The Volatility Chameleon
(83242512)
Subscription terms. Subscriptions to this system cost $100.00 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.
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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2013 | +4.6% | +5.4% | +3.2% | +13.8% | |||||||||
2014 | (7.1%) | +13.4% | +6.0% | +4.2% | (3.9%) | (0.7%) | (0.8%) | +17.0% | (0.6%) | +6.2% | +4.2% | (0.6%) | +41.1% |
2015 | (7.7%) | +17.9% | +2.2% | +0.1% | +1.7% | - | +8.5% | (43.3%) | +37.0% | +20.9% | +3.7% | (14.7%) | +2.0% |
2016 | (20.9%) | (8.2%) | +37.2% | (2.2%) | +16.4% | (15.5%) | +10.3% | (0.1%) | +1.5% | +0.5% | +4.8% | +4.3% | +17.6% |
2017 | +6.7% | +10.4% | +1.4% | (1.2%) | +2.3% | +6.9% | +0.7% | (4%) | +14.4% | +9.7% | +10.0% | +7.9% | +85.8% |
2018 | +7.1% | (4.8%) | (9.2%) | +1.2% | +12.5% | +3.4% | +6.6% | +1.5% | (0.4%) | (13%) | +2.3% | (24.6%) | (21.2%) |
2019 | +18.1% | +7.1% | +4.5% | +8.0% | (16.5%) | +27.3% | +11.4% | (10.6%) | +4.5% | +11.7% | +9.4% | +7.2% | +106.7% |
2020 | +1.1% | (14.1%) | (14.4%) | +21.4% | +4.2% | +4.9% | +3.1% | +2.8% | (2.4%) | (2.3%) | +2.4% | +1.9% | +4.1% |
2021 | +1.1% | +0.4% | (6.5%) | (0.2%) | (6.3%) | +0.4% | +0.8% | (5.2%) | (13.7%) | +4.4% | +13.3% | (18.9%) | (29.6%) |
2022 | (17.5%) | +25.3% | +2.1% | (6.2%) | (2.1%) | (13.7%) | +9.5% | (9.1%) | (7.5%) | +8.2% | +3.1% | (5.7%) | (18.9%) |
2023 | +19.1% | (0.2%) | +15.5% | (5%) | +5.2% | (3.4%) | +5.8% | (0.5%) | (5.6%) | (11.4%) | +38.6% | +26.4% | +104.3% |
2024 | (0.5%) | +2.9% | +3.4% | (7%) | (3.5%) | +9.6% | (1.4%) | +2.4% | (17.6%) | (13.4%) |
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.
Started | $100,000 | |
Buy Power | $114,277 | |
Cash | $1 | |
Equity | $1 | |
Cumulative $ | $565,832 | |
Includes dividends and cash-settled expirations: | $4,918 | Itemized |
Total System Equity | $665,832 | |
Margined | $1 | |
Open P/L | ($71,786) | |
Data has been delayed by 168 hours for non-subscribers |
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics
-
Strategy began10/1/2013
-
Suggested Minimum Cap$620,000
-
Strategy Age (days)3994.5
-
Age133 months ago
-
What it tradesOptions
-
# Trades785
-
# Profitable527
-
% Profitable67.10%
-
Avg trade duration63.3 days
-
Max peak-to-valley drawdown70.16%
-
drawdown periodAug 10, 2015 - Sept 01, 2015
-
Annual Return (Compounded)18.2%
-
Avg win$3,655
-
Avg loss$5,292
- Model Account Values (Raw)
-
Cash$236,257
-
Margin Used$0
-
Buying Power$114,277
- Ratios
-
W:L ratio1.41:1
-
Sharpe Ratio0.45
-
Sortino Ratio0.7
-
Calmar Ratio0.329
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)304.45%
-
Correlation to SP5000.30370
-
Return Percent SP500 (cumu) during strategy life219.08%
- Return Statistics
-
Ann Return (w trading costs)18.2%
- Slump
-
Current Slump as Pcnt Equity40.00%
- Instruments
-
Percent Trades Futures0.00%
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.01%
- Instruments
-
Short Options - Percent Covered6.16%
- Return Statistics
-
Return Pcnt Since TOS Statusn/a
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.182%
- Instruments
-
Percent Trades Options0.87%
-
Percent Trades Stocks0.13%
-
Percent Trades Forexn/a
- Return Statistics
-
Ann Return (Compnd, No Fees)18.9%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss94.50%
-
Chance of 20% account loss90.00%
-
Chance of 30% account loss84.00%
-
Chance of 40% account loss82.50%
-
Chance of 60% account loss (Monte Carlo)70.00%
-
Chance of 70% account loss (Monte Carlo)64.50%
-
Chance of 80% account loss (Monte Carlo)42.00%
-
Chance of 90% account loss (Monte Carlo)25.00%
-
Chance of 100% account loss (Monte Carlo)n/a
- Automation
-
Percentage Signals Automatedn/a
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account loss73.00%
- Popularity
-
Popularity (Today)0
-
