Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $145,000 Hypothetical

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Funny Money
(77831633)

Created by: MarkBaeten2 MarkBaeten2
Started: 11/2012
Options
Last trade: 3,408 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 $50.00 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.

-
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.

(100.0%)
Max Drawdown
46
Num Trades
76.1%
Win Trades
0.2 : 1
Profit Factor
18.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                        -  +0.8%+0.8%
2013+1.5%(1.3%)+0.6%+1.9%(0.4%)(2.1%)+0.5%(4.7%)+10.4%+3.0%+7.7%+2.8%+20.7%
2014+0.1%+14.3%+6.3%(6.2%)+7.1%+20.6%+3.2%+3.7%(36.3%)(59.2%)+11.8%(8.8%)(58.2%)
2015+89.5%(18.4%)(48.9%)+45.8%(10.8%)(46%)(88.1%)(22%)(101.3%)(10466.7%)(184.7%)(71.1%)(101.7%)
2016(134.3%)(817.3%)+37.2%+178.0%(46.6%)+88.0%+45.3%(38.8%)(18.3%)(29%)(79.1%)(52.3%)(430.5%)
2017+374.6%+46.0%(50.3%)(233.9%)(5.5%)(3.6%)(1.3%)(8.3%)(10.6%)(1.8%)(0.5%)(1.2%)(552.8%)
2018(0.7%)(11%)(1.6%)(1%)(0.1%)(1.5%)(2.9%)(7.3%)(1.4%)(0.6%)(0.7%)(3.7%)(18%)
2019(4.9%)(1.6%)(2.5%)(5.8%)(2.3%)  -  (14.3%)(8.2%)(4.2%)(3.2%)(9%)-
2020(3.2%)(11.9%)(15.3%)(1860.7%)  -    -  (0.1%)  -  (0.1%)  -  (0.1%)  -  (2510%)
2021  -  (0.1%)  -    -  (0.1%)(0.1%)  -    -    -    -    -    -  (0.1%)
2022  -  (0.1%)(0.1%)  -  (0.1%)(0.1%)  -    -    -    -    -    -  (0.1%)
2023  -  (0.1%)(0.1%)  -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  

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 72 hours.

