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Spiderman
(65857075)

Created by: WeiHuang WeiHuang
Started: 09/2011
Options
Last trade: 3,016 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 $20.00 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.

-5.6%
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.

(82.8%)
Max Drawdown
179
Num Trades
89.9%
Win Trades
0.8 : 1
Profit Factor
51.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                        (1.1%)+0.4%+1.2%+0.6%+1.0%
2012+1.3%+1.0%+0.8%+0.4%(2.2%)+1.7%  -  +1.8%+0.7%+0.2%+1.4%(0.6%)+6.6%
2013+2.0%(0.3%)+2.0%+0.4%+0.1%(1.1%)+2.1%(0.5%)+1.9%+1.6%+0.8%+0.7%+10.1%
2014(0.2%)(1.2%)(0.6%)+0.4%+5.5%(0.4%)+3.0%+2.7%(1.3%)(0.2%)+3.2%(3.3%)+7.5%
2015(2.4%)+2.2%(6.3%)+15.8%+1.8%(4.8%)(4.8%)(17.4%)+3.3%+25.4%(3.6%)+5.6%+8.6%
2016(19%)+6.4%+3.9%+3.9%(14.1%)+11.1%+1.9%(0.3%)(20.5%)+6.6%(4%)+1.7%(25.6%)
2017(12.2%)(1.2%)+4.9%+3.1%  -  (1.9%)+4.5%+6.2%+14.0%+6.4%(19.5%)+1.3%+0.9%
2018+7.0%(0.3%)(12.7%)(10%)+8.4%+1.5%+0.1%(6.2%)+2.8%(11.5%)+2.1%(1.6%)(20.8%)
2019+8.0%+1.9%(4.7%)(0.6%)+0.7%(1.1%)(6.3%)+5.4%+3.8%(3.8%)+8.0%+2.5%+13.4%
2020+0.8%(6.5%)(17.4%)+10.9%+2.9%+14.9%(1.9%)+24.7%(2.7%)(4.9%)+15.2%(4.5%)+27.1%
2021(15.5%)(0.5%)+0.3%+1.8%(3.9%)+9.9%(3.3%)+4.8%+12.5%(6.5%)+9.1%(21.1%)(16.7%)
2022(2.1%)(44.1%)(1.5%)(1.7%)(0.5%)(3%)+1.2%(1%)(1.7%)+1.1%(0.6%)(2%)(50.3%)
2023+1.5%(0.9%)(1%)+0.3%+2.4%(35.6%)+58.0%(3.4%)(0.4%)(0.7%)(0.7%)+2.4%+1.0%
2024(0.2%)(0.7%)(0.3%)(0.6%)                                                (1.8%)

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 120 hours.

Trading Record

This strategy has placed 157 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3180 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/9/14 13:28 KO1615M33 KO Jan15'16 33 put SHORT 2 0.61 1/16/16 9:10 0.00 0.34%
Trade id #90166700
Max drawdown($50)
Time10/21/14 10:07
Quant open-1
Worst price1.14
Drawdown as % of equity-0.34%
 $121
Includes Typical Broker Commissions trade costs of $2.00
9/24/14 12:54 ORCL1615M28 ORCL Jan15'16 28 put SHORT 2 0.67 1/16/16 9:10 0.00 0.24%
Trade id #89875036
Max drawdown($32)
Time8/24/15 9:46
Quant open-2
Worst price0.83
Drawdown as % of equity-0.24%
 $131
Includes Typical Broker Commissions trade costs of $2.00
4/9/14 13:02 YGE1615M3 YGE Jan15'16 3 put SHORT 1 0.95 1/16/16 9:10 0.00 0.75%
Trade id #86959653
Max drawdown($125)
Time11/1/15 8:51
Quant open1
Worst price0.00
Drawdown as % of equity-0.75%
 $94
Includes Typical Broker Commissions trade costs of $1.00
8/8/14 11:36 YUM1615M45 YUM Jan15'16 45 put SHORT 1 1.07 1/16/16 9:10 0.00 0.12%
Trade id #88997598
Max drawdown($17)
Time10/16/14 11:09
Quant open-1
Worst price1.24
Drawdown as % of equity-0.12%
 $106
Includes Typical Broker Commissions trade costs of $1.00
4/30/15 14:00 XOM1615M65 XOM Jan15'16 65 put SHORT 1 0.71 1/16/16 9:08 0.00 0.95%
Trade id #94171435
Max drawdown($155)
Time10/22/15 14:53
Quant open-1
Worst price2.26
Drawdown as % of equity-0.95%
 $70
Includes Typical Broker Commissions trade costs of $1.00
4/23/15 10:53 MSFT1615M33 MSFT Jan15'16 33 put SHORT 2 0.52 1/16/16 9:08 0.00 0.23%
Trade id #94030343
Max drawdown($30)
Time9/4/15 15:07
Quant open-2
Worst price0.67
Drawdown as % of equity-0.23%
 $102
Includes Typical Broker Commissions trade costs of $2.00
6/25/15 11:08 KZ1518X7.5 KZ Dec18'15 7.5 put SHORT 1 0.85 12/19 9:00 0.00 0.21%
Trade id #95452910
Max drawdown($35)
Time11/5/15 8:37
Quant open1
Worst price0.00
Drawdown as % of equity-0.21%
 $84
Includes Typical Broker Commissions trade costs of $1.00
6/12/15 12:48 JASO1518X9 JASO Dec18'15 9 put SHORT 2 0.65 12/19 9:00 0.00 0.01%
Trade id #94981929
Max drawdown($1)
Time11/23/15 15:42
Quant open-2
Worst price0.66
Drawdown as % of equity-0.01%
 $129
Includes Typical Broker Commissions trade costs of $1.40
3/12/15 13:22 AXP1516V65 AXP Oct16'15 65 put SHORT 1 0.94 10/17 9:13 0.00 0.23%
Trade id #93186671
