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

Volatility Factor
(84556311)

Created by: AndreaAngiolini AndreaAngiolini
Started: 12/2013
Options
Last trade: 2,781 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $49.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

1.1%
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.

(20.4%)
Max Drawdown
103
Num Trades
70.9%
Win Trades
1.4 : 1
Profit Factor
17.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                                             (1.2%)(1.2%)
2014(1%)+1.0%+1.7%+0.3%+0.3%(0.3%)+0.6%+1.9%+0.9%(1.5%)(3.4%)+3.1%+3.4%
2015+2.5%+1.6%+3.1%+1.4%+0.4%+0.8%+1.2%(6.8%)(2.3%)+1.2%+3.5%+5.9%+12.7%
2016(2.3%)(4.7%)+2.1%(0.5%)+2.2%+0.8%+0.2%(0.1%)  -    -    -    -  (2.5%)
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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/9/16 10:24 SPY1619T211 SPY Aug19'16 211 put SHORT 1 5.14 8/16 10:23 0.05 n/a $507
Includes Typical Broker Commissions trade costs of $2.00
6/9/16 10:25 SPY1619H211 SPY Aug19'16 211 call SHORT 1 4.60 8/16 10:23 7.53 1.28%
Trade id #102761890
Max drawdown($394)
Time8/15/16 12:25
Quant open-1
Worst price8.54
Drawdown as % of equity-1.28%
($295)
Includes Typical Broker Commissions trade costs of $2.00
4/26/16 15:28 SPY1617R208 SPY Jun17'16 208 put SHORT 1 4.24 6/9 10:23 0.57 0.93%
Trade id #102038529
Max drawdown($280)
Time5/19/16 11:42
Quant open-1
Worst price7.04
Drawdown as % of equity-0.93%
$365
Includes Typical Broker Commissions trade costs of $2.00
4/26/16 15:29 SPY1617F208 SPY Jun17'16 208 call SHORT 1 4.39 6/9 10:22 3.76 0.08%
Trade id #102038542
Max drawdown($24)
Time6/8/16 14:55
Quant open-1
Worst price4.63
Drawdown as % of equity-0.08%
$61
Includes Typical Broker Commissions trade costs of $2.00
4/5/16 15:35 SPY1620E204 SPY May20'16 204 call SHORT 1 4.36 5/13 15:31 2.05 1.21%
Trade id #101666404
Max drawdown($356)
Time4/20/16 15:02
Quant open-1
Worst price7.92
Drawdown as % of equity-1.21%
$229
Includes Typical Broker Commissions trade costs of $2.00
4/5/16 15:34 SPY1620Q204 SPY May20'16 204 put SHORT 1 3.83 5/13 15:31 1.25 0.04%
Trade id #101666392
Max drawdown($12)
Time4/12/16 10:25
Quant open-1
Worst price3.95
Drawdown as % of equity-0.04%
$256
Includes Typical Broker Commissions trade costs of $2.00
2/8/16 15:41 SPY1615P184 SPY Apr15'16 184 put SHORT 1 7.23 4/13 10:47 0.01 0.13%
Trade id #100410858
Max drawdown($37)
Time2/12/16 10:05
Quant open-1
Worst price7.60
Drawdown as % of equity-0.13%
$720
Includes Typical Broker Commissions trade costs of $2.00
2/8/16 15:42 SPY1615D184 SPY Apr15'16 184 call SHORT 1 7.57 4/13 10:47 23.22 5.24%
Trade id #100410890
Max drawdown($1,565)
Time4/13/16 10:47
Quant open0
Worst price23.22
Drawdown as % of equity-5.24%
($1,567)
Includes Typical Broker Commissions trade costs of $2.00
2/20/16 9:35 SPY SPDR S&P 500 LONG 100 199.00 4/5 15:33 204.50 0.55%
Trade id #100737743
Max drawdown($162)
Time3/10/16 13:14
Quant open100
Worst price197.38
Drawdown as % of equity-0.55%
$548
Includes Typical Broker Commissions trade costs of $2.00
1/4/16 15:31 SPY1619N199 SPY Feb19'16 199 put SHORT 1 5.14 2/20 9:35 0.00 4.38%
Trade id #99015876
Max drawdown($1,247)
Time2/11/16 14:36
Quant open-1
Worst price17.61
Drawdown as % of equity-4.38%
$513
Includes Typical Broker Commissions trade costs of $1.00
1/4/16 15:32 SPY1619B199 SPY Feb19'16 199 call SHORT 1 5.60 2/20 9:35 0.00 0.38%
Trade id #99015910
Max drawdown($115)
Time1/5/16 9:34
Quant open-1
Worst price6.75
Drawdown as % of equity-0.38%
$559
Includes Typical Broker Commissions trade costs of $1.00
