Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +41.0% Cumul. Return since Sep 23, 2025 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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The Volatility Chameleon
(83242512)

Created by: PhylumFinancial PhylumFinancial
Started: 10/2013
Options
Last trade: 65 days ago
Subscriptions not currently available.

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 $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.

9.7%
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.

(70.2%)
Max Drawdown
818
Num Trades
67.0%
Win Trades
1.1 : 1
Profit Factor
60.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
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%+7.0%+0.8%(4%)+14.4%+9.8%+10.0%+7.9%+86.3%
2018+7.1%(4.7%)(9.2%)+1.3%+12.5%+3.4%+6.6%+1.5%(0.4%)(12.9%)+2.3%(24.4%)(20.7%)
2019+18.0%+7.1%+4.5%+7.9%(16.3%)+27.1%+11.3%(10.4%)+4.4%+11.6%+9.3%+7.2%+106.3%
2020+1.2%(14%)(14.2%)+21.2%+4.2%+4.9%+3.1%+2.8%(2.3%)(2.3%)+2.4%+1.9%+4.4%
2021+1.1%+0.4%(6.4%)(0.2%)(6.2%)+0.4%+0.8%(5.1%)(13.5%)+4.3%+13.1%(18.6%)(29%)
2022(17.2%)+24.8%+2.1%(6%)(2.1%)(13.4%)+9.3%(8.9%)(7.3%)+8.1%+3.1%(5.5%)(18.2%)
2023+18.6%(0.2%)+15.2%(4.9%)+5.2%(3.3%)+5.7%(0.5%)(5.5%)(11.1%)+37.7%+25.9%+102.1%
2024(0.5%)+2.9%+3.3%(6.9%)(3.4%)+9.5%(1.4%)+2.4%+2.2%(4.9%)+8.7%+0.7%+11.8%
2025+0.2%(17.3%)(25.6%)(19.8%)+7.3%+16.6%+3.9%+11.7%+34.7%(3%)(13.7%)(5.1%)(23.2%)
2026+0.5%(16.8%)(40.7%)+1.3%+1.1%                                          

