Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List
These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/23/2016
Most recent certification approved 11/23/16 10:35 ET
Trades at broker Interactive Brokers (Direct Connection non-US)
Scaling percentage used 100%
# trading signals issued by system since certification 401
# trading signals executed in manager's Interactive Brokers (Direct Connection non-US) account 397
Percent signals followed since 11/23/2016 99%
This information was last updated 10/21/17 17:09 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/23/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

R Option (102125034)

Created by: RandBots RandBots
Started: 01/2013
Options
Last trade: 8 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 $199.00 per month.

85.4%
Annual Return (Compounded)
41.7%
Max Drawdown
311
Num Trades
87.8%
Win Trades
5.6 : 1
Profit Factor
87.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013+0.2%+2.6%+3.2%+8.9%+3.4%+6.3%+5.4%+11.6%+13.0%+8.1%+4.2%+12.9%+114.7%
2014+12.0%+20.7%+13.2%+0.1%+2.1%+11.0%+3.0%+13.9%+3.1%+31.3%(0.1%)+13.0%+211.5%
2015+6.0%+1.2%+6.0%+4.3%+3.3%(14.7%)+44.1%+1.0%+5.6%+3.1%+2.2%+2.1%+72.7%
2016+3.8%(0.9%)+5.0%(0.3%)+9.6%(4.9%)+14.5%+1.6%+3.4%(2.3%)+3.0%+0.4%+36.6%
2017+4.1%+2.8%+2.0%+0.3%+3.8%  -  +5.2%+1.2%+0.2%+0.9%            +22.3%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 397 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/21/17 10:42 SPY1720V242 SPY Oct20'17 242 put SHORT 188 0.43 10/13 15:33 0.13 0.01%
Trade id #113787540
Max drawdown($170)
Time9/25/17 12:16
Quant open-10
Worst price0.89
Drawdown as % of equity-0.01%
$5,281
Includes Typical Broker Commissions trade costs of $212.75
10/6/17 15:27 SPY1720V249 SPY Oct20'17 249 put SHORT 200 0.31 10/13 15:33 0.11 0.05%
Trade id #114074593
Max drawdown($1,000)
Time10/9/17 15:51
Quant open-200
Worst price0.36
Drawdown as % of equity-0.05%
$3,814
Includes Typical Broker Commissions trade costs of $214.85
10/5/17 13:08 SPY1720J252 SPY Oct20'17 252 call SHORT 13 3.28 10/6 15:34 2.88 0%
Trade id #114044073
Max drawdown($64)
Time10/5/17 16:07
Quant open-12
Worst price3.37
Drawdown as % of equity-0.00%
$475
Includes Typical Broker Commissions trade costs of $37.75
10/5/17 13:08 SPY1720J255 SPY Oct20'17 255 call LONG 12 1.17 10/6 15:34 0.84 0.02%
Trade id #114044069
Max drawdown($449)
Time10/6/17 11:44
Quant open12
Worst price0.80
Drawdown as % of equity-0.02%
($425)
Includes Typical Broker Commissions trade costs of $26.85
9/28/17 15:40 SPY1720V244 SPY Oct20'17 244 put SHORT 150 0.45 10/5 11:38 0.19 0%
Trade id #113918249
Max drawdown$0
Time9/28/17 15:42
Quant open-100
Worst price0.54
Drawdown as % of equity0.00%
$3,785
Includes Typical Broker Commissions trade costs of $164.85
8/22/17 11:06 QQQ1715U138 QQQ Sep15'17 138 put SHORT 30 0.73 8/24 10:35 0.70 0.02%
Trade id #113277337
Max drawdown($360)
Time8/23/17 9:31
Quant open-30
Worst price0.85
Drawdown as % of equity-0.02%
$59
Includes Typical Broker Commissions trade costs of $39.90
8/22/17 10:58 QQQ1715U139.5 QQQ Sep15'17 139.5 put SHORT 30 1.02 8/24 10:35 0.98 0.02%
Trade id #113277082
Max drawdown($390)
Time8/24/17 10:10
Quant open-30
Worst price1.15
Drawdown as % of equity-0.02%
$80
Includes Typical Broker Commissions trade costs of $39.90
8/18/17 11:52 SPY1715U235 SPY Sep15'17 235 put SHORT 25 1.21 8/24 10:05 0.72 0.04%
Trade id #113225729
Max drawdown($700)
Time8/21/17 10:22
Quant open-25
Worst price1.49
Drawdown as % of equity-0.04%
$1,195
Includes Typical Broker Commissions trade costs of $34.90