12/11/15 15:10 SPY1619N202 SPY Feb19'16 202 put SHORT 1 7.09 2/12/16 15:33 15.83 4.7%
Trade id #98751292
Max drawdown($1,356)
Time1/20/16 12:42
Quant open-1
Worst price20.65
Drawdown as % of equity-4.70%
($876)
Includes Typical Broker Commissions trade costs of $2.00
12/11/15 15:11 SPY1619B202 SPY Feb19'16 202 call SHORT 1 6.13 2/12/16 15:33 0.01 0.95%
Trade id #98751306
Max drawdown($287)
Time12/16/15 15:53
Quant open-1
Worst price9.00
Drawdown as % of equity-0.95%
$610
Includes Typical Broker Commissions trade costs of $2.00
12/2/15 15:34 SPY1619B208 SPY Feb19'16 208 call SHORT 1 5.61 2/8/16 15:45 0.01 0.16%
Trade id #98610595
Max drawdown($48)
Time12/4/15 15:13
Quant open-1
Worst price6.09
Drawdown as % of equity-0.16%
$558
Includes Typical Broker Commissions trade costs of $2.00
12/2/15 15:33 SPY1619N208 SPY Feb19'16 208 put SHORT 1 5.91 2/8/16 15:44 22.85 6.93%
Trade id #98610586
Max drawdown($2,000)
Time1/20/16 12:19
Quant open-1
Worst price25.91
Drawdown as % of equity-6.93%
($1,696)
Includes Typical Broker Commissions trade costs of $2.00
11/13/15 14:48 SPY1615A203 SPY Jan15'16 203 call SHORT 1 5.20 1/4/16 15:34 1.31 0.8%
Trade id #98372878
Max drawdown($236)
Time12/7/15 9:31
Quant open-1
Worst price7.56
Drawdown as % of equity-0.80%
$387
Includes Typical Broker Commissions trade costs of $2.00
11/13/15 14:48 SPY1615M203 SPY Jan15'16 203 put SHORT 1 6.42 1/4/16 15:34 4.81 0.2%
Trade id #98372857
Max drawdown($58)
Time12/14/15 11:34
Quant open-1
Worst price7.00
Drawdown as % of equity-0.20%
$159
Includes Typical Broker Commissions trade costs of $2.00
11/9/15 15:35 SPY1615M208 SPY Jan15'16 208 put SHORT 1 5.70 1/4/16 15:33 8.83 1.52%
Trade id #98261031
Max drawdown($447)
Time12/14/15 11:39
Quant open-1
Worst price10.17
Drawdown as % of equity-1.52%
($315)
Includes Typical Broker Commissions trade costs of $2.00
11/9/15 15:36 SPY1615A208 SPY Jan15'16 208 call SHORT 1 4.76 1/4/16 15:33 0.20 0.22%
Trade id #98261053
Max drawdown($64)
Time11/20/15 10:15
Quant open-1
Worst price5.40
Drawdown as % of equity-0.22%
$454
Includes Typical Broker Commissions trade costs of $2.00
10/14/15 15:33 SPY1519L199 SPY Dec19'15 199 call SHORT 1 5.68 12/11 15:09 4.85 2.19%
Trade id #97799505
Max drawdown($642)
Time12/2/15 9:46
Quant open-1
Worst price12.10
Drawdown as % of equity-2.19%
$81
Includes Typical Broker Commissions trade costs of $2.00
10/14/15 15:33 SPY1519X199 SPY Dec19'15 199 put SHORT 1 5.81 12/11 15:09 2.34 0.08%
Trade id #97799474
Max drawdown($24)
Time10/14/15 16:09
Quant open-1
Worst price6.05
Drawdown as % of equity-0.08%
$345
Includes Typical Broker Commissions trade costs of $2.00
9/22/15 15:41 SPY1520W194 SPY Nov20'15 194 put SHORT 1 6.12 11/13 14:47 0.40 0.77%
Trade id #97379518
Max drawdown($215)
Time10/2/15 9:36
Quant open-1
Worst price8.27
Drawdown as % of equity-0.77%
$570
Includes Typical Broker Commissions trade costs of $2.00
9/22/15 15:42 SPY1520K194 SPY Nov20'15 194 call SHORT 1 6.19 11/13 14:47 9.46 4.07%
Trade id #97379562
Max drawdown($1,136)
Time11/4/15 9:32
Quant open-1
Worst price17.55
Drawdown as % of equity-4.07%
($329)
Includes Typical Broker Commissions trade costs of $2.00
8/20/15 15:33 SPY1516V204 SPY Oct16'15 204 put SHORT 1 5.05 10/9 13:19 3.63 4.32%
Trade id #96756257
Max drawdown($1,175)
Time9/29/15 12:11
Quant open-1
Worst price16.80
Drawdown as % of equity-4.32%
$140
Includes Typical Broker Commissions trade costs of $2.00
8/20/15 15:34 SPY1516J204 SPY Oct16'15 204 call SHORT 1 5.23 10/9 13:19 0.35 0.02%
Trade id #96756289
Max drawdown($5)
Time8/20/15 15:37
Quant open-1
Worst price5.28
Drawdown as % of equity-0.02%
$486
