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

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Trading weekly Options
(93922954)

Created by: fiaz_shah2 fiaz_shah2
Started: 04/2015
Options
Last trade: 3,124 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 $25.00 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.

17.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(100.0%)
Max Drawdown
44
Num Trades
54.5%
Win Trades
3.4 : 1
Profit Factor
59.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                     +47.2%(16.9%)(5.1%)+4.8%(0.5%)(15.2%)+17.7%+3.7%(7.5%)+15.8%
2016(26.5%)+10.8%+17.3%+3.7%+6.6%(15.5%)+37.1%+5.3%+2.5%(14.1%)+31.8%+9.8%+64.2%
2017(1.5%)+4.3%(4.8%)+7.6%(4.6%)+8.3%+0.7%(1.7%)+11.0%+2.1%+4.7%+0.3%+28.1%
2018+8.3%(5.4%)(2.1%)+2.8%+11.7%(0.1%)+2.2%+8.1%(4.3%)(18.3%)+2.2%(27.9%)(26.8%)
2019+31.9%+13.9%(7.3%)+9.0%+2.2%(5.5%)  -  (6.9%)+2.5%+7.5%+2.1%+8.8%+67.2%
2020(5.2%)(4.6%)(48.6%)+39.3%+7.1%+11.6%+8.3%+8.4%(3.4%)+1.0%+35.5%+12.7%+35.6%
2021+4.9%+9.0%+1.5%+5.1%(1.6%)(1.9%)+0.2%+3.1%(4%)+4.9%(3.1%)  -  +18.6%
2022(15.7%)+1.9%+4.6%(14.3%)+0.3%(12.1%)+9.8%+12.6%(19%)+7.7%+6.9%(7.7%)(27.7%)
2023+14.2%(2.3%)(9.8%)  -  +0.3%+10.5%+6.7%(8.7%)(5.8%)(9.9%)+14.6%+19.8%+26.6%
2024(4.9%)+7.1%+2.0%(6.3%)                                                (2.7%)

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
9/11/15 10:37 IWM1530I108 IWM Sep30'15 108 call LONG 3 6.64 10/1 9:01 0.00 18.53%
Trade id #97177122
Max drawdown($1,992)
Time10/1/15 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-18.53%
 ($1,994)
Includes Typical Broker Commissions trade costs of $2.10
9/2/15 13:06 SPY1530I202 SPY Sep30'15 202 call LONG 3 1.14 9/11 10:37 0.60 1.36%
Trade id #97010243
Max drawdown($168)
Time9/11/15 10:09
Quant open3
Worst price0.58
Drawdown as % of equity-1.36%
 ($166)
Includes Typical Broker Commissions trade costs of $4.20
7/1/15 9:01 IWM ISHARES RUSSELL 2000 INDEX LONG 300 124.00 7/1 10:02 125.91 n/a $567
Includes Typical Broker Commissions trade costs of $6.00
7/1/15 9:01 QQQ POWERSHARES QQQ LONG 300 105.00 7/1 10:02 108.30 n/a $984
Includes Typical Broker Commissions trade costs of $6.00
6/26/15 14:25 IWM1530F124 IWM Jun30'15 124 call LONG 3 3.53 7/1 9:01 0.00 8.9%
Trade id #95515182
Max drawdown($1,059)
Time7/1/15 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-8.90%
 ($1,061)
Includes Typical Broker Commissions trade costs of $2.10
6/26/15 14:19 QQQ1530F105 QQQ Jun30'15 105 call LONG 3 4.17 7/1 9:01 0.00 10.51%
Trade id #95514928
Max drawdown($1,251)
Time7/1/15 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-10.51%
 ($1,253)
Includes Typical Broker Commissions trade costs of $2.10
6/26/15 14:16 SPY1530F206 SPY Jun30'15 206 call LONG 3 4.11 7/1 9:01 0.00 10.36%
Trade id #95514792
Max drawdown($1,233)
Time7/1/15 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-10.36%
 ($1,235)
Includes Typical Broker Commissions trade costs of $2.10
6/19/15 12:49 SPY1526R214 SPY Jun26'15 214 put LONG 3 3.11 6/26 14:20 4.36 2.94%
Trade id #95178839
Max drawdown($387)
Time6/22/15 11:31
Quant open3
Worst price1.82
Drawdown as % of equity-2.94%
 $371
Includes Typical Broker Commissions trade costs of $4.20
6/19/15 12:53 QQQ1526R112.5 QQQ Jun26'15 112.5 put LONG 3 2.58 6/26 14:19 3.20 2.61%
Trade id #95178904
Max drawdown($339)
Time6/24/15 10:31
Quant open3
Worst price1.45
Drawdown as % of equity-2.61%
 $182
Includes Typical Broker Commissions trade costs of $4.20
6/19/15 12:58 IWM1526R131 IWM Jun26'15 131 put LONG 3 3.28 6/26 14:19 3.38 2.96%
Trade id #95178952
Max drawdown($384)
Time6/24/15 9:39
Quant open3
Worst price2.00
Drawdown as % of equity-2.96%
 $26
Includes Typical Broker Commissions trade costs of $4.20
6/8/15 13:03 SPY1530F203 SPY Jun30'15 203 call LONG 3 6.72 6/18 11:55 9.66 2.48%
Trade id #94869592
Max drawdown($321)
Time6/15/15 9:33
Quant open3
Worst price5.65
Drawdown as % of equity-2.48%
 $878
Includes Typical Broker Commissions trade costs of $4.20
6/8/15 13:05 QQQ1530F105 QQQ Jun30'15 105 call LONG 3 3.88 6/18 11:54 5.63 1.79%
Trade id #94869652
Max drawdown($231)
Time6/15/15 10:47
Quant open3
Worst price3.11
