Collective2 Collective2
Featured Strategy S2Prox0 +53.2% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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SolidOptionTrader
(79741354)

Created by: GiuseppeDettorre GiuseppeDettorre
Started: 03/2013
Options
Last trade: 540 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. You can subscribe to this system for free.

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.

-7.0%
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.

(61.8%)
Max Drawdown
325
Num Trades
93.5%
Win Trades
1.8 : 1
Profit Factor
45.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                -  (3%)+4.1%+3.0%+4.9%+4.4%+6.1%+5.6%+3.2%(4.9%)+25.4%
2014+3.2%+10.9%+2.3%+0.1%+2.6%+3.2%+5.3%+5.7%+1.6%(7.4%)(17.1%)(7.9%)(0.7%)
2015(0.4%)+0.9%+1.6%(5.3%)(2.2%)(1.3%)(9.4%)+3.2%(8.6%)+4.0%(7.7%)(6.8%)(28.6%)
2016(19.2%)+4.1%(7.1%)(5.4%)(2.6%)+13.4%(2.5%)+6.7%+18.4%(18.3%)+1.0%(5.8%)(21.8%)
2017+0.6%(3.2%)(3.3%)+6.2%+7.1%(1.6%)(6%)+1.9%+0.6%+18.2%(2.8%)+12.3%+31.0%
2018+3.2%+20.0%(8.6%)  -  +12.8%+22.3%(0.7%)(15.5%)(14.9%)+16.2%(7.2%)(7.4%)+11.5%
2019+9.6%(1.3%)+3.6%+14.7%(1.4%)(8.1%)+5.6%+11.6%(2.8%)  -  (15.2%)+10.8%
2020(0.2%)+2.4%+1.9%(7.3%)(0.3%)+1.0%+12.3%+10.2%(1.8%)+20.7%(6.4%)+14.0%+51.9%
2021(6.1%)+10.4%+6.7%+6.3%(10.2%)+15.2%+1.9%(8%)(2%)(10.7%)(10.6%)(5.6%)(15.8%)
2022(17.2%)(0.2%)+8.1%+27.2%(19.9%)(0.2%)+1.6%+0.6%+6.8%+16.7%+1.5%  -  +17.4%
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.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 262 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/2/15 9:00 TWTR TWITTER INC LONG 800 43.00 10/27/22 9:30 53.70 41.53%
Trade id #94200787
Max drawdown($13,384)
Time11/23/15 7:31
Quant open800
Worst price0.00
Drawdown as % of equity-41.53%
 $8,555
Includes Typical Broker Commissions trade costs of $5.00
8/21/15 10:05 TWTR1502V25 TWTR Oct2'15 25 put LONG 20 1.25 9/30 9:36 0.17 6.82%
Trade id #96773174
Max drawdown($2,180)
Time9/30/15 9:32
Quant open20
Worst price0.16
Drawdown as % of equity-6.82%
 ($2,188)
Includes Typical Broker Commissions trade costs of $28.00
7/30/15 10:59 TWTR1518I31 TWTR Sep18'15 31 call LONG 16 1.97 9/19 9:04 0.00 9.36%
Trade id #96162734
Max drawdown($3,152)
Time9/19/15 9:04
Quant open0
Worst price0.00
Drawdown as % of equity-9.36%
 ($3,163)
Includes Typical Broker Commissions trade costs of $11.20
7/30/15 10:58 TWTR1518U31 TWTR Sep18'15 31 put LONG 20 1.43 8/21 10:07 4.85 0.34%
Trade id #96162707
Max drawdown($120)
Time7/30/15 12:30
Quant open20
Worst price1.37
Drawdown as % of equity-0.34%
 $6,812
Includes Typical Broker Commissions trade costs of $28.00
7/15/15 9:40 TWTR1531G42.5 TWTR Jul31'15 42.5 call SHORT 8 0.50 8/1 9:01 0.00 0.48%
Trade id #95894175
Max drawdown($184)
Time7/24/15 13:03
Quant open-8
Worst price0.73
Drawdown as % of equity-0.48%
 $394
Includes Typical Broker Commissions trade costs of $5.60
7/10/15 13:02 SPY1517S199 SPY Jul17'15 199 put SHORT 5 0.26 7/18 9:04 0.00 0.08%
Trade id #95828357