Max drawdown($30)
Time8/24/15 9:31
Quant open-1
Worst price1.25
Drawdown as % of equity-0.23%
 $93
Includes Typical Broker Commissions trade costs of $1.00
3/12/15 13:39 INTC1516V24 INTC Oct16'15 24 put SHORT 2 0.50 10/17 9:12 0.00 0.05%
Trade id #93187286
Max drawdown($7)
Time3/13/15 12:22
Quant open-1
Worst price0.55
Drawdown as % of equity-0.05%
 $98
Includes Typical Broker Commissions trade costs of $2.00
3/25/15 14:35 HAL1516V33 HAL Oct16'15 33 put SHORT 1 0.60 10/17 9:12 0.00 0.13%
Trade id #93483826
Max drawdown($18)
Time9/28/15 12:42
Quant open-1
Worst price0.78
Drawdown as % of equity-0.13%
 $59
Includes Typical Broker Commissions trade costs of $1.00
3/26/15 11:39 LC1516V15 LC Oct16'15 15 put SHORT 2 0.83 10/17 9:11 0.00 2.1%
Trade id #93509700
Max drawdown($294)
Time10/2/15 12:35
Quant open-2
Worst price2.30
Drawdown as % of equity-2.10%
 $164
Includes Typical Broker Commissions trade costs of $2.00
4/13/15 12:00 DSKY1516V7.5 DSKY Oct16'15 7.5 put SHORT 4 0.82 10/17 9:11 0.00 0.36%
Trade id #93821458
Max drawdown($60)
Time5/6/15 10:59
Quant open-2
Worst price1.30
Drawdown as % of equity-0.36%
 $327
Includes Typical Broker Commissions trade costs of $3.40
6/12/15 12:53 BITA1516V45 BITA Oct16'15 45 put SHORT 1 1.55 10/17 9:11 0.00 7.38%
Trade id #94982007
Max drawdown($1,165)
Time10/15/15 11:56
Quant open-1
Worst price13.20
Drawdown as % of equity-7.38%
 $154
Includes Typical Broker Commissions trade costs of $1.00
7/21/15 11:00 YOKU1518U16 YOKU Sep18'15 16 put SHORT 1 0.50 9/19 9:04 0.00 0.86%
Trade id #95984159
Max drawdown($105)
Time8/25/15 15:46
Quant open-1
Worst price1.55
Drawdown as % of equity-0.86%
 $49
Includes Typical Broker Commissions trade costs of $1.00
6/12/15 12:45 KNDI1518U9 KNDI Sep18'15 9 put SHORT 1 0.80 9/19 9:02 0.00 1.97%
Trade id #94981888
Max drawdown($250)
Time8/24/15 13:19
Quant open-1
Worst price3.30
Drawdown as % of equity-1.97%
 $79
Includes Typical Broker Commissions trade costs of $1.00
4/13/15 12:04 YOKU1518I16 YOKU Sep18'15 16 call SHORT 1 1.18 9/19 9:02 0.00 1%
Trade id #93821576
Max drawdown($132)
Time8/27/15 12:31
Quant open-1
Worst price2.50
Drawdown as % of equity-1.00%
 $117
Includes Typical Broker Commissions trade costs of $1.00
3/5/15 11:22 YOKU YOUKU TUDOU LONG 200 15.84 9/19 9:02 16.00 1.42%
Trade id #92957758
Max drawdown($192)
Time8/24/15 5:59
Quant open100
Worst price13.92
Drawdown as % of equity-1.42%
 $27
Includes Typical Broker Commissions trade costs of $4.00
5/14/15 11:38 QIHU1518U42.5 QIHU Sep18'15 42.5 put SHORT 1 1.60 9/19 9:02 0.00 0.41%
Trade id #94427447
Max drawdown($50)
Time8/26/15 10:19
Quant open-1
Worst price2.10
Drawdown as % of equity-0.41%
 $159
Includes Typical Broker Commissions trade costs of $1.00
5/1/15 14:51 BABA1518U65 BABA Sep18'15 65 put SHORT 1 1.11 9/19 9:02 0.00 3.21%
Trade id #94198024
Max drawdown($419)
Time9/8/15 15:56
Quant open-1
Worst price5.30
Drawdown as % of equity-3.21%
 $110
Includes Typical Broker Commissions trade costs of $1.00
5/18/15 10:02 YNDX1521H19 YNDX Aug21'15 19 call SHORT 1 1.60 8/22 9:10 0.00 0.06%
Trade id #94476800
Max drawdown($10)
Time5/18/15 10:06
Quant open-1
Worst price1.70
Drawdown as % of equity-0.06%
 $159
Includes Typical Broker Commissions trade costs of $1.00
1/2/15 12:41 JMEI JUMEI INTERNATIONAL HOLDING LT LONG 200 13.16 7/18 9:07 13.75 1.13%
Trade id #91634423
Max drawdown($167)
Time1/16/15 8:18
Quant open100
Worst price12.10
Drawdown as % of equity-1.13%
 $113
Includes Typical Broker Commissions trade costs of $4.00
2/23/15 10:18 JMEI1517G15 JMEI Jul17'15 15 call SHORT 1 0.98 7/18 9:07 0.00 5.74%
Trade id #92688461
Max drawdown($1,001)
Time6/18/15 9:58
Quant open-1
Worst price11.00
Drawdown as % of equity-5.74%
 $97
Includes Typical Broker Commissions trade costs of $1.00
3/19/15 13:44 YOKU1519F16 YOKU Jun19'15 16 call SHORT 1 0.90 6/20 9:01 0.00 7.83%
Trade id #93353002
Max drawdown($1,360)
Time5/22/15 13:19