8/11/17 9:54 QQQ1715U141 QQQ Sep15'17 141 put SHORT 11 2.03 8/24 9:49 1.38 0.05%
Trade id #113105417
Max drawdown($902)
Time8/21/17 10:23
Quant open-11
Worst price2.85
Drawdown as % of equity-0.05%
$685
Includes Typical Broker Commissions trade costs of $25.85
8/17/17 15:48 SPY1715U243 SPY Sep15'17 243 put SHORT 75 2.93 8/24 9:33 1.96 0.16%
Trade id #113208810
Max drawdown($3,128)
Time8/18/17 10:00
Quant open-50
Worst price3.97
Drawdown as % of equity-0.16%
$7,238
Includes Typical Broker Commissions trade costs of $94.80
8/17/17 15:01 SPY1715U244 SPY Sep15'17 244 put SHORT 200 3.27 8/23 13:16 2.56 1.17%
Trade id #113206950
Max drawdown($22,751)
Time8/18/17 10:01
Quant open-200
Worst price4.41
Drawdown as % of equity-1.17%
$14,006
Includes Typical Broker Commissions trade costs of $209.90
8/11/17 15:35 QQQ1715U142 QQQ Sep15'17 142 put SHORT 111 1.46 8/23 12:26 1.71 1.06%
Trade id #113111814
Max drawdown($20,608)
Time8/21/17 10:23
Quant open-111
Worst price3.32
Drawdown as % of equity-1.06%
($2,864)
Includes Typical Broker Commissions trade costs of $125.85
8/18/17 11:54 QQQ1715U137 QQQ Sep15'17 137 put SHORT 25 1.00 8/22 11:06 0.60 0.06%
Trade id #113225810
Max drawdown($1,256)
Time8/21/17 10:24
Quant open-25
Worst price1.50
Drawdown as % of equity-0.06%
$958
Includes Typical Broker Commissions trade costs of $34.90
8/8/17 15:50 QQQ1718T141 QQQ Aug18'17 141 put SHORT 120 0.35 8/18 11:53 0.10 0.73%
Trade id #113044738
Max drawdown($14,200)
Time8/10/17 15:50
Quant open-120
Worst price1.53
Drawdown as % of equity-0.73%
$2,746
Includes Typical Broker Commissions trade costs of $154.65
8/8/17 15:40 SPY1718T243 SPY Aug18'17 243 put SHORT 56 0.55 8/18 11:52 0.28 0.32%
Trade id #113044467
Max drawdown($6,230)
Time8/10/17 15:50
Quant open-50
Worst price1.80
Drawdown as % of equity-0.32%
$1,477
Includes Typical Broker Commissions trade costs of $80.75
8/8/17 14:34 SPY1718T244 SPY Aug18'17 244 put SHORT 270 0.38 8/17 15:48 0.72 2.5%
Trade id #113043216
Max drawdown($48,254)
Time8/10/17 15:51
Quant open-270
Worst price2.17
Drawdown as % of equity-2.50%
($9,329)
Includes Typical Broker Commissions trade costs of $299.70
8/8/17 14:32 QQQ1718T142 QQQ Aug18'17 142 put SHORT 140 0.59 8/16 12:19 1.29 0.99%
Trade id #113043188
Max drawdown($19,095)
Time8/10/17 15:50
Quant open-113
Worst price2.04
Drawdown as % of equity-0.99%
($9,941)
Includes Typical Broker Commissions trade costs of $189.50
7/27/17 13:18 QQQ1718T140 QQQ Aug18'17 140 put SHORT 100 0.81 8/8 15:37 0.25 0.12%
Trade id #112834071
Max drawdown($2,300)
Time7/27/17 13:42
Quant open-50
Worst price1.25
Drawdown as % of equity-0.12%
$5,530
Includes Typical Broker Commissions trade costs of $134.65
7/27/17 13:20 SPY1718T241 SPY Aug18'17 241 put SHORT 65 0.72 8/8 15:36 0.29 0.05%
Trade id #112834146
Max drawdown($1,079)
Time7/27/17 13:40
Quant open-45
Worst price0.90
Drawdown as % of equity-0.05%
$2,700
Includes Typical Broker Commissions trade costs of $94.70
7/27/17 13:07 SPY1718T242 SPY Aug18'17 242 put SHORT 200 0.58 8/8 15:36 0.31 0.16%
Trade id #112833582
Max drawdown($3,126)
Time7/27/17 13:43
Quant open-75
Worst price1.02
Drawdown as % of equity-0.16%
$5,210
Includes Typical Broker Commissions trade costs of $259.40
7/27/17 13:04 QQQ1718T141 QQQ Aug18'17 141 put SHORT 135 0.81 8/8 14:39 0.50 0.35%
Trade id #112833378
Max drawdown($6,837)
Time7/27/17 13:42
Quant open-100
Worst price1.53
Drawdown as % of equity-0.35%
$4,123
Includes Typical Broker Commissions trade costs of $174.60