Max drawdown($30)
Time7/10/15 13:55
Quant open-5
Worst price0.32
Drawdown as % of equity-0.08%
 $127
Includes Typical Broker Commissions trade costs of $3.50
7/15/15 9:38 TWTR1531S42.5 TWTR Jul31'15 42.5 put SHORT 8 6.39 7/15 11:20 6.26 0.08%
Trade id #95894099
Max drawdown($32)
Time7/15/15 9:44
Quant open-8
Worst price6.43
Drawdown as % of equity-0.08%
 $93
Includes Typical Broker Commissions trade costs of $11.20
6/26/15 11:23 TWTR1510G38 TWTR Jul10'15 38 call SHORT 8 0.16 7/11 9:03 0.00 0.74%
Trade id #95510412
Max drawdown($280)
Time6/30/15 15:32
Quant open-8
Worst price0.51
Drawdown as % of equity-0.74%
 $122
Includes Typical Broker Commissions trade costs of $5.60
6/25/15 10:52 SPY1530R205 SPY Jun30'15 205 put SHORT 5 0.19 6/29 11:39 0.40 0.43%
Trade id #95452529
Max drawdown($160)
Time6/29/15 9:31
Quant open-5
Worst price0.51
Drawdown as % of equity-0.43%
 ($112)
Includes Typical Broker Commissions trade costs of $7.00
6/19/15 11:34 TWTR1526F39 TWTR Jun26'15 39 call SHORT 8 0.15 6/26 11:21 0.01 0.04%
Trade id #95176742
Max drawdown($16)
Time6/19/15 11:36
Quant open-8
Worst price0.17
Drawdown as % of equity-0.04%
 $98
Includes Typical Broker Commissions trade costs of $11.20
6/12/15 9:53 TWTR1519F39 TWTR Jun19'15 39 call SHORT 8 0.15 6/19 11:33 0.02 0.38%
Trade id #94976608
Max drawdown($144)
Time6/19/15 10:29
Quant open-8
Worst price0.33
Drawdown as % of equity-0.38%
 $93
Includes Typical Broker Commissions trade costs of $11.20
6/5/15 9:50 TWTR1512F39 TWTR Jun12'15 39 call SHORT 8 0.14 6/12 9:50 0.01 0.08%
Trade id #94834380
Max drawdown($32)
Time6/5/15 10:00
Quant open-8
Worst price0.18
Drawdown as % of equity-0.08%
 $93
Includes Typical Broker Commissions trade costs of $11.20
6/1/15 12:26 TWTR1505F38 TWTR Jun5'15 38 call SHORT 8 0.15 6/5 9:49 0.02 0.31%
Trade id #94732234
Max drawdown($120)
Time6/4/15 9:47
Quant open-8
Worst price0.30
Drawdown as % of equity-0.31%
 $93
Includes Typical Broker Commissions trade costs of $11.20
4/22/15 13:59 SPWR1501Q30.5 SPWR May1'15 30.5 put SHORT 10 0.17 5/2 9:00 0.00 0.69%
Trade id #94010066
Max drawdown($270)
Time4/30/15 15:04
Quant open-10
Worst price0.44
Drawdown as % of equity-0.69%
 $163
Includes Typical Broker Commissions trade costs of $7.00
4/22/15 12:31 TWTR1501Q43 TWTR May1'15 43 put SHORT 8 0.25 5/2 9:00 0.00 11.41%
Trade id #94008022
Max drawdown($4,864)
Time4/28/15 15:52
Quant open-8
Worst price6.33
Drawdown as % of equity-11.41%
 $194
Includes Typical Broker Commissions trade costs of $5.60
4/27/15 10:16 FSLR1501Q57 FSLR May1'15 57 put SHORT 8 0.30 5/1 9:48 0.28 1.92%
Trade id #94083914
Max drawdown($736)
Time4/30/15 15:51
Quant open-8
Worst price1.22
Drawdown as % of equity-1.92%
 $5
Includes Typical Broker Commissions trade costs of $11.20
4/25/15 9:00 TXN TEXAS INSTRUMENTS LONG 400 56.00 4/27 9:41 56.05 1.21%
Trade id #94067940
Max drawdown($508)
Time4/27/15 8:59
Quant open400
Worst price54.73
Drawdown as % of equity-1.21%
 $12
Includes Typical Broker Commissions trade costs of $8.00