Quant open-1
Worst price14.50
Drawdown as % of equity-7.83%
 $89
Includes Typical Broker Commissions trade costs of $1.00
1/15/15 10:31 YOKU1519R14 YOKU Jun19'15 14 put SHORT 1 0.84 6/20 9:00 0.00 0.04%
Trade id #91887698
Max drawdown($6)
Time4/14/15 10:56
Quant open-1
Worst price0.91
Drawdown as % of equity-0.04%
 $83
Includes Typical Broker Commissions trade costs of $1.00
10/24/14 12:54 IBM INTERNATIONAL BUSINESS MACHINES LONG 5 161.67 6/1/15 12:27 170.40 0.03%
Trade id #90434920
Max drawdown($5)
Time4/20/15 8:32
Quant open5
Worst price160.67
Drawdown as % of equity-0.03%
 $44
Includes Typical Broker Commissions trade costs of $0.10
1/20/15 11:24 YNDX1515E20 YNDX May15'15 20 call SHORT 1 1.00 5/16 10:08 0.00 0.49%
Trade id #91976759
Max drawdown($80)
Time4/23/15 13:02
Quant open-1
Worst price1.80
Drawdown as % of equity-0.49%
 $99
Includes Typical Broker Commissions trade costs of $1.00
11/26/14 11:53 CCIH1515Q7.5 CCIH May15'15 7.5 put SHORT 1 0.80 5/16/15 10:06 0.00 0.02%
Trade id #91010484
Max drawdown($3)
Time12/24/14 10:16
Quant open-1
Worst price0.84
Drawdown as % of equity-0.02%
 $79
Includes Typical Broker Commissions trade costs of $1.00
2/23/15 10:53 QIHU1517P42.5 QIHU Apr17'15 42.5 put SHORT 1 1.00 4/18 9:10 0.00 0.07%
Trade id #92689774
Max drawdown($9)
Time3/17/15 9:31
Quant open-1
Worst price1.10
Drawdown as % of equity-0.07%
 $99
Includes Typical Broker Commissions trade costs of $1.00
3/5/15 11:28 YNDX1517D16 YNDX Apr17'15 16 call SHORT 1 0.78 4/18 9:06 0.00 2.63%
Trade id #92957983
Max drawdown($431)
Time4/16/15 15:52
Quant open-1
Worst price5.10
Drawdown as % of equity-2.63%
 $77
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    9/19/2011
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4587
  • Age
    153 months ago
  • What it trades
    Stocks, Options
  • # Trades
    179
  • # Profitable
    161
  • % Profitable
    89.90%
  • Avg trade duration
    272.8 days
  • Max peak-to-valley drawdown
    82.85%
  • drawdown period
    May 12, 2015 - Jan 08, 2024
  • Annual Return (Compounded)
    -5.6%
  • Avg win
    $61.22
  • Avg loss
    $682.94
  • Model Account Values (Raw)
  • Cash
    $11,497
  • Margin Used
    $0
  • Buying Power
    $7,914
  • Ratios
  • W:L ratio
    0.83:1
  • Sharpe Ratio
    -0.06
  • Sortino Ratio
    -0.08
  • Calmar Ratio
    -0.067
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -379.93%
  • Correlation to SP500
    0.25620
  • Return Percent SP500 (cumu) during strategy life
    316.17%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.6%
  • Slump
  • Current Slump as Pcnt Equity
    227.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.056%
  • Instruments
  • Percent Trades Options
    0.76%
  • Percent Trades Stocks
    0.24%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.9%
  • 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
    n/a
  • 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
    $683
  • Avg Win
    $61
  • Sum Trade PL (losers)
    $12,293.000
  • Age
  • Num Months filled monthly returns table
    152
  • Win / Loss
  • Sum Trade PL (winners)
    $9,857.000
  • # Winners
    161
  • Num Months Winners
    79
  • Dividends
  • Dividends Received in Model Acct
    310
  • Win / Loss
  • # Losers
    18
  • % Winners
    89.9%
  • Frequency
  • Avg Position Time (mins)
    392771.00
  • Avg Position Time (hrs)
    6546.19
  • Avg Trade Length
    272.8 days
  • Last Trade Ago
    3008
  • Regression
  • Alpha
    -0.02
  • Beta
    0.52
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.61
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    6.720
  • 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
    0.35
  • Avg(MAE) / Avg(PL) - Winning trades
    0.889
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.367
  • Hold-and-Hope Ratio
    -0.136
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02857
  • SD