Popularity (Last 6 weeks)735
- Trading Style
-
Any stock shorts? 0/11
- Popularity
-
C2 Score439
-
Popularity (7 days, Percentile 1000 scale)0
- Trades-Own-System Certification
-
Trades Own System?-
-
TOS percentn/a
- Win / Loss
-
Avg Loss$5,293
-
Avg Win$3,655
-
Sum Trade PL (losers)$1,365,520.000
- Age
-
Num Months filled monthly returns table132
- Win / Loss
-
Sum Trade PL (winners)$1,926,440.000
-
# Winners527
-
Num Months Winners81
- Dividends
-
Dividends Received in Model Acct4918
- Win / Loss
-
# Losers258
-
% Winners67.1%
- Frequency
-
Avg Position Time (mins)129426.00
-
Avg Position Time (hrs)2157.11
-
Avg Trade Length89.9 days
-
Last Trade Ago4
- Leverage
-
Daily leverage (average)3.57
-
Daily leverage (max)18.54
- Regression
-
Alpha0.06
-
Beta0.98
-
Treynor Index0.08
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.02
-
MAE:PL - Winning Trades - this strat Percentile of All Strats86.86
-
MAE:PL - worst single value for strategy-
-
MAE:PL - Losing Trades - this strat Percentile of All Strats58.85
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)3.95
-
MAE:Equity, average, winning trades0.02
-
MAE:Equity, average, losing trades0.02
-
Avg(MAE) / Avg(PL) - All trades8.352
-
MAE:Equity, losing trades only, 95th Percentile Value for this strat-
-
MAE:Equity, win trades only, 95th Percentile Value for this strat-
-
MAE:Equity, 95th Percentile Value for this strat0.03
-
Avg(MAE) / Avg(PL) - Winning trades0.885
-
Avg(MAE) / Avg(PL) - Losing trades-1.203
-
Hold-and-Hope Ratio0.135
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.28383
-
SD0.49865
-
Sharpe ratio (Glass type estimate)0.56919
-
Sharpe ratio (Hedges UMVUE)0.56575
-
df124.00000
-
t1.83707
-
p0.41861
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.04331
-
Upperbound of 95% confidence interval for Sharpe Ratio1.17947
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.04560
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.17709
- Statistics related to Sortino ratio
-
Sortino ratio1.09922
-
Upside Potential Ratio2.43483
-
Upside part of mean0.62870
-
Downside part of mean-0.34487
-
Upside SD0.43209
-
Downside SD0.25821
-
N nonnegative terms74.00000
-
N negative terms51.00000
- Statistics related to linear regression on benchmark
-
N of observations125.00000
-
Mean of predictor0.09744
-
Mean of criterion0.28383
-
SD of predictor0.14535
-
SD of criterion0.49865
-
Covariance0.04164
-
r0.57446
-
b (slope, estimate of beta)1.97077
-
a (intercept, estimate of alpha)0.09179
-
Mean Square Error0.16795
-
DF error123.00000
-
t(b)7.78354
-
p(b)0.15554
-
t(a)0.70963
-
p(a)0.45938
-
Lowerbound of 95% confidence interval for beta1.46959
-
Upperbound of 95% confidence interval for beta2.47196
-
Lowerbound of 95% confidence interval for alpha-0.16425
-
Upperbound of 95% confidence interval for alpha0.34784
-
Treynor index (mean / b)0.14402
-
Jensen alpha (a)0.09179
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.17046
-
SD0.47350
-
Sharpe ratio (Glass type estimate)0.36000
-
Sharpe ratio (Hedges UMVUE)0.35781
-
df124.00000
-
t1.16188
-
p0.44811
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.24963
-
Upperbound of 95% confidence interval for Sharpe Ratio0.96821
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.25109
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.96672
- Statistics related to Sortino ratio
-
Sortino ratio0.51244
-
Upside Potential Ratio1.68561
-
Upside part of mean0.56070
-
Downside part of mean-0.39024
-
Upside SD0.33791
-
Downside SD0.33264
-
N nonnegative terms74.00000
-
N negative terms51.00000
- Statistics related to linear regression on benchmark
-
N of observations125.00000
-
Mean of predictor0.08632
-
Mean of criterion0.17046
-
SD of predictor0.14647
-
SD of criterion0.47350
-
Covariance0.04320
-
r0.62294
-