4/22/15 12:29 TXN1524P56 TXN Apr24'15 56 put SHORT 4 0.22 4/25 9:00 0.00 1.79%
Trade id #94007943
Max drawdown($762)
Time4/23/15 9:31
Quant open-4
Worst price2.13
Drawdown as % of equity-1.79%
 $87
Includes Typical Broker Commissions trade costs of $2.80
4/20/15 10:00 UA1524P77 UA Apr24'15 77 put SHORT 6 0.26 4/25 9:00 0.00 0%
Trade id #93947192
Max drawdown($1)
Time4/20/15 10:05
Quant open-6
Worst price0.26
Drawdown as % of equity-0.00%
 $151
Includes Typical Broker Commissions trade costs of $4.20
4/15/15 10:44 UFPI1517P50 UFPI Apr17'15 50 put SHORT 6 0.35 4/18 9:14 0.00 0.01%
Trade id #93867626
Max drawdown($4)
Time4/15/15 10:46
Quant open-6
Worst price0.36
Drawdown as % of equity-0.01%
 $207
Includes Typical Broker Commissions trade costs of $4.20
4/10/15 13:43 NUS1517P57 NUS Apr17'15 57 put SHORT 6 0.26 4/18 9:10 0.00 n/a $151
Includes Typical Broker Commissions trade costs of $4.20
4/10/15 13:24 ALTR1517P39 ALTR Apr17'15 39 put SHORT 10 0.25 4/18 9:09 0.00 0.24%
Trade id #93798423
Max drawdown($97)
Time4/10/15 13:29
Quant open-10
Worst price0.35
Drawdown as % of equity-0.24%
 $246
Includes Typical Broker Commissions trade costs of $7.00
4/9/15 11:49 PSMT1517P75 PSMT Apr17'15 75 put SHORT 10 0.29 4/18 9:06 0.00 0.55%
Trade id #93767939
Max drawdown($226)
Time4/10/15 9:45
Quant open-10
Worst price0.52
Drawdown as % of equity-0.55%
 $287
Includes Typical Broker Commissions trade costs of $7.00
4/8/15 10:00 GPRE1517P26 GPRE Apr17'15 26 put SHORT 10 0.16 4/18 9:05 0.00 0.1%
Trade id #93737852
Max drawdown($40)
Time4/8/15 10:04
Quant open-10
Worst price0.20
Drawdown as % of equity-0.10%
 $153
Includes Typical Broker Commissions trade costs of $7.00
4/8/15 10:01 NOW1517P70 NOW Apr17'15 70 put SHORT 10 0.30 4/18 9:05 0.00 0.6%
Trade id #93737909
Max drawdown($248)
Time4/17/15 9:50
Quant open-10
Worst price0.55
Drawdown as % of equity-0.60%
 $294
Includes Typical Broker Commissions trade costs of $7.00
3/30/15 9:41 NUS1510P53 NUS Apr10'15 53 put SHORT 8 0.21 4/11 9:02 0.00 n/a $162
Includes Typical Broker Commissions trade costs of $5.60
4/10/15 13:38 NUS1517D57 NUS Apr17'15 57 call SHORT 6 3.47 4/10 13:39 3.54 0.1%
Trade id #93798811
Max drawdown($40)
Time4/10/15 13:39
Quant open0
Worst price3.54
Drawdown as % of equity-0.10%
 ($48)
Includes Typical Broker Commissions trade costs of $8.40
3/20/15 9:56 NUS1502P53 NUS Apr2'15 53 put SHORT 7 0.25 4/3 9:01 0.00 0.09%
Trade id #93376975
Max drawdown($35)
Time3/20/15 10:00
Quant open-7
Worst price0.30
Drawdown as % of equity-0.09%
 $170
Includes Typical Broker Commissions trade costs of $4.90
3/23/15 10:37 TSO1502P84 TSO Apr2'15 84 put SHORT 6 0.23 4/3 9:00 0.00 0.18%
Trade id #93415997
Max drawdown($72)
Time3/24/15 15:59
Quant open-6
Worst price0.35
Drawdown as % of equity-0.18%
 $134
Includes Typical Broker Commissions trade costs of $4.20
3/16/15 10:50 AMBA1527O60 AMBA Mar27'15 60 put SHORT 2 0.25 3/28 9:06 0.00 n/a $50
Includes Typical Broker Commissions trade costs of $1.40
Next