8/1/17 10:18 SPY1718T243 SPY Aug18'17 243 put SHORT 100 0.62 8/3 15:36 0.56 0.03%
Trade id #112919092
Max drawdown($642)
Time8/2/17 11:06
Quant open-75
Worst price0.71
Drawdown as % of equity-0.03%
$512
Includes Typical Broker Commissions trade costs of $119.80
7/12/17 15:56 QQQ1718T135 QQQ Aug18'17 135 put SHORT 50 0.82 7/27 12:27 0.15 0%
Trade id #112561660
Max drawdown($40)
Time7/13/17 9:32
Quant open-10
Worst price0.96
Drawdown as % of equity-0.00%
$3,265
Includes Typical Broker Commissions trade costs of $64.85
7/11/17 13:55 QQQ1718T137 QQQ Aug18'17 137 put SHORT 100 1.79 7/27 9:41 0.23 0%
Trade id #112529142
Max drawdown($50)
Time7/11/17 13:59
Quant open-50
Worst price2.03
Drawdown as % of equity-0.00%
$15,499
Includes Typical Broker Commissions trade costs of $124.75
7/17/17 10:21 SPY1718T241 SPY Aug18'17 241 put SHORT 70 1.00 7/27 9:40 0.44 0.05%
Trade id #112639246
Max drawdown($975)
Time7/18/17 10:43
Quant open-60
Worst price1.20
Drawdown as % of equity-0.05%
$3,814
Includes Typical Broker Commissions trade costs of $89.80
7/25/17 14:21 SPY1718T242 SPY Aug18'17 242 put SHORT 54 0.58 7/27 9:40 0.51 0.01%
Trade id #112774754
Max drawdown($200)
Time7/25/17 15:25
Quant open-50
Worst price0.62
Drawdown as % of equity-0.01%
$293
Includes Typical Broker Commissions trade costs of $68.85
7/26/17 14:19 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5944.75 7/26 14:20 5944.25 0%
Trade id #112797418
Max drawdown($10)
Time7/26/17 14:20
Quant open0
Worst price5944.25
Drawdown as % of equity-0.00%
($18)
Includes Typical Broker Commissions trade costs of $8.00
7/6/17 15:45 QQQ1718T139 QQQ Aug18'17 139 put SHORT 65 3.19 7/26 14:15 0.40 0%
Trade id #112451880
Max drawdown($61)
Time7/6/17 15:48
Quant open-40
Worst price4.43
Drawdown as % of equity-0.00%
$18,060
Includes Typical Broker Commissions trade costs of $79.85
7/18/17 9:34 SPY1718T240 SPY Aug18'17 240 put SHORT 20 1.00 7/25 14:21 0.46 0.01%
Trade id #112658427
Max drawdown($115)
Time7/18/17 10:43
Quant open-20
Worst price1.06
Drawdown as % of equity-0.01%
$1,055
Includes Typical Broker Commissions trade costs of $29.90
7/19/17 12:05 SPY1718T239 SPY Aug18'17 239 put SHORT 30 0.62 7/25 14:21 0.41 0.01%
Trade id #112683834
Max drawdown($180)
Time7/20/17 10:40
Quant open-30
Worst price0.68
Drawdown as % of equity-0.01%
$590
Includes Typical Broker Commissions trade costs of $39.90

Statistics

  • Strategy began
    1/9/2013
  • Starting Unit Size
    $100,000
  • Strategy Age (days)
    1746.23
  • Age
    58 months ago
  • What it trades
    Options
  • # Trades
    311
  • # Profitable
    273
  • % Profitable
    87.80%
  • Avg trade duration
    10.3 days
  • Max peak-to-valley drawdown
    41.7%
  • drawdown period
    Oct 08, 2014 - Oct 16, 2014
  • Annual Return (Compounded)
    85.4%
  • Avg win
    $8,376
  • Avg loss
    $10,837
  • Model Account Values (Raw)
  • Cash
    $2,044,750
  • Margin Used
    $1,503,460
  • Buying Power
    $541,290
  • Ratios
  • W:L ratio
    5.58:1
  • Sharpe Ratio
    1.604
  • Sortino Ratio
    2.877
  • Calmar Ratio
    2.292
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.47000
  • Return Statistics
  • Ann Return (w trading costs)
    85.4%
  • Ann Return (Compnd, No Fees)
    87.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.00%
  • Chance of 20% account loss
    15.00%
  • Chance of 30% account loss
    4.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    964
  • Popularity (Last 6 weeks)
    989
  • C2 Score
    99.6
  • Trades-Own-System Certification
  • Trades Own System?
