Collective2 Collective2
Featured Strategy Cryptoverse +48.9% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Pangolin IC
(86019118)

Created by: KevinMcGrath2 KevinMcGrath2
Started: 02/2014
Options
Last trade: 3,649 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.

10.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(28.0%)
Max Drawdown
395
Num Trades
48.1%
Win Trades
1.2 : 1
Profit Factor
4.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014       (0.6%)+11.1%+18.6%(0.3%)+2.6%+1.0%+7.8%+4.6%(26.9%)(0.8%)(2.9%)+7.5%
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 8 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3779 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/8/14 11:04 SPY1426X198 SPY Dec26'14 198 put LONG 20 0.31 12/27 9:01 0.00 1.68%
Trade id #91194041
Max drawdown($620)
Time12/27/14 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-1.68%
 ($634)
Includes Typical Broker Commissions trade costs of $14.00
12/8/14 11:09 IWM1426X112 IWM Dec26'14 112 put SHORT 20 0.36 12/27 9:01 0.00 7.14%
Trade id #91194146
Max drawdown($2,640)
Time12/15/14 11:41
Quant open-20
Worst price1.68
Drawdown as % of equity-7.14%
 $706
Includes Typical Broker Commissions trade costs of $14.00
12/8/14 11:14 GLD1426X106 GLD Dec26'14 106 put LONG 20 0.21 12/27 9:01 0.00 1.13%
Trade id #91194287
Max drawdown($420)
Time12/27/14 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-1.13%
 ($434)
Includes Typical Broker Commissions trade costs of $14.00
12/8/14 11:14 GLD1426X108 GLD Dec26'14 108 put SHORT 20 0.31 12/27 9:01 0.00 0%
Trade id #91194302
Max drawdown$0
Time12/17/14 12:46
Quant open-20
Worst price0.31
Drawdown as % of equity0.00%
 $606
Includes Typical Broker Commissions trade costs of $14.00
12/8/14 11:05 SPY1426X200 SPY Dec26'14 200 put SHORT 20 0.42 12/27 9:00 0.00 21.41%
Trade id #91194061
Max drawdown($7,580)
Time12/16/14 16:03
Quant open-20
Worst price4.21
Drawdown as % of equity-21.41%
 $826
Includes Typical Broker Commissions trade costs of $14.00
12/8/14 11:07 SPY1426L212 SPY Dec26'14 212 call SHORT 20 0.17 12/27 9:00 0.00 n/a $326
Includes Typical Broker Commissions trade costs of $14.00
12/8/14 11:06 SPY1426L214 SPY Dec26'14 214 call LONG 20 0.08 12/27 9:00 0.00 0.43%
Trade id #91194088
Max drawdown($160)
Time12/27/14 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-0.43%
 ($174)
Includes Typical Broker Commissions trade costs of $14.00
12/8/14 11:08 IWM1426X110 IWM Dec26'14 110 put LONG 20 0.23 12/27 9:00 0.00 1.24%
Trade id #91194136
Max drawdown($460)
Time12/27/14 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-1.24%
 ($474)
Includes Typical Broker Commissions trade costs of $14.00
12/21/14 9:06 IWM ISHARES RUSSELL 2000 INDEX SHORT 2,000 118.00 12/22 9:31 119.20 7.41%
Trade id #91437598
Max drawdown($2,800)
Time12/22/14 8:05
Quant open-2,000
Worst price119.40
Drawdown as % of equity-7.41%
 ($2,405)
Includes Typical Broker Commissions trade costs of $5.00
12/21/14 9:07 SPY SPDR S&P 500 SHORT 2,000 206.00 12/22 9:30 206.75 6.51%
Trade id #91437622
Max drawdown($2,460)
Time12/22/14 4:02
Quant open-2,000
Worst price207.23
Drawdown as % of equity-6.51%
 ($1,505)
Includes Typical Broker Commissions trade costs of $5.00
12/15/14 10:56 SPY1420L206 SPY Dec20'14 206 call SHORT 20 0.13 12/21 9:07 0.00 10.18%
Trade id #91325984
Max drawdown($3,800)
Time12/18/14 16:01
Quant open-20
Worst price2.03
Drawdown as % of equity-10.18%
 $246
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:56 SPY1420L208 SPY Dec20'14 208 call LONG 20 0.05 12/21 9:07 0.00 0.26%
Trade id #91325964
Max drawdown($100)
Time12/21/14 9:07
Quant open0
Worst price0.00
Drawdown as % of equity-0.26%
 ($114)
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:54 SPY1420X193 SPY Dec20'14 193 put SHORT 20 0.43 12/21 9:07 0.00 3.2%
Trade id #91325908
Max drawdown($1,140)
Time12/15/14 11:58
Quant open-20
Worst price1.00
Drawdown as % of equity-3.20%
 $846
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:54 SPY1420X191 SPY Dec20'14 191 put LONG 20 0.32 12/21 9:06 0.00 1.69%
Trade id #91325896
Max drawdown($640)
Time12/21/14 9:06
Quant open0
Worst price0.00
Drawdown as % of equity-1.69%
 ($654)
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:48 IWM1420L118 IWM Dec20'14 118 call SHORT 20 0.15 12/21 9:06 0.00 7.36%
Trade id #91325748
Max drawdown($2,640)