Statistics

  • Strategy began
    3/17/2013
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    4048.24
  • Age
    135 months ago
  • What it trades
    Options
  • # Trades
    325
  • # Profitable
    304
  • % Profitable
    93.50%
  • Avg trade duration
    21.6 days
  • Max peak-to-valley drawdown
    61.76%
  • drawdown period
    Oct 03, 2014 - May 25, 2016
  • Annual Return (Compounded)
    -7.0%
  • Avg win
    $177.53
  • Avg loss
    $1,426
  • Model Account Values (Raw)
  • Cash
    $54,170
  • Margin Used
    $0
  • Buying Power
    $54,170
  • Ratios
  • W:L ratio
    1.81:1
  • Sharpe Ratio
    0.21
  • Sortino Ratio
    0.29
  • Calmar Ratio
    0.262
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -75.45%
  • Correlation to SP500
    0.21560
  • Return Percent SP500 (cumu) during strategy life
    219.31%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.0%
  • Slump
  • Current Slump as Pcnt Equity
    28.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.24%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.070%
  • Instruments
  • Percent Trades Options
    0.97%
  • Percent Trades Stocks
    0.03%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.5%
  • 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)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% 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
    $1,426
  • Avg Win
    $178
  • Sum Trade PL (losers)
    $29,955.000
  • Age
  • Num Months filled monthly returns table
    134
  • Win / Loss
  • Sum Trade PL (winners)
    $53,969.000
  • # Winners
    304
  • Num Months Winners
    61
  • Dividends
  • Dividends Received in Model Acct
    168
  • Win / Loss
  • # Losers
    21
  • % Winners
    93.5%
  • Frequency
  • Avg Position Time (mins)
    31172.60
  • Avg Position Time (hrs)
    519.54
  • Avg Trade Length
    21.6 days
  • Last Trade Ago
    538
  • Regression
  • Alpha
    0.01
  • Beta
    0.43
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.78
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    54.35
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.78
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    5.880
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    1.773
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.281
  • Hold-and-Hope Ratio
    0.170
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04690
  • SD
    0.22300
  • Sharpe ratio (Glass type estimate)
    -0.21032
  • Sharpe ratio (Hedges UMVUE)
    -0.20614
  • df
    38.00000
  • t
    -0.37917
  • p
    0.64666
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88204
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26077
  • Upside Potential Ratio
    1.56514
  • Upside part of mean
    0.28151
  • Downside part of mean
    -0.32841
  • Upside SD
    0.12762
  • Downside SD
    0.17986
  • N nonnegative terms
    23.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.12786
  • Mean of criterion
    -0.04690
  • SD of predictor
    0.14008
  • SD of criterion
    0.22300
  • Covariance
    0.00478
  • r
    0.15291
  • b (slope, estimate of beta)
    0.24342
  • a (intercept, estimate of alpha)
    -0.07803
  • Mean Square Error
    0.04988
  • DF error
    37.00000
  • t(b)
    0.94117
  • p(b)
    0.17636
  • t(a)
    -0.60852
  • p(a)
    0.72672
  • Lowerbound of 95% confidence interval for beta
    -0.28062
  • Upperbound of 95% confidence interval for beta
    0.76746
  • Lowerbound of 95% confidence interval for alpha
    -0.33783
  • Upperbound of 95% confidence interval for alpha
    0.18178
  • Treynor index (mean / b)
    -0.19268
  • Jensen alpha (a)
    -0.07803
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07218
  • SD
    0.22956
  • Sharpe ratio (Glass type estimate)
    -0.31442
  • Sharpe ratio (Hedges UMVUE)
    -0.30816
  • df
    38.00000
  • t
    -0.56682
  • p
    0.71292
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77707
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78123
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.37702
  • Upside Potential Ratio
    1.42879
  • Upside part of mean
    0.27353
  • Downside part of mean
    -0.34570
  • Upside SD
    0.12301
  • Downside SD
    0.19144
  • N nonnegative terms
    23.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.11783
  • Mean of criterion
    -0.07218
  • SD of predictor
    0.13745
  • SD of criterion
    0.22956
  • Covariance
    0.00548
  • r
    0.17365
  • b (slope, estimate of beta)
    0.29003
  • a (intercept, estimate of alpha)
    -0.10635
  • Mean Square Error
    0.05249
  • DF error
    37.00000
  • t(b)
    1.07259
  • p(b)
    0.14520
  • t(a)
    -0.81174
  • p(a)
    0.78893
  • Lowerbound of 95% confidence interval for beta
    -0.25786
  • Upperbound of 95% confidence interval for beta
    0.83793
  • Lowerbound of 95% confidence interval for alpha
    -0.37182
  • Upperbound of 95% confidence interval for alpha
    0.15912
  • Treynor index (mean / b)
    -0.24886
  • Jensen alpha (a)
    -0.10635
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10865
  • Expected Shortfall on VaR
    0.13273
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05610
  • Expected Shortfall on VaR
    0.10839
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.84404
  • Quartile 1
    0.95944
  • Median
    1.01651
  • Quartile 3
    1.03584