    0.28059
  • Sharpe ratio (Glass type estimate)
    -0.10182
  • Sharpe ratio (Hedges UMVUE)
    -0.10063
  • df
    64.00000
  • t
    -0.23698
  • p
    0.59329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94375
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.74089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94294
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74169
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.12675
  • Upside Potential Ratio
    1.05791
  • Upside part of mean
    0.23847
  • Downside part of mean
    -0.26704
  • Upside SD
    0.16363
  • Downside SD
    0.22541
  • N nonnegative terms
    42.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.23572
  • Mean of criterion
    -0.02857
  • SD of predictor
    0.18532
  • SD of criterion
    0.28059
  • Covariance
    0.02099
  • r
    0.40368
  • b (slope, estimate of beta)
    0.61118
  • a (intercept, estimate of alpha)
    -0.17264
  • Mean Square Error
    0.06695
  • DF error
    63.00000
  • t(b)
    3.50216
  • p(b)
    0.00043
  • t(a)
    -1.45640
  • p(a)
    0.92488
  • Lowerbound of 95% confidence interval for beta
    0.26244
  • Upperbound of 95% confidence interval for beta
    0.95993
  • Lowerbound of 95% confidence interval for alpha
    -0.40952
  • Upperbound of 95% confidence interval for alpha
    0.06424
  • Treynor index (mean / b)
    -0.04675
  • Jensen alpha (a)
    -0.17264
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07262
  • SD
    0.31097
  • Sharpe ratio (Glass type estimate)
    -0.23353
  • Sharpe ratio (Hedges UMVUE)
    -0.23078
  • df
    64.00000
  • t
    -0.54351
  • p
    0.70567
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07572
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61046
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07386
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61230
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26804
  • Upside Potential Ratio
    0.83455
  • Upside part of mean
    0.22611
  • Downside part of mean
    -0.29873
  • Upside SD
    0.14917
  • Downside SD
    0.27093
  • N nonnegative terms
    42.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.21772
  • Mean of criterion
    -0.07262
  • SD of predictor
    0.17294
  • SD of criterion
    0.31097
  • Covariance
    0.01958
  • r
    0.36407
  • b (slope, estimate of beta)
    0.65467
  • a (intercept, estimate of alpha)
    -0.21516
  • Mean Square Error
    0.08522
  • DF error
    63.00000
  • t(b)
    3.10269
  • p(b)
    0.00143
  • t(a)
    -1.61073
  • p(a)
    0.94388
  • Lowerbound of 95% confidence interval for beta
    0.23302
  • Upperbound of 95% confidence interval for beta
    1.07632
  • Lowerbound of 95% confidence interval for alpha
    -0.48209
  • Upperbound of 95% confidence interval for alpha
    0.05178
  • Treynor index (mean / b)
    -0.11093
  • Jensen alpha (a)
    -0.21516
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14248
  • Expected Shortfall on VaR
    0.17360
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03883
  • Expected Shortfall on VaR
    0.09084
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    65.00000
  • Minimum
    0.59590
  • Quartile 1
    0.99241
  • Median
    1.01085
  • Quartile 3
    1.02202
  • Maximum
    1.27952
  • Mean of quarter 1
    0.91851
  • Mean of quarter 2
    1.00388
  • Mean of quarter 3
    1.01618
  • Mean of quarter 4
    1.06632
  • Inter Quartile Range
    0.02960
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.12308
  • Mean of outliers low
    0.85220
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06154
  • Mean of outliers high
    1.16961
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45526
  • VaR(95%) (moments method)
    0.04201
  • Expected Shortfall (moments method)
    0.09776
  • Extreme Value Index (regression method)
    0.85549