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

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/25 9:42 QQQ2631C605 QQQ Mar31'26 605 call LONG 20 48.11 4/1/26 8:05 12.26 22.91%
Trade id #153351816
Max drawdown($72,150)
Time3/30/26 0:00
Quant open15
Worst price0.01
Drawdown as % of equity-22.91%
 ($71,723)
Includes Typical Broker Commissions trade costs of $17.50
11/5/25 9:45 SPY2631C660 SPY Mar31'26 660 call LONG 45 43.21 4/1/26 8:05 5.00 55.31%
Trade id #153351889
Max drawdown($172,796)
Time3/31/26 0:00
Quant open40
Worst price0.01
Drawdown as % of equity-55.31%
 ($171,980)
Includes Typical Broker Commissions trade costs of $35.00
11/13/25 15:59 QQQ2620C605 QQQ Mar20'26 605 call LONG 25 40.02 3/21/26 9:35 0.00 24.31%
Trade id #153433905
Max drawdown($100,025)
Time3/20/26 0:00
Quant open25
Worst price0.01
Drawdown as % of equity-24.31%
 ($100,068)
Includes Typical Broker Commissions trade costs of $17.50
10/6/25 9:55 DELL2616A165 DELL Jan16'26 165 call LONG 12 8.45 1/17/26 9:35 0.00 1.67%
Trade id #153084113
Max drawdown($10,128)
Time12/22/25 0:00
Quant open12
Worst price0.01
Drawdown as % of equity-1.67%
 ($10,148)
Includes Typical Broker Commissions trade costs of $8.40
12/9/24 10:24 TLT2616A95 TLT Jan16'26 95 call LONG 142 2.33 1/17/26 9:35 0.00 5.42%
Trade id #150278875
Max drawdown($32,934)
Time12/18/25 0:00
Quant open142
Worst price0.01
Drawdown as % of equity-5.42%
 ($33,175)
Includes Typical Broker Commissions trade costs of $99.40
10/8/25 12:33 DUOL2616A370 DUOL Jan16'26 370 call LONG 8 40.50 1/17/26 9:35 0.00 5%
Trade id #153110430
Max drawdown($32,320)
Time12/1/25 0:00
Quant open8
Worst price0.10
Drawdown as % of equity-5.00%
 ($32,406)
Includes Typical Broker Commissions trade costs of $5.60
10/6/25 9:55 IONQ2616A90 IONQ Jan16'26 90 call LONG 102 7.44 1/17/26 9:35 0.00 12.05%
Trade id #153084103
Max drawdown($75,738)
Time12/24/25 0:00
Quant open102
Worst price0.01
Drawdown as % of equity-12.05%
 ($75,911)
Includes Typical Broker Commissions trade costs of $71.40
7/24/25 11:23 ETHA2616A35 ETHA Jan16'26 35 call LONG 150 3.27 1/17/26 9:35 0.00 7.71%
Trade id #152408569
Max drawdown($48,850)
Time12/29/25 0:00
Quant open150
Worst price0.01
Drawdown as % of equity-7.71%
 ($49,105)
Includes Typical Broker Commissions trade costs of $105.00
1/7/26 15:54 QQQ2620B621 QQQ Feb20'26 621 call LONG 25 18.86 1/9 12:34 19.25 1.47%
Trade id #154036727
Max drawdown($9,025)
Time1/8/26 0:00
Quant open25
Worst price15.25
Drawdown as % of equity-1.47%
 $940
Includes Typical Broker Commissions trade costs of $35.00
1/7/26 15:53 SMH2620B380 SMH Feb20'26 380 call LONG 25 20.70 1/9 12:06 21.50 2.08%
Trade id #154036700
Max drawdown($12,750)
Time1/8/26 0:00
Quant open25
Worst price15.60
Drawdown as % of equity-2.08%
 $1,965
Includes Typical Broker Commissions trade costs of $35.00
9/26/25 9:57 SPYU MAX S&P 500 4X LEVERAGED ETNS 10/30/43 LONG 2,000 54.55 1/7/26 15:52 56.76 2.32%
Trade id #153013312
Max drawdown($11,872)
Time11/21/25 0:00
Quant open1,500
Worst price46.63
Drawdown as % of equity-2.32%
 $4,415
Includes Typical Broker Commissions trade costs of $15.00
11/13/25 15:58 SPY2620C660 SPY Mar20'26 660 call LONG 50 40.19 12/22 15:46 40.42 11.71%
Trade id #153433876
Max drawdown($60,050)
Time11/21/25 0:00
Quant open50
Worst price28.18
Drawdown as % of equity-11.71%
 $1,080
Includes Typical Broker Commissions trade costs of $70.00
11/21/24 11:27 IWM2519L280 IWM Dec19'25 280 call LONG 220 1.15 12/20/25 9:35 0.00 3.7%
Trade id #150143587
Max drawdown($25,148)
Time12/12/25 0:00
Quant open220
Worst price0.01
Drawdown as % of equity-3.70%
 ($25,522)
Includes Typical Broker Commissions trade costs of $154.00
2/24/25 10:40 GOOGL2616A180 GOOGL Jan16'26 180 call LONG 8 23.65 11/12 10:11 82.53 3.65%
Trade id #150938634
Max drawdown($13,944)
Time4/7/25 0:00
Quant open8
Worst price6.22
Drawdown as % of equity-3.65%
 $47,089
Includes Typical Broker Commissions trade costs of $11.20
7/24/25 11:27 TSLA2620C350 TSLA Mar20'26 350 call LONG 8 36.85 11/12 10:11 115.65 0.27%
Trade id #152408650
Max drawdown($1,400)