Drawdown as % of equity-1.79%
 $521
Includes Typical Broker Commissions trade costs of $4.20
6/8/15 13:07 DIA1530F173 DIA Jun30'15 173 call LONG 3 6.05 6/18 11:54 8.40 n/a $701
Includes Typical Broker Commissions trade costs of $4.20
6/6/15 9:00 IWM ISHARES RUSSELL 2000 INDEX LONG 200 119.00 6/8 10:00 124.95 n/a $1,186
Includes Typical Broker Commissions trade costs of $4.00
6/6/15 9:00 QQQ POWERSHARES QQQ LONG 200 106.00 6/8 10:00 108.83 n/a $562
Includes Typical Broker Commissions trade costs of $4.00
6/6/15 9:00 SPY SPDR S&P 500 LONG 100 208.00 6/8 10:00 209.21 n/a $119
Includes Typical Broker Commissions trade costs of $2.00
6/6/15 9:00 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 100 174.00 6/8 10:00 178.15 n/a $413
Includes Typical Broker Commissions trade costs of $2.00
5/27/15 12:58 QQQ1505F106 QQQ Jun5'15 106 call LONG 2 4.53 6/6 9:00 0.00 7.41%
Trade id #94651154
Max drawdown($906)
Time6/6/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-7.41%
 ($907)
Includes Typical Broker Commissions trade costs of $1.40
5/27/15 12:56 IWM1505F119 IWM Jun5'15 119 call LONG 2 5.07 6/6 9:00 0.00 8.29%
Trade id #94651085
Max drawdown($1,014)
Time6/6/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-8.29%
 ($1,015)
Includes Typical Broker Commissions trade costs of $1.40
5/27/15 13:01 DIA1505F174 DIA Jun5'15 174 call LONG 1 7.70 6/6 9:00 0.00 6.3%
Trade id #94651225
Max drawdown($770)
Time6/6/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-6.30%
 ($771)
Includes Typical Broker Commissions trade costs of $1.00
5/27/15 12:53 SPY1505F208 SPY Jun5'15 208 call LONG 1 4.68 6/6 9:00 0.00 3.83%
Trade id #94651020
Max drawdown($468)
Time6/6/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-3.83%
 ($469)
Includes Typical Broker Commissions trade costs of $1.00
5/23/15 9:00 SPY SPDR S&P 500 SHORT 300 215.00 5/27 12:52 211.77 n/a $964
Includes Typical Broker Commissions trade costs of $6.00
5/23/15 9:00 IWM ISHARES RUSSELL 2000 INDEX SHORT 300 126.00 5/26 12:15 123.02 n/a $888
Includes Typical Broker Commissions trade costs of $6.00
5/23/15 9:00 QQQ POWERSHARES QQQ SHORT 300 111.50 5/26 10:00 109.51 n/a $591
Includes Typical Broker Commissions trade costs of $6.00
5/15/15 12:01 SPY1522Q215 SPY May22'15 215 put LONG 3 3.12 5/23 9:00 0.00 8.08%
Trade id #94453444
Max drawdown($936)
Time5/23/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-8.08%
 ($938)
Includes Typical Broker Commissions trade costs of $2.10
5/15/15 12:02 IWM1522Q126 IWM May22'15 126 put LONG 3 2.77 5/23 9:00 0.00 7.18%
Trade id #94453467
Max drawdown($831)
Time5/23/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-7.18%
 ($833)
Includes Typical Broker Commissions trade costs of $2.10
5/15/15 12:03 QQQ1522Q111.5 QQQ May22'15 111.5 put LONG 3 2.18 5/23 9:00 0.00 5.65%
Trade id #94453519
Max drawdown($654)
Time5/23/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-5.65%
 ($656)
Includes Typical Broker Commissions trade costs of $2.10
5/7/15 14:34 SPY1515Q212.5 SPY May15'15 212.5 put LONG 3 3.76 5/15 11:58 0.63 8.16%
Trade id #94303292
Max drawdown($1,020)
Time5/15/15 9:32
Quant open3
Worst price0.36
Drawdown as % of equity-8.16%
 ($943)
Includes Typical Broker Commissions trade costs of $4.20
5/7/15 14:46 QQQ1515Q110.5 QQQ May15'15 110.5 put LONG 3 3.12 5/15 11:58 1.05 6.1%
Trade id #94303559
Max drawdown($762)
Time5/15/15 9:34
Quant open3
Worst price0.58
Drawdown as % of equity-6.10%
 ($625)
Includes Typical Broker Commissions trade costs of $4.20
5/7/15 14:32 IWM1515Q126 IWM May15'15 126 put LONG 3 4.25 5/15 11:57 2.53 4.89%
Trade id #94303228
Max drawdown($618)
Time5/14/15 13:32
Quant open3
Worst price2.19
Drawdown as % of equity-4.89%
 ($520)
Includes Typical Broker Commissions trade costs of $4.20
Next

Statistics

  • Strategy began
    4/17/2015
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3284.7
  • Age
    110 months ago
  • What it trades
    Stocks, Options
  • # Trades
    44
  • # Profitable
    24
  • % Profitable
    54.50%
  • Avg trade duration
    76.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 29, 2016 - Aug 10, 2019
  • Annual Return (Compounded)