b (slope, estimate of beta)2.01382
-
a (intercept, estimate of alpha)-0.00337
-
Mean Square Error0.13832
-
DF error123.00000
-
t(b)8.83156
-
p(b)0.13083
-
t(a)-0.02880
-
p(a)0.50165
-
Lowerbound of 95% confidence interval for beta1.56246
-
Upperbound of 95% confidence interval for beta2.46518
-
Lowerbound of 95% confidence interval for alpha-0.23477
-
Upperbound of 95% confidence interval for alpha0.22803
-
Treynor index (mean / b)0.08464
-
Jensen alpha (a)-0.00337
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.18992
-
Expected Shortfall on VaR0.23393
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.05637
-
Expected Shortfall on VaR0.12472
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations125.00000
-
Minimum0.43184
-
Quartile 10.96658
-
Median1.01893
-
Quartile 31.06789
-
Maximum2.06528
-
Mean of quarter 10.89574
-
Mean of quarter 21.00081
-
Mean of quarter 31.04257
-
Mean of quarter 41.16901
-
Inter Quartile Range0.10131
-
Number outliers low3.00000
-
Percentage of outliers low0.02400
-
Mean of outliers low0.64918
-
Number of outliers high7.00000
-
Percentage of outliers high0.05600
-
Mean of outliers high1.39138
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.49680
-
VaR(95%) (moments method)0.10650
-
Expected Shortfall (moments method)0.23799
-
Extreme Value Index (regression method)0.48012
-
VaR(95%) (regression method)0.10998
-
Expected Shortfall (regression method)0.24050
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations21.00000
-
Minimum0.00008
-
Quartile 10.01697
-
Median0.04033
-
Quartile 30.09520
-
Maximum0.56816
-
Mean of quarter 10.00552
-
Mean of quarter 20.03367
-
Mean of quarter 30.07724
-
Mean of quarter 40.35189
-
Inter Quartile Range0.07822
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high4.00000
-
Percentage of outliers high0.19048
-
Mean of outliers high0.39677
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)-2.36525
-
VaR(95%) (moments method)0.25634
-
Expected Shortfall (moments method)0.25924
-
Extreme Value Index (regression method)-0.63765
-
VaR(95%) (regression method)0.51606
-
Expected Shortfall (regression method)0.60010
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.66198
-
Compounded annual return (geometric extrapolation)0.21941
-
Calmar ratio (compounded annual return / max draw down)0.38617
-
Compounded annual return / average of 25% largest draw downs0.62352
-
Compounded annual return / Expected Shortfall lognormal0.93791
-
0.00000
-
0.00000
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.27550
-
SD0.49766
-
Sharpe ratio (Glass type estimate)0.55360
-
Sharpe ratio (Hedges UMVUE)0.55345
-
df2738.00000
-
t1.78994
-
p0.03679
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.05281
-
Upperbound of 95% confidence interval for Sharpe Ratio1.15991
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.05291
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.15980
- Statistics related to Sortino ratio
-
Sortino ratio0.84373
-
Upside Potential Ratio6.47311
-
Upside part of mean2.11365
-
Downside part of mean-1.83815
-
Upside SD0.37582
-
Downside SD0.32653
-
N nonnegative terms1454.00000
-
N negative terms1285.00000
- Statistics related to linear regression on benchmark
-
N of observations2739.00000
-
Mean of predictor0.09895
-
Mean of criterion0.27550
-
SD of predictor0.17769
-
SD of criterion0.49766
-
Covariance0.02965
-
r0.33536
-
b (slope, estimate of beta)0.93925
-
a (intercept, estimate of alpha)0.18300
-
Mean Square Error0.21989
-
DF error2737.00000
-
t(b)18.62320
-
p(b)-0.00000
-
t(a)1.25802
-
p(a)0.10425
-
Lowerbound of 95% confidence interval for beta0.84036
-
Upperbound of 95% confidence interval for beta1.03814
-
Lowerbound of 95% confidence interval for alpha-0.10199
-
Upperbound of 95% confidence interval for alpha0.46710
-