Time8/1/25 0:00
Quant open8
Worst price35.10
Drawdown as % of equity-0.27%
 $63,029
Includes Typical Broker Commissions trade costs of $11.20
11/5/25 9:40 SPY2505K665 SPY Nov5'25 665 call LONG 50 10.07 11/5 9:49 11.12 0.32%
Trade id #153351804
Max drawdown($2,300)
Time11/5/25 9:43
Quant open50
Worst price9.61
Drawdown as % of equity-0.32%
 $5,180
Includes Typical Broker Commissions trade costs of $70.00
9/5/25 11:28 QQQ2503J575 QQQ Oct3'25 575 call LONG 60 11.21 9/19 9:43 24.22 0.15%
Trade id #152836819
Max drawdown($880)
Time9/5/25 13:44
Quant open20
Worst price10.60
Drawdown as % of equity-0.15%
 $77,996
Includes Typical Broker Commissions trade costs of $84.00
11/8/24 11:19 LRCX2616A90 LRCX Jan16'26 90 call LONG 8 10.75 7/24/25 11:24 15.35 1.54%
Trade id #150040298
Max drawdown($6,824)
Time4/4/25 0:00
Quant open8
Worst price2.22
Drawdown as % of equity-1.54%
 $3,669
Includes Typical Broker Commissions trade costs of $11.20
12/9/24 10:27 AMD2616A150 AMD Jan16'26 150 call LONG 8 18.15 7/24/25 11:23 28.15 3.56%
Trade id #150278952
Max drawdown($13,280)
Time4/8/25 0:00
Quant open8
Worst price1.55
Drawdown as % of equity-3.56%
 $7,989
Includes Typical Broker Commissions trade costs of $11.20
1/23/25 10:08 FUBO2516E4 FUBO May16'25 4 call LONG 60 0.66 4/7 11:31 0.08 0.84%
Trade id #150648871
Max drawdown($3,720)
Time4/4/25 0:00
Quant open60
Worst price0.04
Drawdown as % of equity-0.84%
 ($3,564)
Includes Typical Broker Commissions trade costs of $84.00
11/25/24 10:45 QQQ2531C500 QQQ Mar31'25 500 call LONG 17 30.56 4/1/25 8:05 6.74 8.77%
Trade id #150167986
Max drawdown($42,774)
Time3/31/25 0:00
Quant open14
Worst price0.01
Drawdown as % of equity-8.77%
 ($40,511)
Includes Typical Broker Commissions trade costs of $14.00
11/8/24 14:34 XLE2521C100 XLE Mar21'25 100 call LONG 24 2.55 3/22/25 9:35 0.00 1%
Trade id #150043310
Max drawdown($6,088)
Time3/4/25 0:00
Quant open24
Worst price0.01
Drawdown as % of equity-1.00%
 ($6,129)
Includes Typical Broker Commissions trade costs of $16.80
11/25/24 10:49 TSLA2521C450 TSLA Mar21'25 450 call LONG 25 21.25 3/22/25 9:35 0.00 9.48%
Trade id #150168021
Max drawdown($53,100)
Time3/10/25 0:00
Quant open25
Worst price0.01
Drawdown as % of equity-9.48%
 ($53,143)
Includes Typical Broker Commissions trade costs of $17.50
11/18/24 10:21 SPYU MAX S&P 500 4X LEVERAGED ETNS 10/30/43 LONG 5,500 49.10 3/13/25 13:54 36.81 14.52%
Trade id #150111793
Max drawdown($71,820)
Time3/13/25 13:49
Quant open4,500
Worst price33.14
Drawdown as % of equity-14.52%
 ($67,610)
Includes Typical Broker Commissions trade costs of $17.50
12/9/24 10:30 SOUN2616A15 SOUN Jan16'26 15 call LONG 8 5.50 3/13/25 13:54 1.90 0.59%
Trade id #150279087
Max drawdown($3,072)
Time3/11/25 0:00
Quant open8
Worst price1.66
Drawdown as % of equity-0.59%
 ($2,891)
Includes Typical Broker Commissions trade costs of $11.20
11/8/24 11:18 GME2616A30 GME Jan16'26 30 call LONG 8 7.70 3/11/25 11:24 4.60 0.45%
Trade id #150040260
Max drawdown($2,360)
Time3/11/25 10:41
Quant open8
Worst price4.75
Drawdown as % of equity-0.45%
 ($2,491)
Includes Typical Broker Commissions trade costs of $11.20
1/18/25 9:35 META META PLATFORMS INC. CLASS A LONG 200 540.00 1/28 10:10 668.03 n/a $25,602
Includes Typical Broker Commissions trade costs of $4.00
11/26/24 12:21 GME2503A40 GME Jan3'25 40 call LONG 25 4.00 1/4/25 9:35 0.00 1.33%
Trade id #150187267
Max drawdown($9,975)
Time1/3/25 0:00
Quant open25
Worst price0.01
Drawdown as % of equity-1.33%
 ($10,018)
Includes Typical Broker Commissions trade costs of $17.50
12/9/24 10:24 CVNA2517M220 CVNA Jan17'25 220 put LONG 24 4.65 1/1/25 9:30 22.65 0.53%
Trade id #150278876
Max drawdown($5,160)
Time12/18/24 0:00
Quant open24
Worst price2.50
Drawdown as % of equity-0.53%
 $43,166
Includes Typical Broker Commissions trade costs of $33.60
11/8/24 11:29 SMCI2616A30 SMCI Jan16'26 30 call LONG 8 8.10 12/9 10:45 21.45 0.4%
Trade id #150040436
Max drawdown($3,200)
Time11/14/24 0:00
Quant open8
Worst price4.10
Drawdown as % of equity-0.40%
 $10,669
Includes Typical Broker Commissions trade costs of $11.20

