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These are hypothetical performance results that have certain inherent limitations. Learn more
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Option Credit Spreads
(63350600)

Created by: JohnPierce JohnPierce
Started: 07/2011
Options
Last trade: 4,475 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $27.97 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.

-2.7%
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.

(59.7%)
Max Drawdown
55
Num Trades
41.8%
Win Trades
0.9 : 1
Profit Factor
1.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                          (6.2%)+53.0%+0.5%(51.2%)+1.1%(0.5%)(29.1%)
2012(0.7%)  -    -    -    -    -    -    -    -    -    -    -  (0.7%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/21/11 10:04 RUT1221A840 RUT.X Jan21'12 840 call LONG 1 0.35 1/22/12 9:19 0.00 0.4%
Trade id #69174596
Max drawdown($35)
Time1/22/12 9:19
Quant open0
Worst price0.00
Drawdown as % of equity-0.40%
 ($36)
Includes Typical Broker Commissions trade costs of $1.00
12/21/11 10:12 RUT1221A830 RUT.X Jan21'12 830 call SHORT 1 0.46 1/22/12 9:19 0.00 0.07%
Trade id #69175019
Max drawdown($6)
Time1/3/12 10:14
Quant open-1
Worst price0.52
Drawdown as % of equity-0.07%
 $45
Includes Typical Broker Commissions trade costs of $1.00
12/14/11 15:58 SPY1221M100 SPY Jan21'12 100 put SHORT 1 0.31 1/22/12 9:18 0.00 0.01%
Trade id #68970512
Max drawdown($1)
Time12/14/11 22:27
Quant open1
Worst price0.00
Drawdown as % of equity-0.01%
 $30
Includes Typical Broker Commissions trade costs of $1.00
1/3/12 12:13 IWM1221M60 IWM Jan21'12 60 put SHORT 1 0.05 1/22 9:05 0.00 0.02%
Trade id #69439137
Max drawdown($2)
Time1/5/12 10:01
Quant open-1
Worst price0.07
Drawdown as % of equity-0.02%
 $4
Includes Typical Broker Commissions trade costs of $1.00
12/14/11 15:57 SPY1221M100 SPY Jan21'12 100 put LONG 1 0.32 12/14 15:57 0.31 0.01%
Trade id #68970353
Max drawdown($1)
Time12/14/11 15:57
Quant open0
Worst price0.31
Drawdown as % of equity-0.01%
 ($3)
Includes Typical Broker Commissions trade costs of $2.00
10/24/11 9:36 DIA1119W90 DIA Nov19'11 90 put SHORT 1 0.10 11/20 9:02 0.00 0.06%
Trade id #67109911
Max drawdown($5)
Time11/1/11 9:43
Quant open-1
Worst price0.15
Drawdown as % of equity-0.06%
 $9
Includes Typical Broker Commissions trade costs of $1.00
11/1/11 9:44 SPXU1119K15 SPXU Nov19'11 15 call LONG 19 1.50 11/3 9:37 0.75 14.09%
Trade id #67472179
Max drawdown($1,425)
Time11/3/11 9:37
Quant open0
Worst price0.75
Drawdown as % of equity-14.09%
 ($1,452)
Includes Typical Broker Commissions trade costs of $26.60
10/27/11 10:41 F1104W12 F Nov4'11 12 put LONG 30 0.41 11/1 9:42 0.79 5.83%
Trade id #67285090
Max drawdown($540)
Time10/27/11 13:53
Quant open30
Worst price0.23
Drawdown as % of equity-5.83%
 $1,098
Includes Typical Broker Commissions trade costs of $42.00
10/25/11 11:03 CORN1119W43 CORN Nov19'11 43 put LONG 10 1.25 10/27 10:30 1.05 3.24%
Trade id #67182606
Max drawdown($300)
Time10/27/11 10:28
Quant open10
Worst price0.95
Drawdown as % of equity-3.24%
 ($214)
Includes Typical Broker Commissions trade costs of $14.00
10/24/11 11:06 CROX1119K16 CROX Nov19'11 16 call LONG 10 1.65 10/25 11:02 1.50 1.6%
Trade id #67115713
Max drawdown($150)
Time10/24/11 12:13
Quant open10
Worst price1.50
Drawdown as % of equity-1.60%
 ($164)
Includes Typical Broker Commissions trade costs of $14.00
10/24/11 9:30 RUT1119K810 RUT.X Nov19'11 810 call SHORT 1 0.88 10/24 10:50 1.25 0.4%
Trade id #67112241
Max drawdown($37)
Time10/24/11 10:50
Quant open0
Worst price1.25
Drawdown as % of equity-0.40%
 ($39)
Includes Typical Broker Commissions trade costs of $2.00
10/4/11 9:59 BAC1122V4 BAC Oct22'11 4 put LONG 316 0.17 10/23 9:03 0.00 53.9%
Trade id #66392725
Max drawdown($5,221)
Time10/23/11 9:03
Quant open0
Worst price0.00
Drawdown as % of equity-53.90%
 ($5,442)
Includes Typical Broker Commissions trade costs of $221.20
9/28/11 9:40 IWM1122V50 IWM Oct22'11 50 put SHORT 3 0.15 10/23 9:03 0.00 0.55%
Trade id #66197943
Max drawdown($81)
Time10/4/11 9:57
Quant open-3
Worst price0.42
Drawdown as % of equity-0.55%
 $43
Includes Typical Broker Commissions trade costs of $2.10
9/14/11 11:36 SPY1122V90 SPY Oct22'11 90 put SHORT 1 0.38 10/23 9:01 0.00 0.05%
