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These are hypothetical performance results that have certain inherent limitations. Learn more

Risk Tracker Options
(77700092)

Created by: UserRemoved308 UserRemoved308
Started: 11/2012
Options
Last trade: 3,967 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.

-21.7%
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.

(23.3%)
Max Drawdown
138
Num Trades
44.9%
Win Trades
0.9 : 1
Profit Factor
1.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      +10.3%(2%)+8.0%
2013(1.1%)(9.3%)(8.2%)(2.9%)(2.2%)(1%)(0.1%)(0.1%)  -    -    -    -  (22.7%)
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -              

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/26/13 9:37 QQQ1322R52 QQQ Jun22'13 52 put LONG 40 0.19 3/12 10:30 0.05 2.84%
Trade id #79415291
Max drawdown($560)
Time3/12/13 10:30
Quant open0
Worst price0.05
Drawdown as % of equity-2.84%
($616)
Includes Typical Broker Commissions trade costs of $56.00
2/26/13 9:35 SPX1322R1200 SPX Jun22'13 1200 put LONG 5 6.70 3/12 9:36 1.45 13.29%
Trade id #79415175
Max drawdown($2,625)
Time3/12/13 9:36
Quant open0
Worst price1.45
Drawdown as % of equity-13.29%
($2,632)
Includes Typical Broker Commissions trade costs of $7.00
2/20/13 9:48 SPY1308O147 SPY Mar8'13 147 put SHORT 10 0.22 2/26 9:30 0.82 3.91%
Trade id #79306168
Max drawdown($896)
Time2/25/13 15:58
Quant open-8
Worst price1.34
Drawdown as % of equity-3.91%
($618)
Includes Typical Broker Commissions trade costs of $14.00
2/20/13 9:54 QQQ1316O64 QQQ Mar16'13 64 put SHORT 10 0.10 2/25 12:04 0.20 1.42%
Trade id #79306394
Max drawdown($320)
Time2/21/13 14:07
Quant open-10
Worst price0.42
Drawdown as % of equity-1.42%
($118)
Includes Typical Broker Commissions trade costs of $14.00
2/20/13 10:07 IWM1308O88 IWM Mar8'13 88 put SHORT 4 0.19 2/25 12:04 0.32 1.1%
Trade id #79306848
Max drawdown($248)
Time2/21/13 14:28
Quant open-4
Worst price0.81
Drawdown as % of equity-1.10%
($56)
Includes Typical Broker Commissions trade costs of $5.60
2/23/13 9:01 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 116.50 2/25 9:51 116.47 0.09%
Trade id #79369002
Max drawdown($21)
Time2/25/13 9:31
Quant open100
Worst price116.29
Drawdown as % of equity-0.09%
($5)
Includes Typical Broker Commissions trade costs of $2.00
2/20/13 9:46 SPXW1301O1485 SPX Mar1'13 1485 put SHORT 1 1.80 2/25 9:51 1.85 3.51%
Trade id #79306055
Max drawdown($790)
Time2/21/13 14:29
Quant open-1
Worst price9.70
Drawdown as % of equity-3.51%
($7)
Includes Typical Broker Commissions trade costs of $2.00
2/20/13 9:50 SSO1316O66 SSO Mar16'13 66 put SHORT 3 0.56 2/25 9:51 0.68 1.48%
Trade id #79306256
Max drawdown($333)
Time2/21/13 14:12
Quant open-3
Worst price1.67
Drawdown as % of equity-1.48%
($40)
Includes Typical Broker Commissions trade costs of $4.20
2/20/13 9:45 SPXW1301O1430 SPX Mar1'13 1430 put LONG 1 0.60 2/25 9:50 0.30 0.15%
Trade id #79306043
Max drawdown($35)
Time2/25/13 9:34
Quant open1
Worst price0.25
Drawdown as % of equity-0.15%
($32)
Includes Typical Broker Commissions trade costs of $2.00
2/20/13 9:48 SPY1308O142 SPY Mar8'13 142 put LONG 10 0.10 2/25 9:50 0.09 0.09%
Trade id #79306156
Max drawdown($20)
Time2/25/13 9:31
Quant open10
Worst price0.08
Drawdown as % of equity-0.09%
($24)
Includes Typical Broker Commissions trade costs of $14.00
2/20/13 9:54 QQQ1316O60 QQQ Mar16'13 60 put LONG 10 0.03 2/25 9:50 0.04 0.04%
Trade id #79306384
Max drawdown($10)
Time2/20/13 10:57
Quant open10
Worst price0.02
Drawdown as % of equity-0.04%
($4)
Includes Typical Broker Commissions trade costs of $14.00
2/20/13 9:51 TLT1316O113 TLT Mar16'13 113 put SHORT 2 0.60 2/25 9:50 0.38 0.06%
Trade id #79306293
Max drawdown($14)
Time2/20/13 14:30
Quant open-2
Worst price0.67
Drawdown as % of equity-0.06%
$41
Includes Typical Broker Commissions trade costs of $2.80