Treynor index (mean / b)0.29332
-
Jensen alpha (a)0.18256
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.15331
-
SD0.49524
-
Sharpe ratio (Glass type estimate)0.30956
-
Sharpe ratio (Hedges UMVUE)0.30948
-
df2738.00000
-
t1.00090
-
p0.15848
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.29670
-
Upperbound of 95% confidence interval for Sharpe Ratio0.91578
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.29676
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.91571
- Statistics related to Sortino ratio
-
Sortino ratio0.42626
-
Upside Potential Ratio5.70474
-
Upside part of mean2.05172
-
Downside part of mean-1.89842
-
Upside SD0.34046
-
Downside SD0.35965
-
N nonnegative terms1454.00000
-
N negative terms1285.00000
- Statistics related to linear regression on benchmark
-
N of observations2739.00000
-
Mean of predictor0.08308
-
Mean of criterion0.15331
-
SD of predictor0.17831
-
SD of criterion0.49524
-
Covariance0.03008
-
r0.34066
-
b (slope, estimate of beta)0.94616
-
a (intercept, estimate of alpha)0.07470
-
Mean Square Error0.21688
-
DF error2737.00000
-
t(b)18.95620
-
p(b)-0.00000
-
t(a)0.51842
-
p(a)0.30210
-
Lowerbound of 95% confidence interval for beta0.84829
-
Upperbound of 95% confidence interval for beta1.04403
-
Lowerbound of 95% confidence interval for alpha-0.20784
-
Upperbound of 95% confidence interval for alpha0.35724
-
Treynor index (mean / b)0.16203
-
Jensen alpha (a)0.07470
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.04852
-
Expected Shortfall on VaR0.06055
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.01505
-
Expected Shortfall on VaR0.03347
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations2739.00000
-
Minimum0.61207
-
Quartile 10.99332
-
Median1.00068
-
Quartile 31.00882
-
Maximum1.59635
-
Mean of quarter 10.97456
-
Mean of quarter 20.99764
-
Mean of quarter 31.00410
-
Mean of quarter 41.02834
-
Inter Quartile Range0.01550
-
Number outliers low156.00000
-
Percentage of outliers low0.05696
-
Mean of outliers low0.93859
-
Number of outliers high165.00000
-
Percentage of outliers high0.06024
-
Mean of outliers high1.06474
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.49039
-
VaR(95%) (moments method)0.02336
-
Expected Shortfall (moments method)0.05277
-
Extreme Value Index (regression method)0.35581
-
VaR(95%) (regression method)0.02151
-
Expected Shortfall (regression method)0.04028
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations109.00000
-
Minimum0.00008
-
Quartile 10.00287
-
Median0.01295
-
Quartile 30.03259
-
Maximum0.60332
-
Mean of quarter 10.00140
-
Mean of quarter 20.00671
-
Mean of quarter 30.02267
-
Mean of quarter 40.16701
-
Inter Quartile Range0.02972
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high17.00000
-
Percentage of outliers high0.15596
-
Mean of outliers high0.23384
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.53625
-
VaR(95%) (moments method)0.13940
-
Expected Shortfall (moments method)0.35381
-
Extreme Value Index (regression method)0.44969
-
VaR(95%) (regression method)0.16248
-
Expected Shortfall (regression method)0.36700
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.54034
-
Compounded annual return (geometric extrapolation)0.19867
-
Calmar ratio (compounded annual return / max draw down)0.32930
-
Compounded annual return / average of 25% largest draw downs1.18955
-
Compounded annual return / Expected Shortfall lognormal3.28108
-
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-0.22079
-
SD0.40837
-
Sharpe ratio (Glass type estimate)-0.54067
-
Sharpe ratio (Hedges UMVUE)-0.53754
-
df130.00000
-
t-0.38231
-
p0.51676
-
Lowerbound of 95% confidence interval for Sharpe Ratio-3.31229
-
Upperbound of 95% confidence interval for Sharpe Ratio2.23288
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.31012