Trading Record

This strategy has placed 5 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3501 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/23/14 15:27 NUGT1420L40 NUGT Dec20'14 40 call SHORT 4 1.20 12/21 9:06 0.00 0.3%
Trade id #89851756
Max drawdown($60)
Time9/23/14 21:33
Quant open4
Worst price0.00
Drawdown as % of equity-0.30%
 $477
Includes Typical Broker Commissions trade costs of $2.80
10/14/14 12:43 NUGT1420L35 NUGT Dec20'14 35 call SHORT 4 1.00 12/21 9:06 0.00 0%
Trade id #90240309
Max drawdown$0
Time10/24/14 13:40
Quant open-4
Worst price1.00
Drawdown as % of equity0.00%
 $397
Includes Typical Broker Commissions trade costs of $2.80
9/19/14 9:44 SNSS1418V2.5 SNSS Oct18'14 2.5 put SHORT 4 0.40 10/14 12:39 1.30 3.28%
Trade id #89779860
Max drawdown($528)
Time10/14/14 9:31
Quant open-4
Worst price1.72
Drawdown as % of equity-3.28%
 ($366)
Includes Typical Broker Commissions trade costs of $5.60
9/29/14 9:31 NUGT1403J26.5 NUGT Oct3'14 26.5 call SHORT 4 0.80 10/4 9:00 0.00 n/a $317
Includes Typical Broker Commissions trade costs of $2.80
9/22/14 9:46 NUGT1426U26 NUGT Sep26'14 26 put SHORT 4 0.75 9/27 9:00 0.00 0.94%
Trade id #89813668
Max drawdown($188)
Time9/22/14 10:37
Quant open-4
Worst price1.22
Drawdown as % of equity-0.94%
 $297
Includes Typical Broker Commissions trade costs of $2.80
9/16/14 9:30 SNSS1420U4 SNSS Sep20'14 4 put SHORT 5 0.15 9/21 9:09 0.00 0%
Trade id #89702194
Max drawdown$0
Time9/16/14 9:39
Quant open-5
Worst price0.15
Drawdown as % of equity0.00%
 $72
Includes Typical Broker Commissions trade costs of $3.50
8/26/14 11:19 VHC1420U8 VHC Sep20'14 8 put SHORT 6 0.15 9/18 13:34 3.30 10.27%
Trade id #89287058
Max drawdown($2,130)
Time9/18/14 11:21
Quant open-6
Worst price3.70
Drawdown as % of equity-10.27%
 ($1,898)
Includes Typical Broker Commissions trade costs of $8.40
9/9/14 9:39 NUGT1426I40 NUGT Sep26'14 40 call SHORT 4 0.50 9/18 9:34 0.05 0.41%
Trade id #89536255
Max drawdown($100)
Time9/9/14 15:34
Quant open-4
Worst price0.75
Drawdown as % of equity-0.41%
 $174
Includes Typical Broker Commissions trade costs of $5.60
7/29/14 10:03 NUGT1405U40 NUGT Sep5'14 40 put SHORT 4 1.25 9/6 9:00 0.00 2.87%
Trade id #88807839
Max drawdown($760)
Time9/4/14 15:54
Quant open-4
Worst price3.15
Drawdown as % of equity-2.87%
 $497
Includes Typical Broker Commissions trade costs of $2.80
7/14/14 14:44 JNUG1416T21 JNUG Aug16'14 21 put SHORT 10 0.90 8/17 9:08 0.00 4.21%
Trade id #88565139
Max drawdown($1,030)
Time7/24/14 14:54
Quant open-10
Worst price1.93
Drawdown as % of equity-4.21%
 $893
Includes Typical Broker Commissions trade costs of $7.00
7/7/14 14:23 JNUG1416T20 JNUG Aug16'14 20 put SHORT 10 1.35 7/9 12:33 0.75 n/a $586
Includes Typical Broker Commissions trade costs of $14.00
6/19/14 9:57 NQ1403S6.5 NQ Jul3'14 6.5 put SHORT 10 0.40 7/1 9:44 0.60 2.23%
Trade id #88187886
Max drawdown($550)
Time6/27/14 11:11
Quant open-10
Worst price0.95
Drawdown as % of equity-2.23%
 ($214)
Includes Typical Broker Commissions trade costs of $14.00
4/15/14 9:40 JNUG1420U15 JNUG Sep20'14 15 put SHORT 10 3.50 6/19 10:18 1.30 2.27%
Trade id #87061455
Max drawdown($500)
Time5/27/14 10:31
Quant open-10
Worst price4.00
Drawdown as % of equity-2.27%
 $2,186
Includes Typical Broker Commissions trade costs of $14.00
5/27/14 13:58 NUGT1413R28 NUGT Jun13'14 28 put SHORT 10 1.10 6/14 9:04 0.00 4.33%
Trade id #87781449
Max drawdown($900)
Time5/30/14 12:11
Quant open-10
Worst price2.00
Drawdown as % of equity-4.33%
 $1,093
Includes Typical Broker Commissions trade costs of $7.00
5/15/14 10:03 NQ1417Q7 NQ May17'14 7 put SHORT 10 0.35 5/18 9:08 0.00 0.34%
Trade id #87584358
Max drawdown($70)
Time5/15/14 10:27
Quant open-10
Worst price0.42
Drawdown as % of equity-0.34%
 $343
Includes Typical Broker Commissions trade costs of $7.00