Includes Typical Broker Commissions trade costs of $2.00
10/1/15 9:01 SPY SPDR S&P 500 LONG 100 208.00 10/1 15:16 191.89 6.56%
Trade id #97545175
Max drawdown($1,818)
Time10/1/15 12:10
Quant open100
Worst price189.82
Drawdown as % of equity-6.56%
($1,613)
Includes Typical Broker Commissions trade costs of $2.00
8/6/15 15:26 SPY1530I208 SPY Sep30'15 208 call SHORT 1 4.00 10/1 9:01 0.00 0.1%
Trade id #96488206
Max drawdown($30)
Time8/19/15 14:15
Quant open-1
Worst price4.30
Drawdown as % of equity-0.10%
$399
Includes Typical Broker Commissions trade costs of $1.00
8/6/15 15:25 SPY1530U208 SPY Sep30'15 208 put SHORT 1 4.49 10/1 9:01 0.00 5.65%
Trade id #96488158
Max drawdown($1,527)
Time9/29/15 16:00
Quant open-1
Worst price19.76
Drawdown as % of equity-5.65%
$448
Includes Typical Broker Commissions trade costs of $1.00
7/22/15 15:42 SPY1518U211 SPY Sep18'15 211 put SHORT 1 4.37 8/24 15:51 21.31 8.1%
Trade id #96014632
Max drawdown($2,342)
Time8/24/15 9:39
Quant open-1
Worst price27.79
Drawdown as % of equity-8.10%
($1,696)
Includes Typical Broker Commissions trade costs of $2.00
7/22/15 15:43 SPY1518I211 SPY Sep18'15 211 call SHORT 1 3.73 8/24 15:51 0.21 0.1%
Trade id #96014689
Max drawdown($29)
Time7/23/15 9:31
Quant open-1
Worst price4.02
Drawdown as % of equity-0.10%
$350
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    12/11/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3757.93
  • Age
    125 months ago
  • What it trades
    Options
  • # Trades
    103
  • # Profitable
    73
  • % Profitable
    70.90%
  • Avg trade duration
    38.5 days
  • Max peak-to-valley drawdown
    20.42%
  • drawdown period
    Oct 05, 2014 - Oct 15, 2014
  • Annual Return (Compounded)
    1.1%
  • Avg win
    $282.56
  • Avg loss
    $500.77
  • Model Account Values (Raw)
  • Cash
    $30,709
  • Margin Used
    $0
  • Buying Power
    $30,709
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    -0.07
  • Sortino Ratio
    -0.1
  • Calmar Ratio
    0.373
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -179.72%
  • Correlation to SP500
    0.17280
  • Return Percent SP500 (cumu) during strategy life
    194.82%
  • Return Statistics
  • Ann Return (w trading costs)
    1.1%
  • Slump
  • Current Slump as Pcnt Equity
    2.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.86%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.011%
  • Instruments
  • Percent Trades Options
    0.96%
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.0%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $501
  • Avg Win
    $283
  • Sum Trade PL (losers)
    $15,023.000
  • Age
  • Num Months filled monthly returns table
    124
  • Win / Loss
  • Sum Trade PL (winners)
    $20,627.000
  • # Winners
    73
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    105
  • Win / Loss
  • # Losers
    30
  • % Winners
    70.9%
  • Frequency
  • Avg Position Time (mins)
    55459.70
  • Avg Position Time (hrs)
    924.33
  • Avg Trade Length
    38.5 days
  • Last Trade Ago
    2779
  • Regression
  • Alpha
    -0.00
  • Beta
    0.07
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.67
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    63.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.24
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    7.896
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.801
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.599
  • Hold-and-Hope Ratio
    0.127
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02918
  • SD
    0.06643
  • Sharpe ratio (Glass type estimate)
    0.43932
  • Sharpe ratio (Hedges UMVUE)