    17.5%
  • Avg win
    $1,724
  • Avg loss
    $690.70
  • Model Account Values (Raw)
  • Cash
    ($221)
  • Margin Used
    $0
  • Buying Power
    $26,985
  • Ratios
  • W:L ratio
    3.40:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.25
  • Calmar Ratio
    1.782
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    180.73%
  • Correlation to SP500
    0.25530
  • Return Percent SP500 (cumu) during strategy life
    138.67%
  • Return Statistics
  • Ann Return (w trading costs)
    17.5%
  • Slump
  • Current Slump as Pcnt Equity
    25.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.27%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.175%
  • Instruments
  • Percent Trades Options
    0.75%
  • Percent Trades Stocks
    0.25%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    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
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $691
  • Avg Win
    $1,725
  • Sum Trade PL (losers)
    $13,814.000
  • Age
  • Num Months filled monthly returns table
    109
  • Win / Loss
  • Sum Trade PL (winners)
    $41,392.000
  • # Winners
    24
  • Num Months Winners
    66
  • Dividends
  • Dividends Received in Model Acct
    5608
  • Win / Loss
  • # Losers
    20
  • % Winners
    54.5%
  • Frequency
  • Avg Position Time (mins)
    110602.00
  • Avg Position Time (hrs)
    1843.37
  • Avg Trade Length
    76.8 days
  • Last Trade Ago
    3118
  • Regression
  • Alpha
    0.00
  • Beta
    2.27
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.84
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    7.70
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.15
  • MAE:Equity, average, winning trades
    0.07
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    1.175
  • 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
    0.221
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.079
  • Hold-and-Hope Ratio
    1.058
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91679
  • SD
    0.76407
  • Sharpe ratio (Glass type estimate)
    1.19988
  • Sharpe ratio (Hedges UMVUE)
    1.16025
  • df
    23.00000
  • t
    1.69689
  • p
    0.05161
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24047
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58614
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.73799
  • Upside Potential Ratio
    5.63844
  • Upside part of mean
    1.38290
  • Downside part of mean
    -0.46611
  • Upside SD
    0.75456
  • Downside SD
    0.24526
  • N nonnegative terms
    16.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.43606
  • Mean of criterion
    0.91679
  • SD of predictor
    0.27534
  • SD of criterion
    0.76407
  • Covariance
    0.14251
  • r
    0.67738
  • b (slope, estimate of beta)
    1.87971
  • a (intercept, estimate of alpha)
    0.09713
  • Mean Square Error
    0.33029
  • DF error
    22.00000
  • t(b)
    4.31894
  • p(b)
    0.00014
  • t(a)
    0.21656
  • p(a)
    0.41527
  • Lowerbound of 95% confidence interval for beta
    0.97711
  • Upperbound of 95% confidence interval for beta
    2.78231
  • Lowerbound of 95% confidence interval for alpha
    -0.83303
  • Upperbound of 95% confidence interval for alpha
    1.02729
  • Treynor index (mean / b)
    0.48773
  • Jensen alpha (a)
    0.09713
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67427
  • SD
    0.63662
  • Sharpe ratio (Glass type estimate)
    1.05914
  • Sharpe ratio (Hedges UMVUE)
    1.02415
  • df
    23.00000
  • t
    1.49784
  • p
    0.07389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37070
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44131
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.56131
  • Upside Potential Ratio
    4.45315
  • Upside part of mean
    1.17230
  • Downside part of mean
    -0.49803
  • Upside SD
    0.59748
  • Downside SD
    0.26325
  • N nonnegative terms
    16.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.39407
  • Mean of criterion
    0.67427
  • SD of predictor
    0.26284
  • SD of criterion
    0.63662
  • Covariance
    0.11711
  • r