5/7/14 12:31 JNUG1417Q17 JNUG May17'14 17 put SHORT 20 0.85 5/18 9:05 0.00 4.72%
Trade id #87442950
Max drawdown($900)
Time5/7/14 15:30
Quant open-20
Worst price1.30
Drawdown as % of equity-4.72%
 $1,686
Includes Typical Broker Commissions trade costs of $14.00
4/17/14 12:19 CREE CREE SHORT 3 56.14 4/22 12:14 58.50 0.04%
Trade id #87115817
Max drawdown($8)
Time4/22/14 9:40
Quant open-3
Worst price58.85
Drawdown as % of equity-0.04%
 ($7)
Includes Typical Broker Commissions trade costs of $0.06
4/17/14 12:18 CREE CREE LONG 3 56.16 4/17 12:18 56.14 n/a $0
Includes Typical Broker Commissions trade costs of $0.06
4/7/14 12:20 EGLE1419P3.5 EGLE Apr19'14 3.5 put SHORT 20 0.15 4/15 9:41 0.70 5.53%
Trade id #86900469
Max drawdown($1,100)
Time4/15/14 9:41
Quant open0
Worst price0.70
Drawdown as % of equity-5.53%
 ($1,128)
Includes Typical Broker Commissions trade costs of $28.00
3/31/14 12:04 MNKD1404P1.5 MNKD Apr4'14 1.5 put SHORT 20 0.08 4/5 9:02 0.00 0.68%
Trade id #86775813
Max drawdown($140)
Time3/31/14 14:03
Quant open-20
Worst price0.15
Drawdown as % of equity-0.68%
 $146
Includes Typical Broker Commissions trade costs of $14.00
3/24/14 10:57 MNKD1428O4 MNKD Mar28'14 4 put SHORT 20 0.11 3/29 9:00 0.00 1.49%
Trade id #86636185
Max drawdown($300)
Time3/27/14 9:43
Quant open-20
Worst price0.26
Drawdown as % of equity-1.49%
 $206
Includes Typical Broker Commissions trade costs of $14.00
3/23/14 21:35: Rescaled downward to 65.0449% of previous Model Account size
2/24/14 15:53 IDRA1422O5 IDRA Mar22'14 5 put SHORT 6.504000187 0.55 3/23 9:03 0.00 0.34%
Trade id #86137493
Max drawdown($65)
Time2/25/14 10:36
Quant open-7
Worst price0.65
Drawdown as % of equity-0.34%
 $353
Includes Typical Broker Commissions trade costs of $4.55
2/25/14 14:08 INSM1422O10 INSM Mar22'14 10 put SHORT 6.504000187 0.20 3/23 9:02 0.00 0.24%
Trade id #86157733
Max drawdown($45)
Time2/28/14 11:47
Quant open-7
Worst price0.27
Drawdown as % of equity-0.24%
 $125
Includes Typical Broker Commissions trade costs of $4.55
3/3/14 10:52 NQ1422O12.5 NQ Mar22'14 12.5 put SHORT 6.504000187 0.35 3/23 9:00 0.00 0.34%
Trade id #86252600
Max drawdown($65)
Time3/3/14 11:19
Quant open-7
Worst price0.45
Drawdown as % of equity-0.34%
 $223
Includes Typical Broker Commissions trade costs of $4.55
2/12/14 11:09 ARIA1428N7 ARIA Feb28'14 7 put SHORT 13.008999825 0.25 3/1 11:11 0.00 0.24%
Trade id #85750822
Max drawdown($42)
Time2/12/14 13:08
Quant open-8
Worst price0.30
Drawdown as % of equity-0.24%
 $316
Includes Typical Broker Commissions trade costs of $9.11
2/20/14 12:14 ARIA1428N8 ARIA Feb28'14 8 put SHORT 13.008999825 0.30 3/1 11:11 0.00 0.23%
Trade id #86084832
Max drawdown($42)
Time2/20/14 12:20
Quant open-8
Worst price0.35
Drawdown as % of equity-0.23%
 $381
Includes Typical Broker Commissions trade costs of $9.11
2/18/14 9:40 NQ1422N17 NQ Feb22'14 17 put SHORT 13.008999825 0.25 2/23 9:15 0.00 0%
Trade id #86034377
Max drawdown$0
Time2/18/14 9:48
Quant open-8
Worst price0.25
Drawdown as % of equity0.00%
 $316
Includes Typical Broker Commissions trade costs of $9.11
2/7/14 11:20 CHTP1422N4 CHTP Feb22'14 4 put SHORT 13.008999825 0.60 2/23 9:10 0.00 3.42%
Trade id #85662847
Max drawdown($592)
Time2/14/14 11:27
Quant open-8
Worst price1.30
Drawdown as % of equity-3.42%
 $772
Includes Typical Broker Commissions trade costs of $9.11
1/21/14 9:52 SRPT1414N22.5 SRPT Feb14'14 22.5 put SHORT 3.903000116 0.45 2/15 9:01 0.00 1.36%
Trade id #85278176
Max drawdown($228)
Time2/3/14 9:47
Quant open-3
Worst price1.35
Drawdown as % of equity-1.36%
 $173
Includes Typical Broker Commissions trade costs of $2.73
2/1/14 9:02 DRYS DRYSHIPS LONG 52 87.50 2/15 9:01 87.50 1.78%
Trade id #85527303
Max drawdown($296)
Time2/5/14 10:13
Quant open846
Worst price3.15
Drawdown as % of equity-1.78%
 ($1)
Includes Typical Broker Commissions trade costs of $1.04
Next