2/20/13 9:49 SSO1316O56 SSO Mar16'13 56 put LONG 3 0.07 2/25 9:49 0.10 n/a $5
Includes Typical Broker Commissions trade costs of $4.20
2/20/13 10:07 IWM1308O83 IWM Mar8'13 83 put LONG 4 0.07 2/25 9:49 0.04 0.05%
Trade id #79306832
Max drawdown($12)
Time2/25/13 9:49
Quant open0
Worst price0.04
Drawdown as % of equity-0.05%
($18)
Includes Typical Broker Commissions trade costs of $5.60
2/20/13 9:53 TLT1316C119 TLT Mar16'13 119 call SHORT 1 0.42 2/25 9:49 0.39 0.12%
Trade id #79306354
Max drawdown($28)
Time2/21/13 13:18
Quant open-1
Worst price0.70
Drawdown as % of equity-0.12%
$1
Includes Typical Broker Commissions trade costs of $2.00
2/20/13 9:51 TLT1316O105 TLT Mar16'13 105 put LONG 2 0.03 2/25 9:49 0.01 0.02%
Trade id #79306278
Max drawdown($4)
Time2/25/13 9:49
Quant open0
Worst price0.01
Drawdown as % of equity-0.02%
($7)
Includes Typical Broker Commissions trade costs of $2.80
2/20/13 9:52 TLT1316C127 TLT Mar16'13 127 call LONG 1 0.04 2/25 9:48 0.01 0.01%
Trade id #79306343
Max drawdown($3)
Time2/20/13 11:39
Quant open1
Worst price0.01
Drawdown as % of equity-0.01%
($5)
Includes Typical Broker Commissions trade costs of $2.00
2/20/13 9:52 TLT1322B120 TLT Feb22'13 120 call SHORT 1 0.02 2/23 9:01 0.00 n/a $1
Includes Typical Broker Commissions trade costs of $1.00
2/20/13 9:51 TLT1322B116.5 TLT Feb22'13 116.5 call LONG 1 0.40 2/23 9:01 0.00 0.17%
Trade id #79306321
Max drawdown($40)
Time2/23/13 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-0.17%
($41)
Includes Typical Broker Commissions trade costs of $1.00
2/12/13 10:19 SPY1328O135 SPY Mar28'13 135 put LONG 2 0.24 2/20 9:34 0.13 0.09%
Trade id #79162131
Max drawdown($22)
Time2/20/13 9:34
Quant open0
Worst price0.13
Drawdown as % of equity-0.09%
($25)
Includes Typical Broker Commissions trade costs of $3.40
2/12/13 10:50 SPY1308O137 SPY Mar8'13 137 put LONG 5 0.10 2/20 9:34 0.05 0.12%
Trade id #79163497
Max drawdown($29)
Time2/20/13 9:34
Quant open1
Worst price0.04
Drawdown as % of equity-0.12%
($38)
Includes Typical Broker Commissions trade costs of $8.80
1/29/13 15:58 SPY1328O136 SPY Mar28'13 136 put LONG 3 0.45 2/20 9:34 0.14 0.4%
Trade id #78914448
Max drawdown($93)
Time2/20/13 9:34
Quant open0
Worst price0.14
Drawdown as % of equity-0.40%
($97)
Includes Typical Broker Commissions trade costs of $4.20
2/12/13 10:32 SPY1316O137 SPY Mar16'13 137 put LONG 6 0.18 2/20 9:34 0.09 0.23%
Trade id #79162703
Max drawdown($54)
Time2/19/13 14:08
Quant open6
Worst price0.09
Drawdown as % of equity-0.23%
($62)
Includes Typical Broker Commissions trade costs of $8.40
2/12/13 10:19 SPY1328O144 SPY Mar28'13 144 put SHORT 2 0.76 2/20 9:34 0.46 0.01%
Trade id #79162150
Max drawdown($2)
Time2/12/13 11:51
Quant open-2
Worst price0.77
Drawdown as % of equity-0.01%
$57
Includes Typical Broker Commissions trade costs of $3.40
2/12/13 10:48 SPY1328O142 SPY Mar28'13 142 put SHORT 3 0.58 2/20 9:33 0.34 0%
Trade id #79163420
Max drawdown$0
Time2/13/13 14:43
Quant open-3
Worst price0.58
Drawdown as % of equity0.00%
$68
Includes Typical Broker Commissions trade costs of $4.20
1/22/13 15:57 SPY1328O134 SPY Mar28'13 134 put LONG 4 0.50 2/20 9:33 0.11 0.66%
Trade id #78786562
Max drawdown($156)
Time2/20/13 9:33
Quant open0
Worst price0.11
Drawdown as % of equity-0.66%
($162)
Includes Typical Broker Commissions trade costs of $5.60
2/12/13 10:49 SPY1308O147 SPY Mar8'13 147 put SHORT 5 0.51 2/20 9:32 0.28 0.01%
Trade id #79163453
Max drawdown($2)
Time2/14/13 9:31
Quant open-1
Worst price0.55
Drawdown as % of equity-0.01%
$106
Includes Typical Broker Commissions trade costs of $8.80
2/12/13 10:32 SPY1316O145 SPY Mar16'13 145 put SHORT 6 0.57 2/20 9:31 0.28 0.13%
Trade id #79162711
Max drawdown($30)
Time2/12/13 10:40
Quant open-6
Worst price0.62
Drawdown as % of equity-0.13%
$166
Includes Typical Broker Commissions trade costs of $8.40