    0.69988
  • b (slope, estimate of beta)
    1.69517
  • a (intercept, estimate of alpha)
    0.00626
  • Mean Square Error
    0.21616
  • DF error
    22.00000
  • t(b)
    4.59597
  • p(b)
    0.00007
  • t(a)
    0.01741
  • p(a)
    0.49313
  • Lowerbound of 95% confidence interval for beta
    0.93025
  • Upperbound of 95% confidence interval for beta
    2.46009
  • Lowerbound of 95% confidence interval for alpha
    -0.73920
  • Upperbound of 95% confidence interval for alpha
    0.75172
  • Treynor index (mean / b)
    0.39776
  • Jensen alpha (a)
    0.00626
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21815
  • Expected Shortfall on VaR
    0.27431
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06989
  • Expected Shortfall on VaR
    0.13656
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.84405
  • Quartile 1
    0.92728
  • Median
    1.02636
  • Quartile 3
    1.15026
  • Maximum
    1.82332
  • Mean of quarter 1
    0.86788
  • Mean of quarter 2
    0.98810
  • Mean of quarter 3
    1.10344
  • Mean of quarter 4
    1.35549
  • Inter Quartile Range
    0.22298
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.82332
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -35.57050
  • VaR(95%) (moments method)
    0.12718
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.78405
  • VaR(95%) (regression method)
    0.13666
  • Expected Shortfall (regression method)
    0.13903
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.11231
  • Quartile 1
    0.13019
  • Median
    0.13414
  • Quartile 3
    0.19640
  • Maximum
    0.28300
  • Mean of quarter 1
    0.12125
  • Mean of quarter 2
    0.13414
  • Mean of quarter 3
    0.19640
  • Mean of quarter 4
    0.28300
  • Inter Quartile Range
    0.06621
  • 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)
    1.53644
  • Compounded annual return (geometric extrapolation)
    1.01814
  • Calmar ratio (compounded annual return / max draw down)
    3.59771
  • Compounded annual return / average of 25% largest draw downs
    3.59771
  • Compounded annual return / Expected Shortfall lognormal
    3.71162
  • 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
    1.15208
  • SD
    0.95886
  • Sharpe ratio (Glass type estimate)
    1.20151
  • Sharpe ratio (Hedges UMVUE)
    1.19981
  • df
    530.00000
  • t
    1.71050
  • p
    0.04388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17766
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57844
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99317
  • Upside Potential Ratio
    9.04958
  • Upside part of mean
    5.23079
  • Downside part of mean
    -4.07871
  • Upside SD
    0.76724
  • Downside SD
    0.57801
  • N nonnegative terms
    260.00000
  • N negative terms
    271.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    531.00000
  • Mean of predictor
    0.48703
  • Mean of criterion
    1.15208
  • SD of predictor
    0.35111
  • SD of criterion
    0.95886
  • Covariance
    0.23036
  • r
    0.68424
  • b (slope, estimate of beta)
    1.86862
  • a (intercept, estimate of alpha)
    0.24200
  • Mean Square Error
    0.48989
  • DF error
    529.00000
  • t(b)
    21.57990
  • p(b)
    -0.00000
  • t(a)
    0.49043
  • p(a)
    0.31202
  • Lowerbound of 95% confidence interval for beta
    1.69852
  • Upperbound of 95% confidence interval for beta
    2.03872
  • Lowerbound of 95% confidence interval for alpha
    -0.72736
  • Upperbound of 95% confidence interval for alpha
    1.21137
  • Treynor index (mean / b)
    0.61654
  • Jensen alpha (a)
    0.24200
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71206
  • SD
    0.93004
  • Sharpe ratio (Glass type estimate)
    0.76562
  • Sharpe ratio (Hedges UMVUE)
    0.76454
  • df
    530.00000
  • t
    1.08996
  • p
    0.13811
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61224
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14205
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14769
  • Upside Potential Ratio
    8.01667
  • Upside part of mean
    4.97378
  • Downside part of mean
    -4.26172
  • Upside SD
    0.69307