  • VaR(95%) (regression method)
    0.07437
  • Expected Shortfall (regression method)
    0.59875
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00658
  • Median
    0.01503
  • Quartile 3
    0.02581
  • Maximum
    0.53681
  • Mean of quarter 1
    0.00288
  • Mean of quarter 2
    0.01131
  • Mean of quarter 3
    0.01838
  • Mean of quarter 4
    0.28502
  • Inter Quartile Range
    0.01923
  • 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
    0.14286
  • Mean of outliers high
    0.53681
  • 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)
    -0.03971
  • Compounded annual return (geometric extrapolation)
    -0.04373
  • Calmar ratio (compounded annual return / max draw down)
    -0.08146
  • Compounded annual return / average of 25% largest draw downs
    -0.15342
  • Compounded annual return / Expected Shortfall lognormal
    -0.25190
  • 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
    -0.00169
  • SD
    0.37076
  • Sharpe ratio (Glass type estimate)
    -0.00457
  • Sharpe ratio (Hedges UMVUE)
    -0.00457
  • df
    1428.00000
  • t
    -0.01067
  • p
    0.50014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84380
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83466
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83467
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00622
  • Upside Potential Ratio
    4.17867
  • Upside part of mean
    1.13710
  • Downside part of mean
    -1.13879
  • Upside SD
    0.25163
  • Downside SD
    0.27212
  • N nonnegative terms
    783.00000
  • N negative terms
    646.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1429.00000
  • Mean of predictor
    0.26768
  • Mean of criterion
    -0.00169
  • SD of predictor
    0.23780
  • SD of criterion
    0.37076
  • Covariance
    0.02596
  • r
    0.29439
  • b (slope, estimate of beta)
    0.45900
  • a (intercept, estimate of alpha)
    -0.12500
  • Mean Square Error
    0.12564
  • DF error
    1427.00000
  • t(b)
    11.63660
  • p(b)
    0.31533
  • t(a)
    -0.81870
  • p(a)
    0.51379
  • Lowerbound of 95% confidence interval for beta
    0.38163
  • Upperbound of 95% confidence interval for beta
    0.53638
  • Lowerbound of 95% confidence interval for alpha
    -0.42300
  • Upperbound of 95% confidence interval for alpha
    0.17389
  • Treynor index (mean / b)
    -0.00369
  • Jensen alpha (a)
    -0.12456
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07168
  • SD
    0.37695
  • Sharpe ratio (Glass type estimate)
    -0.19017
  • Sharpe ratio (Hedges UMVUE)
    -0.19007
  • df
    1428.00000
  • t
    -0.44412
  • p
    0.50588
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02941
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64912
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64919
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24355
  • Upside Potential Ratio
    3.76464
  • Upside part of mean
    1.10805
  • Downside part of mean
    -1.17973
  • Upside SD
    0.23533
  • Downside SD
    0.29433
  • N nonnegative terms
    783.00000
  • N negative terms
    646.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1429.00000
  • Mean of predictor
    0.23892
  • Mean of criterion
    -0.07168
  • SD of predictor
    0.24017
  • SD of criterion
    0.37695
  • Covariance
    0.02677
  • r
    0.29568
  • b (slope, estimate of beta)
    0.46408
  • a (intercept, estimate of alpha)
    -0.18256
  • Mean Square Error
    0.12976
  • DF error
    1427.00000
  • t(b)
    11.69240
  • p(b)
    0.31454
  • t(a)
    -1.18138
  • p(a)
    0.51990
  • Lowerbound of 95% confidence interval for beta
    0.38622
  • Upperbound of 95% confidence interval for beta
    0.54194
  • Lowerbound of 95% confidence interval for alpha
    -0.48570
  • Upperbound of 95% confidence interval for alpha
    0.12058
  • Treynor index (mean / b)
    -0.15446
  • Jensen alpha (a)