Trade id #65689001
Max drawdown($8)
Time10/4/11 9:57
Quant open-1
Worst price0.46
Drawdown as % of equity-0.05%
 $37
Includes Typical Broker Commissions trade costs of $1.00
9/16/11 12:07 RUT1122V500 RUT.X Oct22'11 500 put SHORT 1 1.20 10/22 10:06 0.00 2.19%
Trade id #65775045
Max drawdown($320)
Time10/4/11 9:31
Quant open-1
Worst price4.40
Drawdown as % of equity-2.19%
 $119
Includes Typical Broker Commissions trade costs of $1.00
9/20/11 12:46 OIH1122V95 OIH Oct22'11 95 put SHORT 4 1.43 10/4 9:30 5.35 10.74%
Trade id #65887971
Max drawdown($1,570)
Time10/4/11 9:30
Quant open0
Worst price5.35
Drawdown as % of equity-10.74%
 ($1,576)
Includes Typical Broker Commissions trade costs of $6.20
9/23/11 11:55 NLY1122V20 NLY Oct22'11 20 put LONG 15 3.15 9/27 10:49 3.10 0.5%
Trade id #66040532
Max drawdown($75)
Time9/26/11 9:31
Quant open15
Worst price3.10
Drawdown as % of equity-0.50%
 ($96)
Includes Typical Broker Commissions trade costs of $21.00
9/22/11 13:29 SPY1122V112 SPY Oct22'11 112 put LONG 4 4.52 9/23 11:53 4.22 1.74%
Trade id #65995946
Max drawdown($268)
Time9/23/11 11:22
Quant open4
Worst price3.85
Drawdown as % of equity-1.74%
 ($126)
Includes Typical Broker Commissions trade costs of $5.60
9/19/11 14:41 SPY1122V119 SPY Oct22'11 119 put LONG 5 3.93 9/20 11:17 2.99 3.02%
Trade id #65843171
Max drawdown($491)
Time9/20/11 11:16
Quant open5
Worst price2.95
Drawdown as % of equity-3.02%
 ($478)
Includes Typical Broker Commissions trade costs of $7.30
9/19/11 14:39 SPY1122V119 SPY Oct22'11 119 put SHORT 1 3.99 9/19 14:41 3.98 n/a ($1)
Includes Typical Broker Commissions trade costs of $2.00
9/13/11 11:48 INTC1117L25 INTC Dec17'11 25 call LONG 200 0.14 9/19 12:47 0.26 1.38%
Trade id #65642879
Max drawdown($200)
Time9/13/11 12:59
Quant open200
Worst price0.13
Drawdown as % of equity-1.38%
 $2,120
Includes Typical Broker Commissions trade costs of $280.00
9/16/11 13:59 IR1122J40 IR Oct22'11 40 call LONG 8 0.70 9/19 11:45 0.35 1.58%
Trade id #65779384
Max drawdown($280)
Time9/19/11 9:41
Quant open8
Worst price0.35
Drawdown as % of equity-1.58%
 ($291)
Includes Typical Broker Commissions trade costs of $11.20
9/6/11 10:46 DIA1117U101.75 DIA Sep17'11 101.75 put SHORT 1 0.78 9/18 9:02 0.00 n/a $77
Includes Typical Broker Commissions trade costs of $1.00
8/17/11 15:57 IWM1117U55 IWM Sep17'11 55 put SHORT 2 0.38 9/18 9:01 0.00 0.52%
Trade id #64724617
Max drawdown($52)
Time8/18/11 10:09
Quant open-1
Worst price0.72
Drawdown as % of equity-0.52%
 $73
Includes Typical Broker Commissions trade costs of $2.00
8/3/11 10:18 GLD1117U160 GLD Sep17'11 160 put SHORT 1 2.93 9/18 9:01 0.00 0.02%
Trade id #64166886
Max drawdown($3)
Time8/25/11 9:31
Quant open-1
Worst price2.96
Drawdown as % of equity-0.02%
 $292
Includes Typical Broker Commissions trade costs of $1.00
9/2/11 13:10 GLD1117U174 GLD Sep17'11 174 put SHORT 1 1.02 9/15 11:53 1.77 1.96%
Trade id #65304515
Max drawdown($278)
Time9/7/11 10:25
Quant open-1
Worst price3.80
Drawdown as % of equity-1.96%
 ($77)
Includes Typical Broker Commissions trade costs of $2.00
8/22/11 14:03 GLD1117U175 GLD Sep17'11 175 put SHORT 1 2.33 9/13 11:57 1.35 1.36%
Trade id #64882364
Max drawdown($192)
Time9/7/11 10:25
Quant open-1
Worst price4.25
Drawdown as % of equity-1.36%
 $96
Includes Typical Broker Commissions trade costs of $2.00
8/25/11 12:07 OIH1117U90 OIH Sep17'11 90 put SHORT 1 0.37 9/13 11:50 0.05 0.09%
Trade id #65019426
Max drawdown($13)
Time8/26/11 9:31
Quant open-1
Worst price0.50
Drawdown as % of equity-0.09%
 $30
Includes Typical Broker Commissions trade costs of $2.00
9/12/11 13:57 GLD1122V176 GLD Oct22'11 176 put LONG 1 8.00 9/13 11:44 6.55 1.1%
Trade id #65603239
Max drawdown($160)
Time9/13/11 11:16
Quant open1
Worst price6.40
Drawdown as % of equity-1.10%
 ($147)
Includes Typical Broker Commissions trade costs of $2.00
8/10/11 12:26 DIA1117U106.75 DIA Sep17'11 106.75 put SHORT 1 4.05 9/6 10:45 1.81 0.68%
Trade id #64469681
Max drawdown($65)
Time8/10/11 15:56
Quant open-1
Worst price4.70
Drawdown as % of equity-0.68%
 $222
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    7/10/2011
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4665.59
  • Age
    156 months ago
  • What it trades
    Options
  • # Trades
    55