  • Downside SD
    0.62043
  • N nonnegative terms
    260.00000
  • N negative terms
    271.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    531.00000
  • Mean of predictor
    0.42433
  • Mean of criterion
    0.71206
  • SD of predictor
    0.35453
  • SD of criterion
    0.93004
  • Covariance
    0.22405
  • r
    0.67949
  • b (slope, estimate of beta)
    1.78250
  • a (intercept, estimate of alpha)
    -0.04431
  • Mean Square Error
    0.46649
  • DF error
    529.00000
  • t(b)
    21.30110
  • p(b)
    -0.00000
  • t(a)
    -0.09211
  • p(a)
    0.53668
  • Lowerbound of 95% confidence interval for beta
    1.61811
  • Upperbound of 95% confidence interval for beta
    1.94689
  • Lowerbound of 95% confidence interval for alpha
    -0.98936
  • Upperbound of 95% confidence interval for alpha
    0.90074
  • Treynor index (mean / b)
    0.39947
  • Jensen alpha (a)
    -0.04431
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08771
  • Expected Shortfall on VaR
    0.10915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03598
  • Expected Shortfall on VaR
    0.07385
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    531.00000
  • Minimum
    0.73663
  • Quartile 1
    0.98143
  • Median
    1.00000
  • Quartile 3
    1.02353
  • Maximum
    1.47324
  • Mean of quarter 1
    0.94329
  • Mean of quarter 2
    0.99477
  • Mean of quarter 3
    1.01065
  • Mean of quarter 4
    1.06935
  • Inter Quartile Range
    0.04210
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.04331
  • Mean of outliers low
    0.86826
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.05838
  • Mean of outliers high
    1.14752
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30834
  • VaR(95%) (moments method)
    0.05384
  • Expected Shortfall (moments method)
    0.09410
  • Extreme Value Index (regression method)
    0.12555
  • VaR(95%) (regression method)
    0.05381
  • Expected Shortfall (regression method)
    0.08143
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00247
  • Quartile 1
    0.02443
  • Median
    0.05372
  • Quartile 3
    0.11318
  • Maximum
    0.61485
  • Mean of quarter 1
    0.00719
  • Mean of quarter 2
    0.03736
  • Mean of quarter 3
    0.07959
  • Mean of quarter 4
    0.33090
  • Inter Quartile Range
    0.08876
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13043
  • Mean of outliers high
    0.53240
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43034
  • VaR(95%) (moments method)
    0.34484
  • Expected Shortfall (moments method)
    0.71685
  • Extreme Value Index (regression method)
    0.04000
  • VaR(95%) (regression method)
    0.33283
  • Expected Shortfall (regression method)
    0.47906
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.71725
  • Compounded annual return (geometric extrapolation)
    1.09587
  • Calmar ratio (compounded annual return / max draw down)
    1.78234
  • Compounded annual return / average of 25% largest draw downs
    3.31175
  • Compounded annual return / Expected Shortfall lognormal
    10.04030
  • 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
    1.72982
  • SD
    1.03877
  • Sharpe ratio (Glass type estimate)
    1.66525
  • Sharpe ratio (Hedges UMVUE)
    1.65563
  • df
    130.00000
  • t
    1.17751
  • p
    0.44864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43473
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09238
  • Upside Potential Ratio
    11.10700
  • Upside part of mean
    6.21304
  • Downside part of mean
    -4.48322
  • Upside SD
    0.87711
  • Downside SD
    0.55938
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.02003
  • Mean of criterion
    1.72982
  • SD of predictor
    0.45390
  • SD of criterion
    1.03877
  • Covariance
    0.34830
  • r
    0.73872
  • b (slope, estimate of beta)
    1.69059
  • a (intercept, estimate of alpha)
    0.00536
  • Mean Square Error
    0.49401
  • DF error
    129.00000
  • t(b)
    12.44810
  • p(b)
    0.07694
  • t(a)
    0.00534
  • p(a)
    0.49970
  • Lowerbound of 95% confidence interval for beta
    1.42189
  • Upperbound of 95% confidence interval for beta