    -0.18256
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03784
  • Expected Shortfall on VaR
    0.04713
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00893
  • Expected Shortfall on VaR
    0.02100
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1429.00000
  • Minimum
    0.73561
  • Quartile 1
    0.99828
  • Median
    1.00040
  • Quartile 3
    1.00275
  • Maximum
    1.30220
  • Mean of quarter 1
    0.98332
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00140
  • Mean of quarter 4
    1.01616
  • Inter Quartile Range
    0.00446
  • Number outliers low
    156.00000
  • Percentage of outliers low
    0.10917
  • Mean of outliers low
    0.96718
  • Number of outliers high
    150.00000
  • Percentage of outliers high
    0.10497
  • Mean of outliers high
    1.03145
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.01837
  • VaR(95%) (moments method)
    0.01268
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.68784
  • VaR(95%) (regression method)
    0.01152
  • Expected Shortfall (regression method)
    0.04379
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    85.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00077
  • Median
    0.00178
  • Quartile 3
    0.00634
  • Maximum
    0.64326
  • Mean of quarter 1
    0.00033
  • Mean of quarter 2
    0.00132
  • Mean of quarter 3
    0.00379
  • Mean of quarter 4
    0.05040
  • Inter Quartile Range
    0.00557
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.12941
  • Mean of outliers high
    0.08754
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.03532
  • VaR(95%) (moments method)
    0.03481
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.36539
  • VaR(95%) (regression method)
    0.02565
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03894
  • Compounded annual return (geometric extrapolation)
    -0.04283
  • Calmar ratio (compounded annual return / max draw down)
    -0.06659
  • Compounded annual return / average of 25% largest draw downs
    -0.84990
  • Compounded annual return / Expected Shortfall lognormal
    -0.90888
  • 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
    -0.44861
  • SD
    0.94907
  • Sharpe ratio (Glass type estimate)
    -0.47269
  • Sharpe ratio (Hedges UMVUE)
    -0.46996
  • df
    130.00000
  • t
    -0.33424
  • p
    0.51465
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.24425
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30056
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.24235
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30244
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.63912
  • Upside Potential Ratio
    5.12614
  • Upside part of mean
    3.59816
  • Downside part of mean
    -4.04678
  • Upside SD
    0.63398
  • Downside SD
    0.70192
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.07531
  • Mean of criterion
    -0.44861
  • SD of predictor
    0.57600
  • SD of criterion
    0.94907
  • Covariance
    0.14301
  • r
    0.26160
  • b (slope, estimate of beta)
    0.43104
  • a (intercept, estimate of alpha)
    -0.91212
  • Mean Square Error
    0.84559
  • DF error
    129.00000
  • t(b)
    3.07843
  • p(b)
    0.33538
  • t(a)
    -0.69673
  • p(a)
    0.53895
  • Lowerbound of 95% confidence interval for beta
    0.15401
  • Upperbound of 95% confidence interval for beta
    0.70808
  • Lowerbound of 95% confidence interval for alpha
    -3.50229
  • Upperbound of 95% confidence interval for alpha
    1.67806
  • Treynor index (mean / b)
    -1.04077
  • Jensen alpha (a)
    -0.91212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.90919
  • SD
    0.97254
  • Sharpe ratio (Glass type estimate)
    -0.93486
  • Sharpe ratio (Hedges UMVUE)
    -0.92946
  • df
    130.00000
  • t
    -0.66105
  • p
    0.52894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.70731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.70357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84465