  • # Profitable
    23
  • % Profitable
    41.80%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    59.74%
  • drawdown period
    Sept 16, 2011 - Jan 07, 2012
  • Annual Return (Compounded)
    -2.7%
  • Avg win
    $529.57
  • Avg loss
    $419.25
  • Model Account Values (Raw)
  • Cash
    $8,764
  • Margin Used
    $0
  • Buying Power
    $8,764
  • Ratios
  • W:L ratio
    0.91:1
  • Sharpe Ratio
    -0.23
  • Sortino Ratio
    -0.35
  • Calmar Ratio
    -0.076
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -305.03%
  • Correlation to SP500
    -0.02770
  • Return Percent SP500 (cumu) during strategy life
    272.87%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.7%
  • Slump
  • Current Slump as Pcnt Equity
    147.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.027%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
    100.00%
  • 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
    $419
  • Avg Win
    $530
  • Sum Trade PL (losers)
    $13,416.000
  • Age
  • Num Months filled monthly returns table
    154
  • Win / Loss
  • Sum Trade PL (winners)
    $12,180.000
  • # Winners
    23
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    32
  • % Winners
    41.8%
  • Frequency
  • Avg Position Time (mins)
    13521.30
  • Avg Position Time (hrs)
    225.36
  • Avg Trade Length
    9.4 days
  • Last Trade Ago
    4470
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.02
  • Treynor Index
    0.46
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    11.51
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.19
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.61
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -12.817
  • 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
    0.17
  • Avg(MAE) / Avg(PL) - Winning trades
    0.191
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.084
  • Hold-and-Hope Ratio
    -0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00775
  • SD
    0.38331
  • Sharpe ratio (Glass type estimate)
    -0.02021
  • Sharpe ratio (Hedges UMVUE)
    -0.01981
  • df
    39.00000
  • t
    -0.03689
  • p
    0.51462
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05345
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05371
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04131
  • Upside Potential Ratio
    0.96385
  • Upside part of mean
    0.18073
  • Downside part of mean
    -0.18847
  • Upside SD
    0.32879
  • Downside SD
    0.18750
  • N nonnegative terms
    2.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.42025
  • Mean of criterion
    -0.00775
  • SD of predictor
    0.26806
  • SD of criterion
    0.38331
  • Covariance
    0.00402
  • r
    0.03914
  • b (slope, estimate of beta)
    0.05597
  • a (intercept, estimate of alpha)
    -0.03127
  • Mean Square Error
    0.15056
  • DF error
    38.00000
  • t(b)
    0.24149
  • p(b)
    0.40524
  • t(a)
    -0.13375
  • p(a)
    0.55285
  • Lowerbound of 95% confidence interval for beta
    -0.41326
  • Upperbound of 95% confidence interval for beta
    0.52521
  • Lowerbound of 95% confidence interval for alpha
    -0.50455
  • Upperbound of 95% confidence interval for alpha
    0.44201
  • Treynor index (mean / b)
    -0.13837
  • Jensen alpha (a)
    -0.03127
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06749
  • SD
    0.33797
  • Sharpe ratio (Glass type estimate)
    -0.19968
  • Sharpe ratio (Hedges UMVUE)
    -0.19581
  • df
    39.00000
  • t
    -0.36457
  • p
    0.64130
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87598
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87858
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31578
  • Upside Potential Ratio
    0.66178
  • Upside part of mean
    0.14143
  • Downside part of mean
    -0.20892
  • Upside SD
    0.25705
  • Downside SD
    0.21371
  • N nonnegative terms
    2.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.38065
  • Mean of criterion
    -0.06749
  • SD of predictor
    0.25237
  • SD of criterion
    0.33797
  • Covariance
    0.00486
  • r
    0.05694
  • b (slope, estimate of beta)
    0.07625
  • a (intercept, estimate of alpha)
    -0.09651
  • Mean Square Error
    0.11685
  • DF error
    38.00000
  • t(b)