Statistics

  • Strategy began
    10/1/2013
  • Suggested Minimum Cap
    $320,000
  • Strategy Age (days)
    4623.85
  • Age
    154 months ago
  • What it trades
    Options
  • # Trades
    818
  • # Profitable
    548
  • % Profitable
    67.00%
  • Avg trade duration
    60.8 days
  • Max peak-to-valley drawdown
    70.16%
  • drawdown period
    Aug 10, 2015 - Sept 01, 2015
  • Annual Return (Compounded)
    9.7%
  • Avg win
    $4,170
  • Avg loss
    $7,580
  • Model Account Values (Raw)
  • Cash
    $319,702
  • Margin Used
    $0
  • Buying Power
    $320,290
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.34
  • Sortino Ratio
    0.51
  • Calmar Ratio
    0.174
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -124.47%
  • Correlation to SP500
    0.34370
  • Return Percent SP500 (cumu) during strategy life
    347.45%
  • Return Statistics
  • Ann Return (w trading costs)
    9.7%
  • Slump
  • Current Slump as Pcnt Equity
    206.40%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    6.16%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.097%
  • Instruments
  • Percent Trades Options
    0.86%
  • Percent Trades Stocks
    0.14%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    96.00%
  • Chance of 20% account loss
    89.50%
  • Chance of 30% account loss
    89.00%
  • Chance of 40% account loss
    77.50%
  • Chance of 60% account loss (Monte Carlo)
    74.00%
  • Chance of 70% account loss (Monte Carlo)
    61.50%
  • Chance of 80% account loss (Monte Carlo)
    43.00%
  • Chance of 90% account loss (Monte Carlo)
    18.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    77.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $7,541
  • Avg Win
    $4,177
  • Sum Trade PL (losers)
    $2,043,590.000
  • Age
  • Num Months filled monthly returns table
    152
  • Win / Loss
  • Sum Trade PL (winners)
    $2,285,080.000
  • # Winners
    547
  • Num Months Winners
    93
  • Dividends
  • Dividends Received in Model Acct
    12790
  • Win / Loss
  • # Losers
    271
  • % Winners
    66.9%
  • Frequency
  • Avg Position Time (mins)
    137814.00
  • Avg Position Time (hrs)
    2296.90
  • Avg Trade Length
    95.7 days
  • Last Trade Ago
    59
  • Leverage
  • Daily leverage (average)
    3.78
  • Daily leverage (max)
    18.54
  • Regression
  • Alpha
    0.03
  • Beta
    1.09
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    86.86
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    58.85
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.92
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    47.350
  • 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 strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.962
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.138
  • Hold-and-Hope Ratio
    0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20760
  • SD
    0.51972
  • Sharpe ratio (Glass type estimate)
    0.39945
  • Sharpe ratio (Hedges UMVUE)
    0.39729
  • df
    139.00000
  • t
    1.36439
  • p
    0.42698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97449
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17842
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97301
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68819
  • Upside Potential Ratio
    2.05670
  • Upside part of mean
    0.62043
  • Downside part of mean
    -0.41283
  • Upside SD
    0.42517
  • Downside SD
    0.30166
  • N nonnegative terms
    81.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    0.09899
  • Mean of criterion
    0.20760
  • SD of predictor
    0.14225
  • SD of criterion
    0.51972
  • Covariance
    0.04304
  • r
    0.58220
  • b (slope, estimate of beta)
    2.12704
  • a (intercept, estimate of alpha)
    -0.00295
  • Mean Square Error
    0.17984
  • DF error
    138.00000
  • t(b)
    8.41206
  • p(b)
    0.20890
  • t(a)
    -0.02327
  • p(a)
    0.50099
  • Lowerbound of 95% confidence interval for beta
    1.62707
  • Upperbound of 95% confidence interval for beta
    2.62701
  • Lowerbound of 95% confidence interval for alpha
    -0.25338
  • Upperbound of 95% confidence interval for alpha
    0.24749
  • Treynor index (mean / b)
    0.09760
  • Jensen alpha (a)
    -0.00295
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07867
  • SD
    0.51493
  • Sharpe ratio (Glass type estimate)
    0.15277
  • Sharpe ratio (Hedges UMVUE)
    0.15195
  • df
    139.00000
  • t
    0.52182
  • p
    0.47186
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42159
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72661
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72604