    0.43178
  • df
    44.00000
  • t
    0.85075
  • p
    0.19976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45311
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44792
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69300
  • Upside Potential Ratio
    2.04652
  • Upside part of mean
    0.08618
  • Downside part of mean
    -0.05700
  • Upside SD
    0.05111
  • Downside SD
    0.04211
  • N nonnegative terms
    21.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.25266
  • Mean of criterion
    0.02918
  • SD of predictor
    0.28074
  • SD of criterion
    0.06643
  • Covariance
    0.00198
  • r
    0.10606
  • b (slope, estimate of beta)
    0.02510
  • a (intercept, estimate of alpha)
    0.02284
  • Mean Square Error
    0.00446
  • DF error
    43.00000
  • t(b)
    0.69942
  • p(b)
    0.24403
  • t(a)
    0.64029
  • p(a)
    0.26269
  • Lowerbound of 95% confidence interval for beta
    -0.04726
  • Upperbound of 95% confidence interval for beta
    0.09746
  • Lowerbound of 95% confidence interval for alpha
    -0.04910
  • Upperbound of 95% confidence interval for alpha
    0.09479
  • Treynor index (mean / b)
    1.16287
  • Jensen alpha (a)
    0.02284
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02694
  • SD
    0.06617
  • Sharpe ratio (Glass type estimate)
    0.40714
  • Sharpe ratio (Hedges UMVUE)
    0.40015
  • df
    44.00000
  • t
    0.78842
  • p
    0.21734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41572
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62733
  • Upside Potential Ratio
    1.97263
  • Upside part of mean
    0.08472
  • Downside part of mean
    -0.05777
  • Upside SD
    0.04998
  • Downside SD
    0.04295
  • N nonnegative terms
    21.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.21367
  • Mean of criterion
    0.02694
  • SD of predictor
    0.26909
  • SD of criterion
    0.06617
  • Covariance
    0.00225
  • r
    0.12663
  • b (slope, estimate of beta)
    0.03114
  • a (intercept, estimate of alpha)
    0.02029
  • Mean Square Error
    0.00441
  • DF error
    43.00000
  • t(b)
    0.83711
  • p(b)
    0.20358
  • t(a)
    0.57639
  • p(a)
    0.28368
  • Lowerbound of 95% confidence interval for beta
    -0.04388
  • Upperbound of 95% confidence interval for beta
    0.10616
  • Lowerbound of 95% confidence interval for alpha
    -0.05069
  • Upperbound of 95% confidence interval for alpha
    0.09127
  • Treynor index (mean / b)
    0.86516
  • Jensen alpha (a)
    0.02029
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02875
  • Expected Shortfall on VaR
    0.03645
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01121
  • Expected Shortfall on VaR
    0.02374
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.95640
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01174
  • Maximum
    1.05948
  • Mean of quarter 1
    0.98679
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00640
  • Mean of quarter 4
    1.02748
  • Inter Quartile Range
    0.01174
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.95678
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08889
  • Mean of outliers high
    1.04394
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.37564
  • VaR(95%) (moments method)
    0.00223
  • Expected Shortfall (moments method)
    0.00246
  • Extreme Value Index (regression method)
    -2.41922
  • VaR(95%) (regression method)
    0.01619
  • Expected Shortfall (regression method)
    0.01662
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00830
  • Median
    0.04357
  • Quartile 3
    0.04762