    0.35156
  • p(b)
    0.36355
  • t(a)
    -0.47165
  • p(a)
    0.68006
  • Lowerbound of 95% confidence interval for beta
    -0.36283
  • Upperbound of 95% confidence interval for beta
    0.51533
  • Lowerbound of 95% confidence interval for alpha
    -0.51075
  • Upperbound of 95% confidence interval for alpha
    0.31773
  • Treynor index (mean / b)
    -0.88505
  • Jensen alpha (a)
    -0.09651
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15304
  • Expected Shortfall on VaR
    0.18635
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05302
  • Expected Shortfall on VaR
    0.11281
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.72720
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.60261
  • Mean of quarter 1
    0.94593
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06080
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.07500
  • Mean of outliers low
    0.81977
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.15200
  • 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)
    -0.95282
  • VaR(95%) (regression method)
    0.17322
  • Expected Shortfall (regression method)
    0.26811
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08826
  • Quartile 1
    0.16705
  • Median
    0.24584
  • Quartile 3
    0.32463
  • Maximum
    0.40342
  • Mean of quarter 1
    0.08826
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.40342
  • Inter Quartile Range
    0.15758
  • 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)
    -0.03708
  • Compounded annual return (geometric extrapolation)
    -0.03881
  • Calmar ratio (compounded annual return / max draw down)
    -0.09620
  • Compounded annual return / average of 25% largest draw downs
    -0.09620
  • Compounded annual return / Expected Shortfall lognormal
    -0.20825
  • 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
    -0.04018
  • SD
    0.23702
  • Sharpe ratio (Glass type estimate)
    -0.16951
  • Sharpe ratio (Hedges UMVUE)
    -0.16936
  • df
    874.00000
  • t
    -0.30978
  • p
    0.62160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90305
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90316
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27470
  • Upside Potential Ratio
    2.15546
  • Upside part of mean
    0.31526
  • Downside part of mean
    -0.35543
  • Upside SD
    0.18636
  • Downside SD
    0.14626
  • N nonnegative terms
    50.00000
  • N negative terms
    825.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    875.00000
  • Mean of predictor
    0.43331
  • Mean of criterion
    -0.04018
  • SD of predictor
    0.35048
  • SD of criterion
    0.23702
  • Covariance
    -0.00026
  • r
    -0.00318
  • b (slope, estimate of beta)
    -0.00215
  • a (intercept, estimate of alpha)
    -0.03900
  • Mean Square Error
    0.05624
  • DF error
    873.00000
  • t(b)
    -0.09403
  • p(b)
    0.53745
  • t(a)
    -0.30154
  • p(a)
    0.61846
  • Lowerbound of 95% confidence interval for beta
    -0.04708
  • Upperbound of 95% confidence interval for beta
    0.04277
  • Lowerbound of 95% confidence interval for alpha
    -0.29469
  • Upperbound of 95% confidence interval for alpha
    0.21620
  • Treynor index (mean / b)
    18.66830
  • Jensen alpha (a)
    -0.03925
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06741
  • SD
    0.23214
  • Sharpe ratio (Glass type estimate)
    -0.29038
  • Sharpe ratio (Hedges UMVUE)
    -0.29013
  • df
    874.00000
  • t
    -0.53067
  • p
    0.70211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78227
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36271
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78244
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43614
  • Upside Potential Ratio
    1.93767
  • Upside part of mean
    0.29949
  • Downside part of mean
    -0.36690
  • Upside SD
    0.17308
  • Downside SD
    0.15456
  • N nonnegative terms
    50.00000
  • N negative terms
    825.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    875.00000
  • Mean of predictor
    0.37367
  • Mean of criterion
    -0.06741
  • SD of predictor
    0.34212
  • SD of criterion
    0.23214
  • Covariance
    -0.00036
  • r
    -0.00459
  • b (slope, estimate of beta)