Time12/19/14 15:41
Quant open-20
Worst price1.47
Drawdown as % of equity-7.36%
 $286
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:46 IWM1420X108 IWM Dec20'14 108 put LONG 20 0.22 12/21 9:06 0.00 1.17%
Trade id #91325644
Max drawdown($440)
Time12/21/14 9:06
Quant open0
Worst price0.00
Drawdown as % of equity-1.17%
 ($454)
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:48 IWM1420L120 IWM Dec20'14 120 call LONG 20 0.04 12/21 9:06 0.00 0.21%
Trade id #91325743
Max drawdown($80)
Time12/21/14 9:06
Quant open0
Worst price0.00
Drawdown as % of equity-0.21%
 ($94)
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:46 IWM1420X110 IWM Dec20'14 110 put SHORT 20 0.40 12/21 9:06 0.00 1.58%
Trade id #91325682
Max drawdown($580)
Time12/17/14 14:02
Quant open-20
Worst price0.69
Drawdown as % of equity-1.58%
 $786
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:43 GLD1420L120 GLD Dec20'14 120 call SHORT 20 0.22 12/21 9:06 0.00 0.55%
Trade id #91325492
Max drawdown($200)
Time12/17/14 14:02
Quant open-20
Worst price0.32
Drawdown as % of equity-0.55%
 $426
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:42 GLD1420L122 GLD Dec20'14 122 call LONG 20 0.09 12/21 9:05 0.00 0.48%
Trade id #91325454
Max drawdown($180)
Time12/21/14 9:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.48%
 ($194)
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:41 GLD1420X112 GLD Dec20'14 112 put SHORT 20 0.15 12/21 9:05 0.00 2.67%
Trade id #91325429
Max drawdown($960)
Time12/16/14 10:50
Quant open-20
Worst price0.63
Drawdown as % of equity-2.67%
 $286
Includes Typical Broker Commissions trade costs of $14.00
12/15/14 10:41 GLD1420X110 GLD Dec20'14 110 put LONG 20 0.08 12/21 9:05 0.00 0.42%
Trade id #91325415
Max drawdown($160)
Time12/21/14 9:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.42%
 ($174)
Includes Typical Broker Commissions trade costs of $14.00
12/1/14 14:01 SPY1412X197 SPY Dec12'14 197 put SHORT 20 0.25 12/13 9:02 0.00 0.11%
Trade id #91080099
Max drawdown($40)
Time12/1/14 14:07
Quant open-20
Worst price0.27
Drawdown as % of equity-0.11%
 $486
Includes Typical Broker Commissions trade costs of $14.00
12/1/14 14:00 SPY1412X195 SPY Dec12'14 195 put LONG 20 0.19 12/13 9:02 0.00 1.04%
Trade id #91080088
Max drawdown($380)
Time12/13/14 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-1.04%
 ($394)
Includes Typical Broker Commissions trade costs of $14.00
12/1/14 13:49 GLD1412X110 GLD Dec12'14 110 put SHORT 20 0.30 12/13 9:02 0.00 0.81%
Trade id #91079763
Max drawdown($300)
Time12/2/14 9:32
Quant open-20
Worst price0.45
Drawdown as % of equity-0.81%
 $586
Includes Typical Broker Commissions trade costs of $14.00
12/1/14 14:02 SPY1412L211 SPY Dec12'14 211 call SHORT 20 0.16 12/13 9:02 0.00 0.43%
Trade id #91080162
Max drawdown($160)
Time12/3/14 15:36
Quant open-20
Worst price0.24
Drawdown as % of equity-0.43%
 $306
Includes Typical Broker Commissions trade costs of $14.00
12/1/14 15:07 GLD1412L124 GLD Dec12'14 124 call SHORT 20 0.16 12/13 9:02 0.00 0.16%
Trade id #91082218
Max drawdown($60)
Time12/4/14 21:58
Quant open20
Worst price0.00
Drawdown as % of equity-0.16%
 $306
Includes Typical Broker Commissions trade costs of $14.00
12/1/14 15:07 GLD1412L126 GLD Dec12'14 126 call LONG 20 0.12 12/13 9:02 0.00 0.65%
Trade id #91082211
Max drawdown($240)
Time12/13/14 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-0.65%
 ($254)
Includes Typical Broker Commissions trade costs of $14.00
12/1/14 14:13 IWM1412L120 IWM Dec12'14 120 call SHORT 20 0.12 12/13 9:02 0.00 1.13%
Trade id #91080563
Max drawdown($420)
Time12/3/14 11:07
Quant open-20
Worst price0.33
Drawdown as % of equity-1.13%
 $226
Includes Typical Broker Commissions trade costs of $14.00
12/1/14 14:12 IWM1412L122 IWM Dec12'14 122 call LONG 20 0.06 12/13 9:02 0.00 0.33%
Trade id #91080549
Max drawdown($120)
Time12/13/14 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-0.33%
 ($134)
Includes Typical Broker Commissions trade costs of $14.00
Next

Statistics

  • Strategy began
    2/17/2014
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3958.03
  • Age
    132 months ago
  • What it trades
    Options
  • # Trades
    395
  • # Profitable
    190
  • % Profitable
    48.10%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    28.01%
  • drawdown period
    Oct 27, 2014 - Nov 21, 2014
