe ratio (Glass type estimate)
    0.08241
  • Sharpe ratio (Hedges UMVUE)
    0.08193
  • df
    130.00000
  • t
    0.05827
  • p
    0.49745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68989
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85375
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11142
  • Upside Potential Ratio
    5.38657
  • Upside part of mean
    0.74787
  • Downside part of mean
    -0.73240
  • Upside SD
    0.12528
  • Downside SD
    0.13884
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07420
  • Mean of criterion
    0.01547
  • SD of predictor
    0.13078
  • SD of criterion
    0.18773
  • Covariance
    0.00964
  • r
    0.39258
  • b (slope, estimate of beta)
    0.56352
  • a (intercept, estimate of alpha)
    -0.02634
  • Mean Square Error
    0.03004
  • DF error
    129.00000
  • t(b)
    4.84805
  • p(b)
    0.25665
  • t(a)
    -0.10740
  • p(a)
    0.50602
  • Lowerbound of 95% confidence interval for beta
    0.33354
  • Upperbound of 95% confidence interval for beta
    0.79349
  • Lowerbound of 95% confidence interval for alpha
    -0.51161
  • Upperbound of 95% confidence interval for alpha
    0.45893
  • Treynor index (mean / b)
    0.02745
  • Jensen alpha (a)
    -0.02634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01884
  • Expected Shortfall on VaR
    0.02357
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00469
  • Expected Shortfall on VaR
    0.01113
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95060
  • Quartile 1
    0.99979
  • Median
    1.00122
  • Quartile 3
    1.00267
  • Maximum
    1.07238
  • Mean of quarter 1
    0.98920
  • Mean of quarter 2
    1.00050
  • Mean of quarter 3
    1.00192
  • Mean of quarter 4
    1.00937
  • Inter Quartile Range
    0.00288
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.98192
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.01996
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53249
  • VaR(95%) (moments method)
    0.00463
  • Expected Shortfall (moments method)
    0.01268
  • Extreme Value Index (regression method)
    0.22152
  • VaR(95%) (regression method)
    0.01207
  • Expected Shortfall (regression method)
    0.02337
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00171
  • Median
    0.00271
  • Quartile 3
    0.02087
  • Maximum
    0.14384
  • Mean of quarter 1
    0.00064
  • Mean of quarter 2
    0.00254
  • Mean of quarter 3
    0.00850
  • Mean of quarter 4
    0.08647
  • Inter Quartile Range
    0.01916
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.11537
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -12.73060
  • VaR(95%) (moments method)
    0.07074
  • Expected Shortfall (moments method)
    0.07074
  • Extreme Value Index (regression method)
    -1.03258
  • VaR(95%) (regression method)
    0.16758
  • Expected Shortfall (regression method)
    0.18411
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04385
  • Compounded annual return (geometric extrapolation)
    0.04433
  • Calmar ratio (compounded annual return / max draw down)
    0.30819
  • Compounded annual return / average of 25% largest draw downs
    0.51268
  • Compounded annual return / Expected Shortfall lognormal
    1.88066

Strategy Description

NQ VX Timer employs two strategies related to Nasdaq 100 futures and Volatility futures, each of which uses approximately half of its total account value.

One strategy trades the Nasdaq 100 (NQ) futures on primarily an intraday basis, generally lasting from several minutes to a few days.

The second strategy trades Volatility (VIX) futures calendar spreads, which generally lasts from one to five weeks. This strategy typically sells the front month VIX contract and simultaneously buys a different VIX contract two to four months further out. This essentially creates a partially hedged position. Under no circumstances will a VIX futures contract be sold without an offsetting long position being put on within several minutes.

It is important to note that certain statistics will be skewed relating to the Volatility futures calendar spreads because C2 treats each leg of the calendar spread as a separate trade. What should happen with this trade is that the short front month leg will result in a gain, while the long back month leg will results in a loss that is less than the gain. This should result in an overall gain on the calendar spread. However, C2 will record this as one gain and one loss (2 trades), instead of one gain on the overall trade. Therefore, this will result in a lower win rate.

Also, this will distort the Average Win and Average Loss statistics and the APD ratio, because the Average Loss on one leg of the VIX futures calendar spread will be several times as large as the average win for the NQ futures intraday trades. So C2 will display that the Average Loss is two to three times as large as the Average Win, when that is not the case since the VIX futures calendar spread is actually one overall trade and not two separate trades.

The profit target of the total of both of these strategies is an annualized return of 35-45%, while keeping the maximum drawdown below 20%.

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS

Summary Statistics

Strategy began
2018-10-15
Suggested Minimum Capital
$60,000
# Trades
304
# Profitable
259
% Profitable
85.2%
Correlation S&P500
0.257
Sharpe Ratio
0.89
Sortino Ratio
1.21
Beta
0.27
Alpha
0.05
Leverage
3.02 Average
11.49 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.

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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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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.