Statistics

  • Strategy began
    11/26/2012
  • Suggested Minimum Cap
    $13,009
  • Strategy Age (days)
    4155.34
  • Age
    139 months ago
  • What it trades
    Options
  • # Trades
    46
  • # Profitable
    35
  • % Profitable
    76.10%
  • Avg trade duration
    102.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 04, 2015 - Sept 26, 2022
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $488.54
  • Avg loss
    $6,373
  • Model Account Values (Raw)
  • Cash
    ($23,265)
  • Margin Used
    $0
  • Buying Power
    ($89,187)
  • Ratios
  • W:L ratio
    0.25:1
  • Sharpe Ratio
    -0.04
  • Sortino Ratio
    -0.05
  • Calmar Ratio
    -0.937
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -685.86%
  • Correlation to SP500
    0.08660
  • Return Percent SP500 (cumu) during strategy life
    253.22%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.84%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.89%
  • Percent Trades Stocks
    0.11%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • 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
    $6,373
  • Avg Win
    $489
  • Sum Trade PL (losers)
    $70,104.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $17,099.000
  • # Winners
    35
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    306
  • Win / Loss
  • # Losers
    11
  • % Winners
    76.1%
  • Frequency
  • Avg Position Time (mins)
    147733.00
  • Avg Position Time (hrs)
    2462.22
  • Avg Trade Length
    102.6 days
  • Last Trade Ago
    3400
  • Regression
  • Alpha
    0.00
  • Beta
    7175.32
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    17.74
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.00
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.14
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -1.440
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.433
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.012
  • Hold-and-Hope Ratio
    -1.416
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25813
  • SD
    1.95268
  • Sharpe ratio (Glass type estimate)
    0.13219
  • Sharpe ratio (Hedges UMVUE)
    0.12970
  • df
    40.00000
  • t
    0.24435
  • p
    0.40411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92933
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19042
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24019
  • Upside Potential Ratio
    1.96409
  • Upside part of mean
    2.11074
  • Downside part of mean
    -1.85261
  • Upside SD
    1.60331
  • Downside SD
    1.07466
  • N nonnegative terms
    18.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.38491
  • Mean of criterion
    0.25813
  • SD of predictor
    0.22690
  • SD of criterion
    1.95268
  • Covariance
    0.02694
  • r
    0.06080
  • b (slope, estimate of beta)
    0.52322
  • a (intercept, estimate of alpha)
    0.05674
  • Mean Square Error
    3.89626
  • DF error
    39.00000
  • t(b)
    0.38038
  • p(b)
    0.35286
  • t(a)
    0.04760
  • p(a)
    0.48114
  • Lowerbound of 95% confidence interval for beta
    -2.25904
  • Upperbound of 95% confidence interval for beta
    3.30548
  • Lowerbound of 95% confidence interval for alpha
    -2.35417
  • Upperbound of 95% confidence interval for alpha
    2.46764
  • Treynor index (mean / b)
    0.49335
  • Jensen alpha (a)
    0.05674
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.80037
  • SD
    3.76964
  • Sharpe ratio (Glass type estimate)
    -0.74287
  • Sharpe ratio (Hedges UMVUE)
    -0.72884
  • df
    40.00000
  • t
    -1.37315
  • p
    0.91132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.33432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34346
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76175
  • Upside Potential Ratio
    0.38728
  • Upside part of mean
    1.42374
  • Downside part of mean
    -4.22412
  • Upside SD
    1.00126
  • Downside SD
    3.67622
  • N nonnegative terms
    18.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.35504
  • Mean of criterion
    -2.80037
  • SD of predictor
    0.21596
  • SD of criterion
    3.76964
  • Covariance
    0.05061
  • r
    0.06217
  • b (slope, estimate of beta)
    1.08509
  • a (intercept, estimate of alpha)
    -3.18562
  • Mean Square Error
    14.51830
  • DF error
    39.00000
  • t(b)
    0.38897
  • p(b)
    0.34970
  • t(a)
    -1.39295
  • p(a)
    0.91424
  • Lowerbound of 95% confidence interval for beta
    -4.55746
  • Upperbound of 95% confidence interval for beta
    6.72765
  • Lowerbound of 95% confidence interval for alpha