    -0.00311
  • a (intercept, estimate of alpha)
    -0.06625
  • Mean Square Error
    0.05395
  • DF error
    873.00000
  • t(b)
    -0.13548
  • p(b)
    0.55387
  • t(a)
    -0.52004
  • p(a)
    0.69842
  • Lowerbound of 95% confidence interval for beta
    -0.04819
  • Upperbound of 95% confidence interval for beta
    0.04196
  • Lowerbound of 95% confidence interval for alpha
    -0.31628
  • Upperbound of 95% confidence interval for alpha
    0.18378
  • Treynor index (mean / b)
    21.66600
  • Jensen alpha (a)
    -0.06625
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02357
  • Expected Shortfall on VaR
    0.02939
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00454
  • Expected Shortfall on VaR
    0.01024
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    875.00000
  • Minimum
    0.85494
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.20991
  • Mean of quarter 1
    0.99498
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00483
  • Inter Quartile Range
    0.00000
  • Number outliers low
    55.00000
  • Percentage of outliers low
    0.06286
  • Mean of outliers low
    0.98001
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.05829
  • Mean of outliers high
    1.02075
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.36906
  • VaR(95%) (moments method)
    0.00022
  • Expected Shortfall (moments method)
    0.00283
  • Extreme Value Index (regression method)
    0.16242
  • VaR(95%) (regression method)
    -0.00009
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02765
  • Quartile 1
    0.05586
  • Median
    0.08289
  • Quartile 3
    0.20281
  • Maximum
    0.50972
  • Mean of quarter 1
    0.02765
  • Mean of quarter 2
    0.06527
  • Mean of quarter 3
    0.10051
  • Mean of quarter 4
    0.50972
  • Inter Quartile Range
    0.14695
  • 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
    0.25000
  • Mean of outliers high
    0.50972
  • 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)
    -0.03701
  • Compounded annual return (geometric extrapolation)
    -0.03873
  • Calmar ratio (compounded annual return / max draw down)
    -0.07599
  • Compounded annual return / average of 25% largest draw downs
    -0.07599
  • Compounded annual return / Expected Shortfall lognormal
    -1.31812
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.07198
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.50576
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.94749
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.49294
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6818340000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    99384999999999997505003434541056.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -465485000
  • Max Equity Drawdown (num days)
    113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

This is a system that will use credit spreads, naked put and long options to make its profits. Nothing fancy, just slow boring trades that will make you money over time. I have made alot of money trading the markets, but winning big mean you can lose big too if you do not manage risk. Having different goals moving at different speeds is the best way to get everything you want in life.

We also participate in huge swing in the market, these are the trades that will make very fast money in short periods. They will not be the main objective. They are used as a supplement to the portfolio. This is mentioned in my upcoming book Epimoni: Successful financial market investing. There are two main vehicle in the market, one is a daily driver (less risk, low return), the other is the race car (higher risk, higher returns). Having only a rce car is foolish, they are designed to go fast but require high maintenance and are expensive to fix when they brake. Having a good balance between the race car and the the everyday car is crucial to longevity in the market.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-07-10
Suggested Minimum Capital
$10,000
# Trades
55
# Profitable
23
% Profitable
41.8%
Correlation S&P500
-0.028
Sharpe Ratio
-0.23
Sortino Ratio
-0.35
Beta
-0.02
Alpha
-0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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.