1/22/13 15:57 SPY1328O143 SPY Mar28'13 143 put SHORT 4 1.48 2/20 9:31 0.40 0.13%
Trade id #78786571
Max drawdown($28)
Time1/24/13 14:03
Quant open-4
Worst price1.55
Drawdown as % of equity-0.13%
$426
Includes Typical Broker Commissions trade costs of $5.60
1/16/13 14:39 SPY1328O132 SPY Mar28'13 132 put LONG 2 0.65 2/14 10:08 0.15 0.43%
Trade id #78687154
Max drawdown($100)
Time2/14/13 10:08
Quant open0
Worst price0.15
Drawdown as % of equity-0.43%
($103)
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    11/16/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4110.22
  • Age
    137 months ago
  • What it trades
    Options
  • # Trades
    138
  • # Profitable
    62
  • % Profitable
    44.90%
  • Avg trade duration
    38.0 days
  • Max peak-to-valley drawdown
    23.3%
  • drawdown period
    Dec 21, 2012 - June 20, 2014
  • Cumul. Return
    -13.8%
  • Avg win
    $232.32
  • Avg loss
    $210.78
  • Model Account Values (Raw)
  • Cash
    $18,385
  • Margin Used
    $0
  • Buying Power
    $18,385
  • Ratios
  • W:L ratio
    0.90:1
  • Sharpe Ratio
    -0.72
  • Sortino Ratio
    -0.87
  • Calmar Ratio
    -0.208
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.91%
  • Correlation to SP500
    -0.00670
  • Return Percent SP500 (cumu) during strategy life
    274.21%
  • Return Statistics
  • Ann Return (w trading costs)
    -21.7%
  • Slump
  • Current Slump as Pcnt Equity
    40.60%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.138%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Instruments
  • Percent Trades Stocks
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $232
  • Avg Loss
    $211
  • Sum Trade PL (losers)
    $16,019.000
  • # Winners
    62
  • Num Months Winners
    1
  • Age
  • Num Months filled monthly returns table
    60
  • Win / Loss
  • Sum Trade PL (winners)
    $14,404.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    76
  • % Winners
    44.9%
  • Frequency
  • Avg Position Time (mins)
    54654.10
  • Avg Position Time (hrs)
    910.90
  • Avg Trade Length
    38.0 days
  • Last Trade Ago
    3959
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    4.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.83
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.85
  • Avg(MAE) / Avg(PL) - All trades
    -8.118
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    63.02
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.328
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.194
  • Hold-and-Hope Ratio
    -0.124
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.06900
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    546
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Risk Tracker is 100% mechanical system that aims to predict Risk on/Risk off phases on global stock market. This system uses Risk Tracker signals to trade options on SPY ETF.

Risk Tracker generates three different signals:
RiskOn - traders are looking for risk. Buy stocks and sell volatility
RiskOff - traders are risk averse. Sell or short stocks and buy volatility.
RiskNeutral - stay out of market and wait for new RiskOn phase

In this sub-system we take following positions
RiskOn: Sell credit put spreads on SPY using weekly an 1 month options
RiskOff: Buy naked long dated OTM puts on SPY to capture implied volatility jump
RiskNeutral: no position / money market fund

Here are backtest results of Risk Tracker on SPY:
http://bit.ly/StC4AF
(33% annual return, 15% max. drawdown)

We trade options instead of underlying so we should get event better returns with smaller drawdowns.

Summary Statistics

Strategy began
2012-11-16
Suggested Minimum Capital
$20,000
# Trades
138
# Profitable
62
% Profitable
44.9%
Correlation S&P500
-0.007
Sharpe Ratio
-0.72
Sortino Ratio
-0.87
Beta
-0.00
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.