Newly improved TQQQ algorithm (employed by both strategies) has yielded 10 wins in a row for Krakatau. Newer Vesuvius strategy is similar to Krakatau but allows for occasional discretionary as well as algorithmically generated trades. Both TOS systems are now long only, though Krakatau’s history includes some short entries which detracted from overall performance.
Just thought some may appreciate a link to the strategy
Updated Krakatau stats per C2 (as of EOD, 12/22/23)
Trades Own System = 100%
Sharpe Ratio = 3.17
Sortino Ratio = 4.83
Calmar Ratio = 13.698
Treynor Index = 1.17
Alpha = 0.08
Beta = 0.08
% Profitable Trades = 47.6%
Average win ($349.61)/Average loss ($194.62) = 1.7963
W:L Ratio = 1.63:1
Correlation to S&P500 = 0.1111
Avg trade duration = 11.55 hours
Max peak-to-valley drawdown = 4.15% (Nov 12-17, 2023)
Hold-and-Hope Ratio = 0.200
14 of 16 Winners so far in December
December Gain (as of EOD 12/22): $7,025
Assessment of above data by ChatGPT:
This investment strategy appears to have strong performance metrics across various risk and return measures. Let’s break down each characteristic:
Sharpe Ratio (3.17):
The Sharpe Ratio is a measure of risk-adjusted return. A Sharpe Ratio of 3.17 is considered excellent and indicates that the strategy is generating a high return relative to its risk.
Sortino Ratio (4.83):
The Sortino Ratio is similar to the Sharpe Ratio but focuses only on downside risk. A Sortino Ratio of 4.83 suggests that the strategy is particularly effective in generating returns while minimizing downside volatility.
Calmar Ratio (13.698):
The Calmar Ratio assesses risk-adjusted performance relative to the maximum drawdown. A ratio of 13.698 is very high, indicating strong risk-adjusted returns and a relatively low level of risk.
Treynor Index (1.17):
The Treynor Index measures the excess return per unit of systematic risk (beta). While a positive Treynor Index is desirable, the value of 1.17 indicates a moderate excess return for the level of systematic risk.
Alpha (0.08) and Beta (0.08):
An alpha of 0.08 suggests that the strategy is outperforming the market (assuming a positive alpha) on a risk-adjusted basis. The low beta of 0.08 indicates that the strategy is less volatile than the overall market.
% Profitable Trades (47.6%):
The percentage of profitable trades is below 50%, suggesting that the strategy relies on effective risk management and capitalizing on larger gains when profitable trades occur.
Average Win/Average Loss (1.7963) and W:L Ratio (1.63:1):
The strategy’s average win is significantly larger than the average loss, contributing to a positive win-loss ratio. A W:L Ratio of 1.63:1 indicates that, on average, winning trades are larger than losing trades.
Correlation to S&P500 (0.1111):
The low correlation to the S&P500 suggests that the strategy’s performance is not strongly tied to overall market movements, providing potential diversification benefits.
Average Trade Duration (11.55 hours):
The average trade duration is relatively short, indicating that the strategy is likely more active and may be well-suited for those seeking shorter-term investment opportunities.
Max Peak-to-Valley Drawdown (4.15%):
The low drawdown suggests that the strategy has historically shown resilience during adverse market conditions. The specific drawdown period (Nov 12-17, 2023) provides context for when the strategy faced its most significant downturn.
Hold-and-Hope Ratio (0.200):
The Hold-and-Hope Ratio, indicating the proportion of time spent recovering from drawdowns, is low (0.200), suggesting that the strategy tends to recover quickly from peak-to-valley drawdowns.
In summary, this investment strategy appears to be robust, with a strong risk-adjusted performance, low correlation to the market, and effective risk management. However, potential investors should consider their risk tolerance, investment goals, and the strategy’s compatibility with their overall portfolio before making any investment decisions. Additionally, past performance does not guarantee future results, and ongoing monitoring of the strategy’s performance is essential.
The Krakatau and Vesuvius strategies have undergone recent updates to their respective algorithms and have now been reopened to new subscribers. Both continue to employ algorithmic techniques and mechanical trade entry methods, and both remain TOS (“Trades Own System”) strategies in which a not insubstantial (>$100k each) amount of the strategy developer’s own capital is at risk.