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20248
  • Upside Potential Ratio
    1.42502
  • Upside part of mean
    0.55366
  • Downside part of mean
    -0.47500
  • Upside SD
    0.33589
  • Downside SD
    0.38853
  • N nonnegative terms
    81.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    0.08829
  • Mean of criterion
    0.07867
  • SD of predictor
    0.14323
  • SD of criterion
    0.51493
  • Covariance
    0.04538
  • r
    0.61532
  • b (slope, estimate of beta)
    2.21216
  • a (intercept, estimate of alpha)
    -0.11665
  • Mean Square Error
    0.16596
  • DF error
    138.00000
  • t(b)
    9.16982
  • p(b)
    0.19234
  • t(a)
    -0.96278
  • p(a)
    0.54084
  • Lowerbound of 95% confidence interval for beta
    1.73515
  • Upperbound of 95% confidence interval for beta
    2.68917
  • Lowerbound of 95% confidence interval for alpha
    -0.35621
  • Upperbound of 95% confidence interval for alpha
    0.12291
  • Treynor index (mean / b)
    0.03556
  • Jensen alpha (a)
    -0.11665
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21176
  • Expected Shortfall on VaR
    0.25813
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06921
  • Expected Shortfall on VaR
    0.15122
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    140.00000
  • Minimum
    0.43184
  • Quartile 1
    0.96527
  • Median
    1.01767
  • Quartile 3
    1.06066
  • Maximum
    2.06528
  • Mean of quarter 1
    0.87311
  • Mean of quarter 2
    0.99707
  • Mean of quarter 3
    1.03876
  • Mean of quarter 4
    1.16957
  • Inter Quartile Range
    0.09539
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.69537
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06429
  • Mean of outliers high
    1.36712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48749
  • VaR(95%) (moments method)
    0.12272
  • Expected Shortfall (moments method)
    0.27533
  • Extreme Value Index (regression method)
    0.17258
  • VaR(95%) (regression method)
    0.12025
  • Expected Shortfall (regression method)
    0.19253
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00008
  • Quartile 1
    0.01697
  • Median
    0.04033
  • Quartile 3
    0.17237
  • Maximum
    0.60267
  • Mean of quarter 1
    0.00552
  • Mean of quarter 2
    0.03367
  • Mean of quarter 3
    0.09268
  • Mean of quarter 4
    0.43795
  • Inter Quartile Range
    0.15539
  • 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
    0.14286
  • Mean of outliers high
    0.53619
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.84740
  • VaR(95%) (moments method)
    0.39227
  • Expected Shortfall (moments method)
    0.40073
  • Extreme Value Index (regression method)
    -1.41948
  • VaR(95%) (regression method)
    0.59776
  • Expected Shortfall (regression method)
    0.62244
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21148
  • Compounded annual return (geometric extrapolation)
    0.11246
  • Calmar ratio (compounded annual return / max draw down)
    0.18661
  • Compounded annual return / average of 25% largest draw downs
    0.25679
  • Compounded annual return / Expected Shortfall lognormal
    0.43568
  • 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
    0.20873
  • SD
    0.50842
  • Sharpe ratio (Glass type estimate)
    0.41054
  • Sharpe ratio (Hedges UMVUE)
    0.41044
  • df
    3060.00000
  • t
    1.40325
  • p
    0.08032
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16299
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16307
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98394
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60591
  • Upside Potential Ratio
    6.43285
  • Upside part of mean
    2.21603
  • Downside part of mean
    -2.00730
  • Upside SD
    0.37404
  • Downside SD
    0.34449
  • N nonnegative terms
    1624.00000
  • N negative terms
    1437.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3061.00000
  • Mean of predictor
    0.11475
  • Mean of criterion
    0.20873
  • SD of predictor
    0.18085
  • SD of criterion
    0.50842
  • Covariance
    0.03434
  • r
    0.37350
  • b (slope, estimate of beta)
    1.05001
  • a (intercept, estimate of alpha)
    0.08800
  • Mean Square Error
    0.22250
  • DF error
    3059.00000
  • t(b)
    22.26940
  • p(b)
    -0.00000
  • t(a)
    0.63891
  • p(a)
    0.26146
  • Lowerbound of 95% confidence interval for beta
    0.95756
  • Upperbound of 95% confidence interval for beta
    1.14245
  • Lowerbound of 95% confidence interval for alpha
    -0.18256
  • Upperbound of 95% confidence interval for alpha
    0.35903
  • Treynor index (mean / b)
    0.19879