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16726
  • Upside Potential Ratio
    4.39065
  • Upside part of mean
    3.41993
  • Downside part of mean
    -4.32913
  • Upside SD
    0.57885
  • Downside SD
    0.77891
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.90481
  • Mean of criterion
    -0.90919
  • SD of predictor
    0.58693
  • SD of criterion
    0.97254
  • Covariance
    0.15044
  • r
    0.26355
  • b (slope, estimate of beta)
    0.43670
  • a (intercept, estimate of alpha)
    -1.30433
  • Mean Square Error
    0.88697
  • DF error
    129.00000
  • t(b)
    3.10302
  • p(b)
    0.33418
  • t(a)
    -0.97486
  • p(a)
    0.55437
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    0.15826
  • Upperbound of 95% confidence interval for beta
    0.71515
  • Lowerbound of 95% confidence interval for alpha
    -3.95152
  • Upperbound of 95% confidence interval for alpha
    1.34287
  • Treynor index (mean / b)
    -2.08196
  • Jensen alpha (a)
    -1.30433
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09724
  • Expected Shortfall on VaR
    0.11941
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03485
  • Expected Shortfall on VaR
    0.07631
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.73561
  • Quartile 1
    0.98760
  • Median
    1.00000
  • Quartile 3
    1.01219
  • Maximum
    1.30220
  • Mean of quarter 1
    0.94248
  • Mean of quarter 2
    0.99642
  • Mean of quarter 3
    1.00425
  • Mean of quarter 4
    1.05060
  • Inter Quartile Range
    0.02459
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.87304
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.12724
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84103
  • VaR(95%) (moments method)
    0.05821
  • Expected Shortfall (moments method)
    0.38638
  • Extreme Value Index (regression method)
    0.86441
  • VaR(95%) (regression method)
    0.04237
  • Expected Shortfall (regression method)
    0.29566
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01277
  • Quartile 1
    0.05439
  • Median
    0.11668
  • Quartile 3
    0.17252
  • Maximum
    0.61766
  • Mean of quarter 1
    0.03225
  • Mean of quarter 2
    0.06238
  • Mean of quarter 3
    0.17099
  • Mean of quarter 4
    0.39534
  • Inter Quartile Range
    0.11813
  • 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
    0.16667
  • Mean of outliers high
    0.61766
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -359412000
  • Max Equity Drawdown (num days)
    3163
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.71276
  • Compounded annual return (geometric extrapolation)
    -0.58575
  • Calmar ratio (compounded annual return / max draw down)
    -0.94834
  • Compounded annual return / average of 25% largest draw downs
    -1.48164
  • Compounded annual return / Expected Shortfall lognormal
    -4.90551

Strategy Description

I will use monthly or quarterly options of SP500 companies to buy dip. I may buy and hold small amount of great stocks for long time if they happen to trade at a discount price. My favorite sectors are consumer, tech and industrials. Sometimes I will use SP500 index ETF SPY and its weekly or monthly options for short term trading.


To protect the profit, the loss limit rule is defined as following: Every month if the strategy down more than 5%, I will reduce the trading size to half. If the strategy down more than 10%, I will shut down the trading for the whole month.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-09-19
Suggested Minimum Capital
$10,000
# Trades
179
# Profitable
161
% Profitable
89.9%
Net Dividends
$310
Correlation S&P500
0.256
Sharpe Ratio
-0.06
Sortino Ratio
-0.08
Beta
0.52
Alpha
-0.02

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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