  • Cumul. Return
    8.8%
  • Avg win
    $421.87
  • Avg loss
    $333.02
  • Model Account Values (Raw)
  • Cash
    $36,884
  • Margin Used
    $0
  • Buying Power
    $36,884
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    -0.03
  • Sortino Ratio
    -0.04
  • Calmar Ratio
    0.618
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.83%
  • Correlation to SP500
    0.01950
  • Return Percent SP500 (cumu) during strategy life
    224.92%
  • Return Statistics
  • Ann Return (w trading costs)
    10.2%
  • Slump
  • Current Slump as Pcnt Equity
    50.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.088%
  • Instruments
  • Percent Trades Options
    0.97%
  • Percent Trades Stocks
    0.03%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    20.50%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    1.00%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    329
  • Popularity (Last 6 weeks)
    369
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $333
  • Avg Win
    $422
  • Sum Trade PL (losers)
    $68,270.000
  • Age
  • Num Months filled monthly returns table
    131
  • Win / Loss
  • Sum Trade PL (winners)
    $80,155.000
  • # Winners
    190
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    205
  • % Winners
    48.1%
  • Frequency
  • Avg Position Time (mins)
    14363.30
  • Avg Position Time (hrs)
    239.39
  • Avg Trade Length
    10.0 days
  • Last Trade Ago
    3645
  • Regression
  • Alpha
    -0.00
  • Beta
    0.02
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.98
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.49
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.66
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    23.047
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.793
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.228
  • Hold-and-Hope Ratio
    0.043
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57525
  • SD
    0.44178
  • Sharpe ratio (Glass type estimate)
    1.30212
  • Sharpe ratio (Hedges UMVUE)
    1.18998
  • df
    9.00000
  • t
    1.18867
  • p
    0.13249
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40627
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28804
  • Upside Potential Ratio
    3.38349
  • Upside part of mean
    0.85066
  • Downside part of mean
    -0.27541
  • Upside SD
    0.37419
  • Downside SD
    0.25141
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.13783
  • Mean of criterion
    0.57525
  • SD of predictor
    0.09163
  • SD of criterion
    0.44178
  • Covariance
    -0.02559
  • r
    -0.63219
  • b (slope, estimate of beta)
    -3.04793
  • a (intercept, estimate of alpha)
    0.99533
  • Mean Square Error
    0.13181
  • DF error
    8.00000
  • t(b)
    -2.30781
  • p(b)
    0.97507
  • t(a)
    2.27564
  • p(a)
    0.02621
  • Lowerbound of 95% confidence interval for beta
    -6.09348
  • Upperbound of 95% confidence interval for beta
    -0.00237
  • Lowerbound of 95% confidence interval for alpha
    -0.01328
  • Upperbound of 95% confidence interval for alpha
    2.00395
  • Treynor index (mean / b)
    -0.18873
  • Jensen alpha (a)
    0.99533
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47693
  • SD
    0.44100
  • Sharpe ratio (Glass type estimate)
    1.08146
  • Sharpe ratio (Hedges UMVUE)
    0.98832
  • df
    9.00000
  • t
    0.98723
  • p
    0.17466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14933
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25616
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20672
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18336
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67142
  • Upside Potential Ratio
    2.76686
  • Upside part of mean
    0.78951
  • Downside part of mean
    -0.31258
  • Upside SD
    0.33552
  • Downside SD
    0.28534
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.13320
  • Mean of criterion
    0.47693
  • SD of predictor
    0.09127
  • SD of criterion
    0.44100
  • Covariance
    -0.02506
  • r
    -0.62254
  • b (slope, estimate of beta)
    -3.00813
  • a (intercept, estimate of alpha)
    0.87761
  • Mean Square Error
    0.13400
  • DF error
    8.00000
  • t(b)
    -2.24999
  • p(b)
    0.97272
  • t(a)
    2.00020
  • p(a)
    0.04025
  • Lowerbound of 95% confidence interval for beta