  • Jensen alpha (a)
    0.08824
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08034
  • SD
    0.50831
  • Sharpe ratio (Glass type estimate)
    0.15805
  • Sharpe ratio (Hedges UMVUE)
    0.15801
  • df
    3060.00000
  • t
    0.54021
  • p
    0.29455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73147
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73143
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21334
  • Upside Potential Ratio
    5.72018
  • Upside part of mean
    2.15407
  • Downside part of mean
    -2.07373
  • Upside SD
    0.34134
  • Downside SD
    0.37657
  • N nonnegative terms
    1624.00000
  • N negative terms
    1437.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3061.00000
  • Mean of predictor
    0.09834
  • Mean of criterion
    0.08034
  • SD of predictor
    0.18114
  • SD of criterion
    0.50831
  • Covariance
    0.03502
  • r
    0.38035
  • b (slope, estimate of beta)
    1.06732
  • a (intercept, estimate of alpha)
    -0.02462
  • Mean Square Error
    0.22107
  • DF error
    3059.00000
  • t(b)
    22.74620
  • p(b)
    -0.00000
  • t(a)
    -0.17889
  • p(a)
    0.57098
  • Lowerbound of 95% confidence interval for beta
    0.97531
  • Upperbound of 95% confidence interval for beta
    1.15932
  • Lowerbound of 95% confidence interval for alpha
    -0.29449
  • Upperbound of 95% confidence interval for alpha
    0.24525
  • Treynor index (mean / b)
    0.07527
  • Jensen alpha (a)
    -0.02462
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05005
  • Expected Shortfall on VaR
    0.06237
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01648
  • Expected Shortfall on VaR
    0.03635
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3061.00000
  • Minimum
    0.61207
  • Quartile 1
    0.99268
  • Median
    1.00070
  • Quartile 3
    1.00941
  • Maximum
    1.59635
  • Mean of quarter 1
    0.97216
  • Mean of quarter 2
    0.99747
  • Mean of quarter 3
    1.00443
  • Mean of quarter 4
    1.02959
  • Inter Quartile Range
    0.01673
  • Number outliers low
    181.00000
  • Percentage of outliers low
    0.05913
  • Mean of outliers low
    0.93415
  • Number of outliers high
    178.00000
  • Percentage of outliers high
    0.05815
  • Mean of outliers high
    1.06706
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50696
  • VaR(95%) (moments method)
    0.02592
  • Expected Shortfall (moments method)
    0.06020
  • Extreme Value Index (regression method)
    0.34758
  • VaR(95%) (regression method)
    0.02357
  • Expected Shortfall (regression method)
    0.04377
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    112.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00285
  • Median
    0.01273
  • Quartile 3
    0.03300
  • Maximum
    0.65884
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.00629
  • Mean of quarter 3
    0.02233
  • Mean of quarter 4
    0.18458
  • Inter Quartile Range
    0.03015
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.16071
  • Mean of outliers high
    0.25745
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55336
  • VaR(95%) (moments method)
    0.15049
  • Expected Shortfall (moments method)
    0.39828
  • Extreme Value Index (regression method)
    0.42672
  • VaR(95%) (regression method)
    0.17895
  • Expected Shortfall (regression method)
    0.39661
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21756
  • Compounded annual return (geometric extrapolation)
    0.11432
  • Calmar ratio (compounded annual return / max draw down)
    0.17352
  • Compounded annual return / average of 25% largest draw downs
    0.61935
  • Compounded annual return / Expected Shortfall lognormal
    1.83285
  • 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
    -0.66088
  • SD
    0.69032
  • Sharpe ratio (Glass type estimate)
    -0.95735
  • Sharpe ratio (Hedges UMVUE)
    -0.95182
  • df
    130.00000
  • t
    -0.67695
  • p
    0.52963
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.72979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81871
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.72604
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82240
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16805
  • Upside Potential Ratio
    5.98953
  • Upside part of mean
    3.38886
  • Downside part of mean
    -4.04974
  • Upside SD
    0.39299
  • Downside SD
    0.56580
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31571
  • Mean of criterion
    -0.66088
  • SD of predictor
    0.19748
  • SD of criterion
    0.69032
  • Covariance
    0.08432
  • r
    0.61854
  • b (slope, estimate of beta)
    2.16220