  • Maximum
    1.11570
  • Mean of quarter 1
    0.90875
  • Mean of quarter 2
    0.98985
  • Mean of quarter 3
    1.02873
  • Mean of quarter 4
    1.06353
  • Inter Quartile Range
    0.07641
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.84404
  • 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)
    -0.17038
  • VaR(95%) (moments method)
    0.09174
  • Expected Shortfall (moments method)
    0.11566
  • Extreme Value Index (regression method)
    -0.49909
  • VaR(95%) (regression method)
    0.11118
  • Expected Shortfall (regression method)
    0.12965
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03831
  • Quartile 1
    0.04135
  • Median
    0.04440
  • Quartile 3
    0.31265
  • Maximum
    0.58090
  • Mean of quarter 1
    0.03831
  • Mean of quarter 2
    0.04440
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.58090
  • Inter Quartile Range
    0.27130
  • 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)
    -0.05634
  • Compounded annual return (geometric extrapolation)
    -0.06033
  • Calmar ratio (compounded annual return / max draw down)
    -0.10386
  • Compounded annual return / average of 25% largest draw downs
    -0.10386
  • Compounded annual return / Expected Shortfall lognormal
    -0.45453
  • 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
    -0.03388
  • SD
    0.27468
  • Sharpe ratio (Glass type estimate)
    -0.12334
  • Sharpe ratio (Hedges UMVUE)
    -0.12326
  • df
    1117.00000
  • t
    -0.22235
  • p
    0.50423
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96395
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16028
  • Upside Potential Ratio
    5.77639
  • Upside part of mean
    1.22096
  • Downside part of mean
    -1.25484
  • Upside SD
    0.17523
  • Downside SD
    0.21137
  • N nonnegative terms
    613.00000
  • N negative terms
    505.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1118.00000
  • Mean of predictor
    0.12757
  • Mean of criterion
    -0.03388
  • SD of predictor
    0.13940
  • SD of criterion
    0.27468
  • Covariance
    0.00689
  • r
    0.17989
  • b (slope, estimate of beta)
    0.35447
  • a (intercept, estimate of alpha)
    0.09000
  • Mean Square Error
    0.07307
  • DF error
    1116.00000
  • t(b)
    6.10928
  • p(b)
    0.41005
  • t(a)
    -0.52687
  • p(a)
    0.50789
  • Lowerbound of 95% confidence interval for beta
    0.24062
  • Upperbound of 95% confidence interval for beta
    0.46831
  • Lowerbound of 95% confidence interval for alpha
    -0.37366
  • Upperbound of 95% confidence interval for alpha
    0.21547
  • Treynor index (mean / b)
    -0.09558
  • Jensen alpha (a)
    -0.07910
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07218
  • SD
    0.27810
  • Sharpe ratio (Glass type estimate)
    -0.25953
  • Sharpe ratio (Hedges UMVUE)
    -0.25936
  • df
    1117.00000
  • t
    -0.46788
  • p
    0.50891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82774
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82789
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32925
  • Upside Potential Ratio
    5.50173
  • Upside part of mean
    1.20607
  • Downside part of mean
    -1.27825
  • Upside SD
    0.17098
  • Downside SD
    0.21922
  • N nonnegative terms
    613.00000
  • N negative terms
    505.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1118.00000
  • Mean of predictor
    0.11783
  • Mean of criterion
    -0.07218
  • SD of predictor
    0.13943
  • SD of criterion
    0.27810
  • Covariance
    0.00679
  • r
    0.17516
  • b (slope, estimate of beta)
    0.34937
  • a (intercept, estimate of alpha)
    -0.11335
  • Mean Square Error
    0.07504
  • DF error
    1116.00000
  • t(b)
    5.94327
  • p(b)
    0.41242
  • t(a)
    -0.74517
  • p(a)
    0.51115
  • Lowerbound of 95% confidence interval for beta
    0.23403
  • Upperbound of 95% confidence interval for beta
    0.46471
  • Lowerbound of 95% confidence interval for alpha
    -0.41179
  • Upperbound of 95% confidence interval for alpha
    0.18510
  • Treynor index (mean / b)
    -0.20660
  • Jensen alpha (a)
    -0.11335
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02457
  • Expected Shortfall on VaR
    0.03064
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00757
  • Expected Shortfall on VaR
    0.01724
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1118.00000
  • Minimum
    0.84828
  • Quartile 1
    0.99842
  • Median
    1.00018
  • Quartile 3
    1.00313
  • Maximum
    1.11607
  • Mean of quarter 1
    0.98570
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00131
  • Mean of quarter 4
    1.01291
  • Inter Quartile Range
    0.00471
  • Number outliers low
    135.00000
  • Percentage of outliers low
    0.12075
  • Mean of outliers low
    0.97527
  • Number of outliers high
    107.00000
  • Percentage of outliers high
    0.09571
  • Mean of outliers high
    1.02429
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61333
  • VaR(95%) (moments method)
    0.00907
  • Expected Shortfall (moments method)
    0.02798
  • 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
    51.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00124
  • Median
    0.00387
  • Quartile 3
    0.00874
  • Maximum
    0.59227
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00237
  • Mean of quarter 3
    0.00606