    1.95930
  • Lowerbound of 95% confidence interval for alpha
    -1.98027
  • Upperbound of 95% confidence interval for alpha
    1.99100
  • Treynor index (mean / b)
    1.02320
  • Jensen alpha (a)
    0.00536
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.23123
  • SD
    0.98222
  • Sharpe ratio (Glass type estimate)
    1.25352
  • Sharpe ratio (Hedges UMVUE)
    1.24628
  • df
    130.00000
  • t
    0.88637
  • p
    0.46125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.02222
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08534
  • Upside Potential Ratio
    9.96242
  • Upside part of mean
    5.88204
  • Downside part of mean
    -4.65081
  • Upside SD
    0.78395
  • Downside SD
    0.59042
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.91587
  • Mean of criterion
    1.23123
  • SD of predictor
    0.45441
  • SD of criterion
    0.98222
  • Covariance
    0.34031
  • r
    0.76247
  • b (slope, estimate of beta)
    1.64809
  • a (intercept, estimate of alpha)
    -0.27820
  • Mean Square Error
    0.40701
  • DF error
    129.00000
  • t(b)
    13.38430
  • p(b)
    0.06695
  • t(a)
    -0.30596
  • p(a)
    0.51714
  • VAR (95 Confidence Intrvl)
    0.08800
  • Lowerbound of 95% confidence interval for beta
    1.40446
  • Upperbound of 95% confidence interval for beta
    1.89171
  • Lowerbound of 95% confidence interval for alpha
    -2.07719
  • Upperbound of 95% confidence interval for alpha
    1.52079
  • Treynor index (mean / b)
    0.74707
  • Jensen alpha (a)
    -0.27820
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09073
  • Expected Shortfall on VaR
    0.11327
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04113
  • Expected Shortfall on VaR
    0.07920
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.81568
  • Quartile 1
    0.97596
  • Median
    1.00000
  • Quartile 3
    1.03098
  • Maximum
    1.44455
  • Mean of quarter 1
    0.94127
  • Mean of quarter 2
    0.99103
  • Mean of quarter 3
    1.01387
  • Mean of quarter 4
    1.08088
  • Inter Quartile Range
    0.05502
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.85886
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.23444
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01400
  • VaR(95%) (moments method)
    0.05427
  • Expected Shortfall (moments method)
    0.07269
  • Extreme Value Index (regression method)
    0.15377
  • VaR(95%) (regression method)
    0.06618
  • Expected Shortfall (regression method)
    0.10088
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.04122
  • Quartile 1
    0.08190
  • Median
    0.10265
  • Quartile 3
    0.11960
  • Maximum
    0.42066
  • Mean of quarter 1
    0.06156
  • Mean of quarter 2
    0.10265
  • Mean of quarter 3
    0.11960
  • Mean of quarter 4
    0.42066
  • Inter Quartile Range
    0.03770
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.42066
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -374223000
  • Max Equity Drawdown (num days)
    1258
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.75360
  • Compounded annual return (geometric extrapolation)
    2.52238
  • Calmar ratio (compounded annual return / max draw down)
    5.99627
  • Compounded annual return / average of 25% largest draw downs
    5.99627
  • Compounded annual return / Expected Shortfall lognormal
    22.26820

Strategy Description

This system is designed to trade calls and puts on index etf's. Will only buy calls and puts on the underling using Bollinger bands to gauge the volatility and RSI as the trend indicator. The system will mostly trade weekly options and each trade will last a week or less depending on the trend reversal.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-04-17
Suggested Minimum Capital
$10,000
# Trades
44
# Profitable
24
% Profitable
54.5%
Net Dividends
$5,608
Correlation S&P500
0.255
Sharpe Ratio
0.19
Sortino Ratio
0.25
Beta
2.27
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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Suggested Minimum Capital

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