  • a (intercept, estimate of alpha)
    -1.34352
  • Mean Square Error
    0.29650
  • DF error
    129.00000
  • t(b)
    8.94083
  • p(b)
    0.13302
  • t(a)
    -1.73617
  • p(a)
    0.59583
  • Lowerbound of 95% confidence interval for beta
    1.68373
  • Upperbound of 95% confidence interval for beta
    2.64068
  • Lowerbound of 95% confidence interval for alpha
    -2.87458
  • Upperbound of 95% confidence interval for alpha
    0.18755
  • Treynor index (mean / b)
    -0.30565
  • Jensen alpha (a)
    -1.34352
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.91059
  • SD
    0.71728
  • Sharpe ratio (Glass type estimate)
    -1.26949
  • Sharpe ratio (Hedges UMVUE)
    -1.26215
  • df
    130.00000
  • t
    -0.89767
  • p
    0.53924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.04318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.03820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51389
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.50082
  • Upside Potential Ratio
    5.46253
  • Upside part of mean
    3.31426
  • Downside part of mean
    -4.22484
  • Upside SD
    0.38160
  • Downside SD
    0.60673
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29651
  • Mean of criterion
    -0.91059
  • SD of predictor
    0.19483
  • SD of criterion
    0.71728
  • Covariance
    0.08944
  • r
    0.64001
  • b (slope, estimate of beta)
    2.35622
  • a (intercept, estimate of alpha)
    -1.60922
  • Mean Square Error
    0.30611
  • DF error
    129.00000
  • t(b)
    9.46048
  • p(b)
    0.12240
  • t(a)
    -2.04757
  • p(a)
    0.61235
  • VAR (95 Confidence Intrvl)
    0.05000
  • Lowerbound of 95% confidence interval for beta
    1.86345
  • Upperbound of 95% confidence interval for beta
    2.84900
  • Lowerbound of 95% confidence interval for alpha
    -3.16419
  • Upperbound of 95% confidence interval for alpha
    -0.05426
  • Treynor index (mean / b)
    -0.38646
  • Jensen alpha (a)
    -1.60922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07352
  • Expected Shortfall on VaR
    0.09040
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03368
  • Expected Shortfall on VaR
    0.06965
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.77635
  • Quartile 1
    0.98496
  • Median
    1.00254
  • Quartile 3
    1.01769
  • Maximum
    1.09304
  • Mean of quarter 1
    0.94445
  • Mean of quarter 2
    0.99463
  • Mean of quarter 3
    1.00911
  • Mean of quarter 4
    1.04250
  • Inter Quartile Range
    0.03273
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.89140
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.07704
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02722
  • VaR(95%) (moments method)
    0.04269
  • Expected Shortfall (moments method)
    0.06089
  • Extreme Value Index (regression method)
    -0.04513
  • VaR(95%) (regression method)
    0.05227
  • Expected Shortfall (regression method)
    0.07352
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00406
  • Median
    0.01314
  • Quartile 3
    0.05274
  • Maximum
    0.60202
  • Mean of quarter 1
    0.00238
  • Mean of quarter 2
    0.00933
  • Mean of quarter 3
    0.03472
  • Mean of quarter 4
    0.33778
  • Inter Quartile Range
    0.04868
  • 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
    0.11111
  • Mean of outliers high
    0.60202
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.01747
  • VaR(95%) (moments method)
    0.30819
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.66734
  • VaR(95%) (regression method)
    1.88106
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -413458000
  • Max Equity Drawdown (num days)
    22
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.71365
  • Compounded annual return (geometric extrapolation)
    -0.58633
  • Calmar ratio (compounded annual return / max draw down)
    -0.97393
  • Compounded annual return / average of 25% largest draw downs
    -1.73584
  • Compounded annual return / Expected Shortfall lognormal
    -6.48607

Strategy Description

The Volatility Chameleon

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.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2013-10-01
Suggested Minimum Capital
$320,000
# Trades
818
# Profitable
548
% Profitable
67.0%
Net Dividends
$12,789
Correlation S&P500
0.344
Sharpe Ratio
0.34
Sortino Ratio
0.51
Beta
1.09
Alpha
0.03
Leverage
3.78 Average
18.54 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

subscribed on started simulation

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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(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.