    -6.09115
  • Upperbound of 95% confidence interval for beta
    0.07489
  • Lowerbound of 95% confidence interval for alpha
    -0.13418
  • Upperbound of 95% confidence interval for alpha
    1.88940
  • Treynor index (mean / b)
    -0.15855
  • Jensen alpha (a)
    0.87761
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15605
  • Expected Shortfall on VaR
    0.19889
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01035
  • Expected Shortfall on VaR
    0.04158
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.77132
  • Quartile 1
    1.02038
  • Median
    1.05661
  • Quartile 3
    1.08161
  • Maximum
    1.29904
  • Mean of quarter 1
    0.93134
  • Mean of quarter 2
    1.04200
  • Mean of quarter 3
    1.07034
  • Mean of quarter 4
    1.15633
  • Inter Quartile Range
    0.06122
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.77132
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.29904
  • 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
    1.00000
  • Minimum
    0.22868
  • Quartile 1
    0.22868
  • Median
    0.22868
  • Quartile 3
    0.22868
  • Maximum
    0.22868
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60048
  • Compounded annual return (geometric extrapolation)
    0.62723
  • Calmar ratio (compounded annual return / max draw down)
    2.74282
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.15361
  • 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
    0.49444
  • SD
    0.37625
  • Sharpe ratio (Glass type estimate)
    1.31413
  • Sharpe ratio (Hedges UMVUE)
    1.31094
  • df
    309.00000
  • t
    1.24750
  • p
    0.10658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38032
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37817
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91882
  • Upside Potential Ratio
    6.45418
  • Upside part of mean
    1.66310
  • Downside part of mean
    -1.16867
  • Upside SD
    0.27462
  • Downside SD
    0.25768
  • N nonnegative terms
    169.00000
  • N negative terms
    141.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    310.00000
  • Mean of predictor
    0.13726
  • Mean of criterion
    0.49444
  • SD of predictor
    0.10723
  • SD of criterion
    0.37625
  • Covariance
    0.00392
  • r
    0.09728
  • b (slope, estimate of beta)
    0.34136
  • a (intercept, estimate of alpha)
    0.13800
  • Mean Square Error
    0.14068
  • DF error
    308.00000
  • t(b)
    1.71547
  • p(b)
    0.04363
  • t(a)
    1.13013
  • p(a)
    0.12965
  • Lowerbound of 95% confidence interval for beta
    -0.05019
  • Upperbound of 95% confidence interval for beta
    0.73292
  • Lowerbound of 95% confidence interval for alpha
    -0.33172
  • Upperbound of 95% confidence interval for alpha
    1.22689
  • Treynor index (mean / b)
    1.44843
  • Jensen alpha (a)
    0.44759
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42206
  • SD
    0.38322
  • Sharpe ratio (Glass type estimate)
    1.10134
  • Sharpe ratio (Hedges UMVUE)
    1.09867
  • df
    309.00000
  • t
    1.04550
  • p
    0.14830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16513
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49597
  • Upside Potential Ratio
    5.77083
  • Upside part of mean
    1.62812
  • Downside part of mean
    -1.20606
  • Upside SD
    0.25943
  • Downside SD
    0.28213
  • N nonnegative terms
    169.00000
  • N negative terms
    141.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    310.00000
  • Mean of predictor
    0.13149
  • Mean of criterion
    0.42206
  • SD of predictor
    0.10727
  • SD of criterion
    0.38322
  • Covariance
    0.00340
  • r
    0.08265
  • b (slope, estimate of beta)
    0.29527
  • a (intercept, estimate of alpha)
    0.38323
  • Mean Square Error
    0.14633
  • DF error
    308.00000
  • t(b)
    1.45548
  • p(b)
    0.07328
  • t(a)
    0.94896
  • p(a)
    0.17169
  • Lowerbound of 95% confidence interval for beta
    -0.10391
  • Upperbound of 95% confidence interval for beta
    0.69444
  • Lowerbound of 95% confidence interval for alpha
    -0.41141
  • Upperbound of 95% confidence interval for alpha
    1.17787
  • Treynor index (mean / b)
    1.42941
  • Jensen alpha (a)
    0.38323
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03223
  • Expected Shortfall on VaR