  • Mean of quarter 4
    0.09107
  • Inter Quartile Range
    0.00750
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.19608
  • Mean of outliers high
    0.11425
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83181
  • VaR(95%) (moments method)
    0.05895
  • Expected Shortfall (moments method)
    0.39707
  • Extreme Value Index (regression method)
    1.25317
  • VaR(95%) (regression method)
    0.06279
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05634
  • Compounded annual return (geometric extrapolation)
    -0.06033
  • Calmar ratio (compounded annual return / max draw down)
    -0.10186
  • Compounded annual return / average of 25% largest draw downs
    -0.66247
  • Compounded annual return / Expected Shortfall lognormal
    -1.96875
  • 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
    -0.55298
  • SD
    0.46855
  • Sharpe ratio (Glass type estimate)
    -1.18018
  • Sharpe ratio (Hedges UMVUE)
    -1.17500
  • df
    171.00000
  • t
    -0.83451
  • p
    0.54052
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.95312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59613
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.94960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59960
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.56286
  • Upside Potential Ratio
    7.31049
  • Upside part of mean
    2.58662
  • Downside part of mean
    -3.13960
  • Upside SD
    0.30653
  • Downside SD
    0.35382
  • N nonnegative terms
    72.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.25626
  • Mean of criterion
    -0.55298
  • SD of predictor
    0.20180
  • SD of criterion
    0.46855
  • Covariance
    0.03276
  • r
    0.34644
  • b (slope, estimate of beta)
    0.80437
  • a (intercept, estimate of alpha)
    -0.75910
  • Mean Square Error
    0.19433
  • DF error
    170.00000
  • t(b)
    4.81516
  • p(b)
    0.32678
  • t(a)
    -1.21478
  • p(a)
    0.54638
  • Lowerbound of 95% confidence interval for beta
    0.47461
  • Upperbound of 95% confidence interval for beta
    1.13413
  • Lowerbound of 95% confidence interval for alpha
    -1.99265
  • Upperbound of 95% confidence interval for alpha
    0.47444
  • Treynor index (mean / b)
    -0.68747
  • Jensen alpha (a)
    -0.75910
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.66352
  • SD
    0.47148
  • Sharpe ratio (Glass type estimate)
    -1.40732
  • Sharpe ratio (Hedges UMVUE)
    -1.40114
  • df
    171.00000
  • t
    -0.99512
  • p
    0.54826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.18113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37050
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.17692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37464
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.81661
  • Upside Potential Ratio
    6.95765
  • Upside part of mean
    2.54128
  • Downside part of mean
    -3.20480
  • Upside SD
    0.29811
  • Downside SD
    0.36525
  • N nonnegative terms
    72.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.23596
  • Mean of criterion
    -0.66352
  • SD of predictor
    0.20157
  • SD of criterion
    0.47148
  • Covariance
    0.03288
  • r
    0.34593
  • b (slope, estimate of beta)
    0.80916
  • a (intercept, estimate of alpha)
    -0.85445
  • Mean Square Error
    0.19684
  • DF error
    170.00000
  • t(b)
    4.80720
  • p(b)
    0.32703
  • t(a)
    -1.35908
  • p(a)
    0.55184
  • VAR (95 Confidence Intrvl)
    0.04800
  • Lowerbound of 95% confidence interval for beta
    0.47689
  • Upperbound of 95% confidence interval for beta
    1.14143
  • Lowerbound of 95% confidence interval for alpha
    -2.09550
  • Upperbound of 95% confidence interval for alpha
    0.38661
  • Treynor index (mean / b)
    -0.82001
  • Jensen alpha (a)
    -0.85445
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04280
  • Expected Shortfall on VaR
    0.05287
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02305
  • Expected Shortfall on VaR
    0.04467
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.89929
  • Quartile 1
    0.98789
  • Median
    0.99991
  • Quartile 3
    1.00975
  • Maximum
    1.11607
  • Mean of quarter 1
    0.96937
  • Mean of quarter 2
    0.99419
  • Mean of quarter 3
    1.00279
  • Mean of quarter 4
    1.02734
  • Inter Quartile Range
    0.02187
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05233
  • Mean of outliers low
    0.93247
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.02326
  • Mean of outliers high
    1.06477
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43878
  • VaR(95%) (moments method)
    0.03317
  • Expected Shortfall (moments method)
    0.06547
  • Extreme Value Index (regression method)
    0.44626
  • VaR(95%) (regression method)
    0.02602
  • Expected Shortfall (regression method)
    0.04739
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.35580
  • Quartile 1
    0.35580
  • Median
    0.35580
  • Quartile 3
    0.35580
  • Maximum
    0.35580
  • 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
  • Max Equity Drawdown (num days)
    600
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.55752
  • Compounded annual return (geometric extrapolation)
    -0.47981
  • Calmar ratio (compounded annual return / max draw down)
    -1.34856
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -9.07528