    -7.81143
  • Upperbound of 95% confidence interval for alpha
    1.44019
  • Treynor index (mean / b)
    -2.58077
  • Jensen alpha (a)
    -3.18562
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.86778
  • Expected Shortfall on VaR
    0.91017
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.38236
  • Expected Shortfall on VaR
    0.72972
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    41.00000
  • Minimum
    0.00222
  • Quartile 1
    0.72306
  • Median
    1.00000
  • Quartile 3
    1.06106
  • Maximum
    2.86716
  • Mean of quarter 1
    0.45925
  • Mean of quarter 2
    0.96721
  • Mean of quarter 3
    1.02110
  • Mean of quarter 4
    1.70426
  • Inter Quartile Range
    0.33800
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.04878
  • Mean of outliers low
    0.09249
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12195
  • Mean of outliers high
    2.24883
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16942
  • VaR(95%) (moments method)
    0.58876
  • Expected Shortfall (moments method)
    0.85889
  • Extreme Value Index (regression method)
    0.02623
  • VaR(95%) (regression method)
    0.57983
  • Expected Shortfall (regression method)
    0.77178
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01211
  • Quartile 1
    0.01533
  • Median
    0.02613
  • Quartile 3
    0.27688
  • Maximum
    0.99996
  • Mean of quarter 1
    0.01211
  • Mean of quarter 2
    0.01640
  • Mean of quarter 3
    0.03586
  • Mean of quarter 4
    0.99996
  • Inter Quartile Range
    0.26156
  • 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
    0.99996
  • 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)
    -0.29266
  • Compounded annual return (geometric extrapolation)
    -0.93749
  • Calmar ratio (compounded annual return / max draw down)
    -0.93753
  • Compounded annual return / average of 25% largest draw downs
    -0.93753
  • Compounded annual return / Expected Shortfall lognormal
    -1.03002
  • 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
    20.77520
  • SD
    33.95050
  • Sharpe ratio (Glass type estimate)
    0.61193
  • Sharpe ratio (Hedges UMVUE)
    0.61141
  • df
    896.00000
  • t
    1.13226
  • p
    0.12892
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44822
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67105
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.47980
  • Upside Potential Ratio
    19.27400
  • Upside part of mean
    27.65390
  • Downside part of mean
    -6.87870
  • Upside SD
    33.92560
  • Downside SD
    1.43478
  • N nonnegative terms
    341.00000
  • N negative terms
    556.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    897.00000
  • Mean of predictor
    0.40304
  • Mean of criterion
    20.77520
  • SD of predictor
    0.31624
  • SD of criterion
    33.95050
  • Covariance
    1.13939
  • r
    0.10612
  • b (slope, estimate of beta)
    11.39310
  • a (intercept, estimate of alpha)
    16.18300
  • Mean Square Error
    1140.93000
  • DF error
    895.00000
  • t(b)
    3.19287
  • p(b)
    0.00073
  • t(a)
    0.88377
  • p(a)
    0.18853
  • Lowerbound of 95% confidence interval for beta
    4.38992
  • Upperbound of 95% confidence interval for beta
    18.39640
  • Lowerbound of 95% confidence interval for alpha
    -19.75550
  • Upperbound of 95% confidence interval for alpha
    52.12210
  • Treynor index (mean / b)
    1.82348
  • Jensen alpha (a)
    16.18330
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.79471
  • SD
    5.36020
  • Sharpe ratio (Glass type estimate)
    -0.52138
  • Sharpe ratio (Hedges UMVUE)
    -0.52094
  • df
    896.00000
  • t
    -0.96472
  • p
    0.83253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58078
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.53829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58048
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53859
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61264
  • Upside Potential Ratio
    1.74163
  • Upside part of mean
    7.94491
  • Downside part of mean
    -10.73960
  • Upside SD
    2.81420
  • Downside SD
    4.56178
  • N nonnegative terms
    341.00000
  • N negative terms
    556.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    897.00000
  • Mean of predictor
    0.34972
  • Mean of criterion
    -2.79471
  • SD of predictor
    0.33140
  • SD of criterion
    5.36020
  • Covariance
    0.78324
  • r
    0.44092
  • b (slope, estimate of beta)
    7.13170
  • a (intercept, estimate of alpha)
    -5.28880
  • Mean Square Error