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.23503
- Statistics related to Sortino ratio
-
Sortino ratio-0.67270
-
Upside Potential Ratio5.49786
-
Upside part of mean1.80449
-
Downside part of mean-2.02528
-
Upside SD0.24073
-
Downside SD0.32822
-
N nonnegative terms68.00000
-
N negative terms63.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.12693
-
Mean of criterion-0.22079
-
SD of predictor0.13893
-
SD of criterion0.40837
-
Covariance0.03902
-
r0.68769
-
b (slope, estimate of beta)2.02134
-
a (intercept, estimate of alpha)-0.47736
-
Mean Square Error0.08858
-
DF error129.00000
-
t(b)10.75830
-
p(b)0.09971
-
t(a)-1.13232
-
p(a)0.56305
-
Lowerbound of 95% confidence interval for beta1.64960
-
Upperbound of 95% confidence interval for beta2.39307
-
Lowerbound of 95% confidence interval for alpha-1.31147
-
Upperbound of 95% confidence interval for alpha0.35674
-
Treynor index (mean / b)-0.10923
-
Jensen alpha (a)-0.47736
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean-0.30699
-
SD0.42097
-
Sharpe ratio (Glass type estimate)-0.72924
-
Sharpe ratio (Hedges UMVUE)-0.72502
-
df130.00000
-
t-0.51565
-
p0.52259
-
Lowerbound of 95% confidence interval for Sharpe Ratio-3.50114
-
Upperbound of 95% confidence interval for Sharpe Ratio2.04531
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.49823
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.04818
- Statistics related to Sortino ratio
-
Sortino ratio-0.88225
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Upside Potential Ratio5.10479
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Upside part of mean1.77627
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Downside part of mean-2.08326
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Upside SD0.23483
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Downside SD0.34796
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N nonnegative terms68.00000
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N negative terms63.00000
- Statistics related to linear regression on benchmark
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N of observations131.00000
-
Mean of predictor0.11727
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Mean of criterion-0.30699
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SD of predictor0.13936
-
SD of criterion0.42097
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Covariance0.04043
-
r0.68907
-
b (slope, estimate of beta)2.08147
-
a (intercept, estimate of alpha)-0.55109
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Mean Square Error0.09379
-
DF error129.00000
-
t(b)10.79950
-
p(b)0.09907
-
t(a)-1.27067
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p(a)0.57064
-
VAR (95 Confidence Intrvl)0.04900
-
Lowerbound of 95% confidence interval for beta1.70014
-
Upperbound of 95% confidence interval for beta2.46281
-
Lowerbound of 95% confidence interval for alpha-1.40918
-
Upperbound of 95% confidence interval for alpha0.30700
-
Treynor index (mean / b)-0.14749
-
Jensen alpha (a)-0.55109
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
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VaR(95%)0.04300
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Expected Shortfall on VaR0.05330
- assuming Pareto losses only (using partial moments from Sortino statistics)
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VaR(95%)0.01698
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Expected Shortfall on VaR0.03676
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations131.00000
-
Minimum0.83401
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Quartile 10.99247
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Median1.00062
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Quartile 31.00850
-
Maximum1.08674