  • Maximum
    0.05064
  • Mean of quarter 1
    0.00434
  • Mean of quarter 2
    0.04357
  • Mean of quarter 3
    0.04762
  • Mean of quarter 4
    0.05064
  • Inter Quartile Range
    0.03933
  • 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)
    0.06090
  • Compounded annual return (geometric extrapolation)
    0.05638
  • Calmar ratio (compounded annual return / max draw down)
    1.11324
  • Compounded annual return / average of 25% largest draw downs
    1.11324
  • Compounded annual return / Expected Shortfall lognormal
    1.54673
  • 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
    0.03145
  • SD
    0.10576
  • Sharpe ratio (Glass type estimate)
    0.29731
  • Sharpe ratio (Hedges UMVUE)
    0.29709
  • df
    1002.00000
  • t
    0.58172
  • p
    0.49081
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70456
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70472
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29890
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40110
  • Upside Potential Ratio
    4.44671
  • Upside part of mean
    0.34860
  • Downside part of mean
    -0.31716
  • Upside SD
    0.07094
  • Downside SD
    0.07840
  • N nonnegative terms
    377.00000
  • N negative terms
    626.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1003.00000
  • Mean of predictor
    0.28581
  • Mean of criterion
    0.03145
  • SD of predictor
    0.25719
  • SD of criterion
    0.10576
  • Covariance
    0.00487
  • r
    0.17918
  • b (slope, estimate of beta)
    0.07368
  • a (intercept, estimate of alpha)
    0.01000
  • Mean Square Error
    0.01084
  • DF error
    1001.00000
  • t(b)
    5.76216
  • p(b)
    0.00000
  • t(a)
    0.19472
  • p(a)
    0.42283
  • Lowerbound of 95% confidence interval for beta
    0.04859
  • Upperbound of 95% confidence interval for beta
    0.09878
  • Lowerbound of 95% confidence interval for alpha
    -0.09427
  • Upperbound of 95% confidence interval for alpha
    0.11504
  • Treynor index (mean / b)
    0.42675
  • Jensen alpha (a)
    0.01039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02582
  • SD
    0.10625
  • Sharpe ratio (Glass type estimate)
    0.24301
  • Sharpe ratio (Hedges UMVUE)
    0.24283
  • df
    1002.00000
  • t
    0.47546
  • p
    0.49249
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24476
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24460
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32267
  • Upside Potential Ratio
    4.32521
  • Upside part of mean
    0.34610
  • Downside part of mean
    -0.32028
  • Upside SD
    0.06984
  • Downside SD
    0.08002
  • N nonnegative terms
    377.00000
  • N negative terms
    626.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1003.00000
  • Mean of predictor
    0.25198
  • Mean of criterion
    0.02582
  • SD of predictor
    0.26097
  • SD of criterion
    0.10625
  • Covariance
    0.00492
  • r
    0.17759
  • b (slope, estimate of beta)
    0.07231
  • a (intercept, estimate of alpha)
    0.00760
  • Mean Square Error
    0.01094
  • DF error
    1001.00000
  • t(b)
    5.70941
  • p(b)
    0.00000
  • t(a)
    0.14189
  • p(a)
    0.44360
  • Lowerbound of 95% confidence interval for beta
    0.04745
  • Upperbound of 95% confidence interval for beta
    0.09716
  • Lowerbound of 95% confidence interval for alpha
    -0.09751
  • Upperbound of 95% confidence interval for alpha
    0.11271
  • Treynor index (mean / b)
    0.35710
  • Jensen alpha (a)
    0.00760
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01064
  • Expected Shortfall on VaR