Strategy Description

SolidOptionTrader sells (writes) uncovered Put-Options and some uncovered Call-Options. The goal is to keep the premium received by selling the options and by limiting the risk associated to every trade. By doing this over and over again and by adding a sound money management system, which is incorporated in SolidOptionTrader, we aim to grow the account consistently month after month.

Every position will be opened as a limit order. No stop-loss orders will be used, instead we will usually close out a losing position as soon as the price of the underlying is approaching the strike price. On some occasions we will let a position go In-The-Money when a reversal of the underlying is expected. On some rare occasions (on put options only) we will even let to be assigned the underlying stock after the option expires if we expect an immediate reversal of the stock - in this case we will then sell the stock at break-even (or better) or sell a (covered) Call-Option. All trades are monitored in realtime by our proprietary Software.

Subscribe now and secure a FREE subscription as long as there are free spots available! The FREE subscription is for the first 10 subscribers only and will remain free for them as long as they are subscribed. After the 10 spots on the free subscription are gone, the price will increase gradually after every 10 subscribers by $10 to a max of 200 subscribers!

UPDATE - Free subscriptions for the first 10 subscribers are gone! The price will increase gradually after every 10 subscribers by $10. Max. 200 subscribers allowed!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-03-17
Suggested Minimum Capital
$30,000
# Trades
325
# Profitable
304
% Profitable
93.5%
Net Dividends
$168
Correlation S&P500
0.216
Sharpe Ratio
0.21
Sortino Ratio
0.29
Beta
0.43
Alpha
0.01

Latest Activity

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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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