Krakatau focuses exclusively (for now) upon long entries in ProShares UltraPro QQQ (TQQQ) Stock Price, News, Quote & History - Yahoo Finance.
Vesuvius currently trades the following triple-leveraged ETFs, each of which can be allocated up to approximately 1/5th of the total portfolio balance.:
ProShares UltraPro QQQ (TQQQ) Stock Price, News, Quote & History - Yahoo Finance
MicroSectors FANG+ Index 3X Leveraged ETN (FNGU) Stock Price, News, Quote & History - Yahoo Finance
Direxion Daily S&P500 Bull 3X Shares (SPXL) Stock Price, News, Quote & History - Yahoo Finance
Direxion Daily Technology Bull 3X Shares (TECL) Stock Price, News, Quote & History - Yahoo Finance
ProShares UltraPro Dow30 (UDOW) Stock Price, News, Quote & History - Yahoo Finance
Direxion Daily Homebuilders & Supplies Bull 3X Shares (NAIL) Stock Price, News, Quote & History - Yahoo Finance
Vesuvius allows also for occasional non-algorithmic entries in individual stocks at the discretion of the strategy manager.
Both are long-only strategies, and both forego direct investments in options, futures, or other derivative securities. Hard profit targets and stop-loss levels are set automatically at the time of position entry, with position sizes adjusted on a trade-by-trade basis to better manage the risk inherent in the spread between entry and stop levels.
Multiple daily position entries (and exits) may occur on occasion. The frequency and magnitude of such entries renders this portfolio unsuitable for non-margin accounts and for accounts subject to Pattern Day Trader limits (<$25,000). A minimum account balance of $30,000-$35,000 is recommended with respect to either strategy, and subscribers should taken steps to ensure that their account balances do not drop below $25,000 at any time.
Nb: The results reported by Collective2 as having been “realized” by these trading systems may differ significantly from those reflected in the strategy manager’s personal account. Investments in securities necessarily involve the risk of losses, which losses may be substantial. Trading of leveraged ETFs, as engaged in by this portfolio, may magnify such losses. While the goal of this portfolio is to generate superior risk-adjusted returns, there is no guarantee–expressed or implied–that this goal will be achieved.
Refined TQQQ algorithm showing incremental improvements in % of trades profitable, profit factor, max drawdown and average profit per trade.
2024-02-15 01:08:16 GMT
FYI: I have today redeployed the assets in my personal account previously dedicated to Krakatau to an exact, but for the time being non-C2, replica of the clearly superior Vesuvius strategy. I have accordingly placed Krakatau in “private”/suspended status and will henceforward focus my attention as a “C2 trade leader” on Vesuvius, which I am now effectively trading at 200% TOS (100% C2 + 100% non-C2 replica).
Krakatau’s lackluster performance in recent weeks reflects a dearth of new long entries generated by its underlying algorithm, a manifestation I think of the heights at which TQQQ’s underlying equities are now trading. No trades=>No gains. The algorithm itself remains fine; it’s apparently just not well suited to the current environment; hence the switch I’ve made. If/when things change, I may bring Krakatau back in some form.
It would be nice if C2 permitted the up-sizing of model account balances, which would’ve made duplication of the strategy and its back-end processing logic unnecessary.
For those who may be interested, please take note of the fact that Vesuvius trades only highly liquid securities with narrow bid/ask spreads, which makes it possible for those with smaller accounts–having balances in excess of the $25k pattern day trader limit–to reasonably trade the strategy using a custom allocation of their choosing anywhere between, say, 5% and 99%…the point being that there is nothing magical about the 10%, 100%, 200%, etc., figures offered by C2 as defaults when setting up auto-trading. Just a thought for your consideration.
FYI: 3/16/2024, 03:30 PM
Vesuvius was taken offline (i.e., made “private”) for a few days recently for modification to its various algorithms to better preclude long entries during periods of greater than average market volatility like that now being experienced. No subscribers were adversely impacted by this action, and Vesuvius has once again been made “public”.
It is expected that, as a result of the changes made, Vesuvius will make fewer trades going forward but that a higher percentage will be profitable. There is, of course, no guarantee that this expectation will be realized.