    0.01335
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00311
  • Expected Shortfall on VaR
    0.00704
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1003.00000
  • Minimum
    0.92348
  • Quartile 1
    0.99996
  • Median
    1.00000
  • Quartile 3
    1.00100
  • Maximum
    1.06310
  • Mean of quarter 1
    0.99543
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00028
  • Mean of quarter 4
    1.00521
  • Inter Quartile Range
    0.00104
  • Number outliers low
    129.00000
  • Percentage of outliers low
    0.12861
  • Mean of outliers low
    0.99174
  • Number of outliers high
    148.00000
  • Percentage of outliers high
    0.14756
  • Mean of outliers high
    1.00768
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.92331
  • VaR(95%) (moments method)
    0.00379
  • Expected Shortfall (moments method)
    0.05488
  • Extreme Value Index (regression method)
    0.64539
  • VaR(95%) (regression method)
    0.00351
  • Expected Shortfall (regression method)
    0.01213
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    43.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00075
  • Median
    0.00246
  • Quartile 3
    0.00719
  • Maximum
    0.14802
  • Mean of quarter 1
    0.00037
  • Mean of quarter 2
    0.00178
  • Mean of quarter 3
    0.00401
  • Mean of quarter 4
    0.05071
  • Inter Quartile Range
    0.00644
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.13953
  • Mean of outliers high
    0.08260
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.89128
  • VaR(95%) (moments method)
    0.04896
  • Expected Shortfall (moments method)
    0.49036
  • Extreme Value Index (regression method)
    0.78650
  • VaR(95%) (regression method)
    0.04488
  • Expected Shortfall (regression method)
    0.23000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05965
  • Compounded annual return (geometric extrapolation)
    0.05520
  • Calmar ratio (compounded annual return / max draw down)
    0.37289
  • Compounded annual return / average of 25% largest draw downs
    1.08857
  • Compounded annual return / Expected Shortfall lognormal
    4.13493
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.02089
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43238
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92434
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43929
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6808880000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    710386999999999964617989756551168.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -341760000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

This proprietary system tries to take advantage from the persistent volatility premium that is intrinsic in the options's price. Our proprietary indicator detects volatility spikes and sells overpriced options. The system tested all the possible trading strategies in options and discovered that the most profitable one on SPY ETF is the short straddle. Risk management includes take profits, stop loss and a volatility filters that indicate when the implied volatility term structure is inverted. The strategy was successfully backtested by our proprietary software developed in C over a huge database of historical options prices. Returns were almost always more than 25% cagr on margins.

Summary Statistics

Strategy began
2013-12-11
Suggested Minimum Capital
$25,000
# Trades
103
# Profitable
73
% Profitable
70.9%
Net Dividends
Correlation S&P500
0.173
Sharpe Ratio
-0.07
Sortino Ratio
-0.10
Beta
0.07
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.