    0.04052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00699
  • Expected Shortfall on VaR
    0.01654
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    310.00000
  • Minimum
    0.79033
  • Quartile 1
    0.99800
  • Median
    1.00036
  • Quartile 3
    1.00485
  • Maximum
    1.18949
  • Mean of quarter 1
    0.98693
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00247
  • Mean of quarter 4
    1.01679
  • Inter Quartile Range
    0.00685
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.08065
  • Mean of outliers low
    0.97074
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.08387
  • Mean of outliers high
    1.03453
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67044
  • VaR(95%) (moments method)
    0.00998
  • Expected Shortfall (moments method)
    0.03457
  • Extreme Value Index (regression method)
    0.53955
  • VaR(95%) (regression method)
    0.00974
  • Expected Shortfall (regression method)
    0.02532
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00107
  • Quartile 1
    0.00320
  • Median
    0.00647
  • Quartile 3
    0.03263
  • Maximum
    0.25904
  • Mean of quarter 1
    0.00170
  • Mean of quarter 2
    0.00496
  • Mean of quarter 3
    0.01135
  • Mean of quarter 4
    0.08145
  • Inter Quartile Range
    0.02943
  • 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
    0.17292
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51736
  • VaR(95%) (moments method)
    0.09392
  • Expected Shortfall (moments method)
    0.20497
  • Extreme Value Index (regression method)
    0.91909
  • VaR(95%) (regression method)
    0.09260
  • Expected Shortfall (regression method)
    0.90344
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52816
  • Compounded annual return (geometric extrapolation)
    0.54035
  • Calmar ratio (compounded annual return / max draw down)
    2.08597
  • Compounded annual return / average of 25% largest draw downs
    6.63431
  • Compounded annual return / Expected Shortfall lognormal
    13.33550
  • 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
    -0.04303
  • SD
    0.36370
  • Sharpe ratio (Glass type estimate)
    -0.11831
  • Sharpe ratio (Hedges UMVUE)
    -0.11779
  • df
    171.00000
  • t
    -0.08366
  • p
    0.50407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65363
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.88962
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65404
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.13430
  • Upside Potential Ratio
    4.13401
  • Upside part of mean
    1.32452
  • Downside part of mean
    -1.36755
  • Upside SD
    0.16989
  • Downside SD
    0.32040
  • N nonnegative terms
    95.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.09926
  • Mean of criterion
    -0.04303
  • SD of predictor
    0.11916
  • SD of criterion
    0.36370
  • Covariance
    0.00306
  • r
    0.07053
  • b (slope, estimate of beta)
    0.21526
  • a (intercept, estimate of alpha)
    -0.06440
  • Mean Square Error
    0.13240
  • DF error
    170.00000
  • t(b)
    0.92183
  • p(b)
    0.46474
  • t(a)
    -0.12501
  • p(a)
    0.50479
  • Lowerbound of 95% confidence interval for beta
    -0.24570
  • Upperbound of 95% confidence interval for beta
    0.67622
  • Lowerbound of 95% confidence interval for alpha
    -1.08121
  • Upperbound of 95% confidence interval for alpha
    0.95242
  • Treynor index (mean / b)
    -0.19989
  • Jensen alpha (a)
    -0.06440
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11583
  • SD
    0.39294
  • Sharpe ratio (Glass type estimate)
    -0.29477
  • Sharpe ratio (Hedges UMVUE)
    -0.29347
  • df
    171.00000
  • t
    -0.20843
  • p
    0.51014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06633
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.06545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47851
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32651
  • Upside Potential Ratio
    3.69403
  • Upside part of mean
    1.31044
  • Downside part of mean
    -1.42627
  • Upside SD
    0.16643
  • Downside SD
    0.35475
  • N nonnegative terms
    95.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.09218
  • Mean of criterion
    -0.11583
  • SD of predictor
    0.11916
  • SD of criterion
    0.39294
  • Covariance
    0.00241
  • r