    23.17180
  • DF error
    895.00000
  • t(b)
    14.69660
  • p(b)
    -0.00000
  • t(a)
    -2.02862
  • p(a)
    0.97860
  • Lowerbound of 95% confidence interval for beta
    6.17932
  • Upperbound of 95% confidence interval for beta
    8.08408
  • Lowerbound of 95% confidence interval for alpha
    -10.40550
  • Upperbound of 95% confidence interval for alpha
    -0.17207
  • Treynor index (mean / b)
    -0.39187
  • Jensen alpha (a)
    -5.28880
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.42614
  • Expected Shortfall on VaR
    0.49672
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06749
  • Expected Shortfall on VaR
    0.14939
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    897.00000
  • Minimum
    0.00167
  • Quartile 1
    0.99005
  • Median
    1.00000
  • Quartile 3
    1.00874
  • Maximum
    63.00000
  • Mean of quarter 1
    0.89727
  • Mean of quarter 2
    0.99832
  • Mean of quarter 3
    1.00158
  • Mean of quarter 4
    1.42125
  • Inter Quartile Range
    0.01870
  • Number outliers low
    137.00000
  • Percentage of outliers low
    0.15273
  • Mean of outliers low
    0.84492
  • Number of outliers high
    124.00000
  • Percentage of outliers high
    0.13824
  • Mean of outliers high
    1.74554
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84573
  • VaR(95%) (moments method)
    0.07002
  • Expected Shortfall (moments method)
    0.51299
  • Extreme Value Index (regression method)
    0.33087
  • VaR(95%) (regression method)
    0.08254
  • Expected Shortfall (regression method)
    0.16938
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00436
  • Median
    0.01425
  • Quartile 3
    0.03531
  • Maximum
    0.99996
  • Mean of quarter 1
    0.00207
  • Mean of quarter 2
    0.00755
  • Mean of quarter 3
    0.02543
  • Mean of quarter 4
    0.18173
  • Inter Quartile Range
    0.03096
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.55698
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.98882
  • VaR(95%) (moments method)
    0.16731
  • Expected Shortfall (moments method)
    14.90990
  • Extreme Value Index (regression method)
    1.41098
  • VaR(95%) (regression method)
    0.15562
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.29206
  • Compounded annual return (geometric extrapolation)
    -0.93714
  • Calmar ratio (compounded annual return / max draw down)
    -0.93717
  • Compounded annual return / average of 25% largest draw downs
    -5.15676
  • Compounded annual return / Expected Shortfall lognormal
    -1.88666
  • 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
    0.90697
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45722
  • 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
    0.80072
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46101
  • 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)
    -6827120000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.42600
  • 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)
    823541000000000033815711906267136.00000
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -404511000
  • Max Equity Drawdown (num days)
    2488
  • 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

I trade puts primarily on stocks, ETFs, ETNs, and the options on these trades. This is my 5th system which takes trade strategies that worked well in the other 4 systems and rolled into the funny money system. The ultimate goal is to produce trades, with a very high likely hood of success. From time to time I will trade covered calls to increase my cash in my account. Also if you are using this system, or plan to, do not expect heavy trading activity, as that was done while testing earlier systems that are no longer supported or even used. Ultimately strategy is NOT guaranteed and trading has risk, please see your personal financial adviser before making any determination if Funny Money is right for you. Ultimately the goal for the investor here would be slow and steady profits when possible. Trade ideas come strictly research no automated notice to be by some artificial means. My goal is to have cash returns equal or greater than the system itself with accounts of $10,000.00 via auto trading.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-11-26
Suggested Minimum Capital
$5,000
# Trades
46
# Profitable
35
% Profitable
76.1%
Net Dividends
$306
Correlation S&P500
0.087
Sharpe Ratio
-0.04
Sortino Ratio
-0.05
Beta
7175.32
Alpha
0.00

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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