-
Mean of quarter 10.97291
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Mean of quarter 20.99664
-
Mean of quarter 31.00372
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Mean of quarter 41.02392
-
Inter Quartile Range0.01603
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Number outliers low7.00000
-
Percentage of outliers low0.05344
-
Mean of outliers low0.93040
-
Number of outliers high5.00000
-
Percentage of outliers high0.03817
-
Mean of outliers high1.05733
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.54563
-
VaR(95%) (moments method)0.02638
-
Expected Shortfall (moments method)0.06521
-
Extreme Value Index (regression method)0.48293
-
VaR(95%) (regression method)0.02342
-
Expected Shortfall (regression method)0.05068
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations6.00000
-
Minimum0.00608
-
Quartile 10.01481
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Median0.02977
-
Quartile 30.08064
-
Maximum0.27504
-
Mean of quarter 10.00806
-
Mean of quarter 20.02914
-
Mean of quarter 30.03039
-
Mean of quarter 40.18621
-
Inter Quartile Range0.06583
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.16667
-
Mean of outliers high0.27504
- 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
-
Last 4 Months - Pcnt Negative0.50%
-
Expected Shortfall (regression method)0.00000
-
Strat Max DD how much worse than SP500 max DD during strat life?-384011000
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Max Equity Drawdown (num days)22
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)-0.26049
-
Compounded annual return (geometric extrapolation)-0.24352
-
Calmar ratio (compounded annual return / max draw down)-0.88539
-
Compounded annual return / average of 25% largest draw downs-1.30775
-
Compounded annual return / Expected Shortfall lognormal-4.56900
Strategy Description
In addition to the ability to change color to blend with their surroundings, chameleons’ eyes work independently of one and other, allowing them to see multiple directions at the same time, thus providing them with 360 Degree vision.
As it namesake implies, The Volatility Chameleon will shift with market conditions in an effort to get the best possible returns, engaging in trades that work in different directions, and multiple time frames, simultaneously.
The portfolio will achieve Long and Short positions in Index and Equity positions by taking Long Call or Long Put positions. The system will not take Naked, or Short, Option positions. The system will not ‘borrow’ to hold Short positions.
The system will trade a minimum of two contracts per position, and all trades will be multiples of two, such that the system can be easily scaled and followed by subscribers with a wide range of trading capital.
Trades will be predominantly weeks to months, with some trades lasting only a few days. The system will open and close some trades within a given trading day, but not commonly.
We will not be ‘scalping’, so you could trade the signals manually, or take advantage of the convenience of AutoTrade.
Due to the leverage involved, all options trading is volatile. Options trading is risky, and is not for everyone. If you feel that you will not be able to tolerate the draw downs typical to options trading, then this portfolio is probably not for you.
It should be understood that this is an aggressive portfolio. As a result, this portfolio may experience considerable volatility, despite taking on trades with favorable probabilities.
This volatility can be offset by scaling the system, such that it is a smaller percentage of your overall portfolio — either by maintaining higher relative levels of Cash, or allotting the system for the aggressive portion of an overall portfolio.
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.