    0.05150
  • b (slope, estimate of beta)
    0.16984
  • a (intercept, estimate of alpha)
    -0.13148
  • Mean Square Error
    0.15490
  • DF error
    170.00000
  • t(b)
    0.67243
  • p(b)
    0.47425
  • t(a)
    -0.23602
  • p(a)
    0.50905
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    -0.32875
  • Upperbound of 95% confidence interval for beta
    0.66844
  • Lowerbound of 95% confidence interval for alpha
    -1.23118
  • Upperbound of 95% confidence interval for alpha
    0.96821
  • Treynor index (mean / b)
    -0.68197
  • Jensen alpha (a)
    -0.13148
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03457
  • Expected Shortfall on VaR
    0.04305
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00807
  • Expected Shortfall on VaR
    0.01926
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.79033
  • Quartile 1
    0.99751
  • Median
    1.00035
  • Quartile 3
    1.00476
  • Maximum
    1.07387
  • Mean of quarter 1
    0.98484
  • Mean of quarter 2
    0.99936
  • Mean of quarter 3
    1.00226
  • Mean of quarter 4
    1.01315
  • Inter Quartile Range
    0.00725
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.06977
  • Mean of outliers low
    0.96380
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.05233
  • Mean of outliers high
    1.03263
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50571
  • VaR(95%) (moments method)
    0.01088
  • Expected Shortfall (moments method)
    0.02605
  • Extreme Value Index (regression method)
    0.35382
  • VaR(95%) (regression method)
    0.01197
  • Expected Shortfall (regression method)
    0.02371
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00107
  • Quartile 1
    0.00531
  • Median
    0.00713
  • Quartile 3
    0.03701
  • Maximum
    0.25904
  • Mean of quarter 1
    0.00283
  • Mean of quarter 2
    0.00611
  • Mean of quarter 3
    0.01977
  • Mean of quarter 4
    0.12899
  • Inter Quartile Range
    0.03171
  • 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
    0.15385
  • Mean of outliers high
    0.17292
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64785
  • VaR(95%) (moments method)
    0.13065
  • Expected Shortfall (moments method)
    0.40462
  • Extreme Value Index (regression method)
    2.23967
  • VaR(95%) (regression method)
    0.25156
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    25
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.10312
  • Compounded annual return (geometric extrapolation)
    -0.10046
  • Calmar ratio (compounded annual return / max draw down)
    -0.38784
  • Compounded annual return / average of 25% largest draw downs
    -0.77888
  • Compounded annual return / Expected Shortfall lognormal
    -2.33354

Strategy Description

An Iron Condor is a fixed risk, directionally neutral option strategy that makes money as long as the underlying index or stock does not move more than a specified amount prior to option expiration. As a seller of these contracts, time decay (theta) is on your side, and appropriate positioning of the puts and calls can provide a 90+% likelihood of the trade closing profitably.

Pangolin IC will trade Iron Condors only on the ETFs for the major indices (SPY and IWM). With these two indices, large price dislocations are extremely uncommon, unlike higher volatility stocks where earnings can cause a 5-10% move overnight. No more than two ICs will be put in place for any option expiration date, with a maximum dollars at risk of no more than $5000. The condors are established with a delta for each wing of 0.10 or less. We will also use only weekly options - these options have a much greater time decay and traditional monthly options, which as a seller works to our benefit.

Anyone who has traded options knows that Iron Condors are one of the most reliable strategies for generating steady income growth regardless of market direction. This is not rocket science - it is a simple and straightforward application of statistics to market activity.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-02-17
Suggested Minimum Capital
$25,000
# Trades
395
# Profitable
190
% Profitable
48.1%
Correlation S&P500
0.019
Sharpe Ratio
-0.03
Sortino Ratio
-0.04
Beta
0.02
Alpha
-0.00

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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