    183804
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $10,838
  • Avg Win
    $8,377
  • # Winners
    273
  • # Losers
    38
  • % Winners
    87.8%
  • Frequency
  • Avg Position Time (mins)
    14885.70
  • Avg Position Time (hrs)
    248.09
  • Avg Trade Length
    10.3 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67200
  • SD
    0.35489
  • Sharpe ratio (Glass type estimate)
    1.89354
  • Sharpe ratio (Hedges UMVUE)
    1.86806
  • df
    56.00000
  • t
    4.12687
  • p
    0.00006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92122
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85114
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83161
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.73875
  • Upside Potential Ratio
    7.48406
  • Upside part of mean
    0.74632
  • Downside part of mean
    -0.07432
  • Upside SD
    0.38914
  • Downside SD
    0.09972
  • N nonnegative terms
    50.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    57.00000
  • Mean of predictor
    0.09585
  • Mean of criterion
    0.67200
  • SD of predictor
    0.10028
  • SD of criterion
    0.35489
  • Covariance
    0.01585
  • r
    0.44546
  • b (slope, estimate of beta)
    1.57651
  • a (intercept, estimate of alpha)
    0.52089
  • Mean Square Error
    0.10279
  • DF error
    55.00000
  • t(b)
    3.68995
  • p(b)
    0.00026
  • t(a)
    3.41116
  • p(a)
    0.00061
  • Lowerbound of 95% confidence interval for beta
    0.72029
  • Upperbound of 95% confidence interval for beta
    2.43273
  • Lowerbound of 95% confidence interval for alpha
    0.21487
  • Upperbound of 95% confidence interval for alpha
    0.82690
  • Treynor index (mean / b)
    0.42626
  • Jensen alpha (a)
    0.52089
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60404
  • SD
    0.30482
  • Sharpe ratio (Glass type estimate)
    1.98161
  • Sharpe ratio (Hedges UMVUE)
    1.95495
  • df
    56.00000
  • t
    4.31882
  • p
    0.00003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.00301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94499
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92439
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.57839
  • Upside Potential Ratio
    6.31435
  • Upside part of mean
    0.68373
  • Downside part of mean
    -0.07969
  • Upside SD
    0.33161
  • Downside SD
    0.10828
  • N nonnegative terms
    50.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    57.00000
  • Mean of predictor
    0.09034
  • Mean of criterion
    0.60404
  • SD of predictor
    0.10033
  • SD of criterion
    0.30482
  • Covariance
    0.01354
  • r
    0.44279
  • b (slope, estimate of beta)
    1.34526
  • a (intercept, estimate of alpha)
    0.48250
  • Mean Square Error
    0.07606
  • DF error
    55.00000
  • t(b)
    3.66245
  • p(b)
    0.00028
  • t(a)
    3.68837
  • p(a)
    0.00026
  • Lowerbound of 95% confidence interval for beta
    0.60915
  • Upperbound of 95% confidence interval for beta
    2.08137
  • Lowerbound of 95% confidence interval for alpha
    0.22034
  • Upperbound of 95% confidence interval for alpha
    0.74467
  • Treynor index (mean / b)
    0.44901
  • Jensen alpha (a)
    0.48250
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09008
  • Expected Shortfall on VaR
    0.12247
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00364
  • Expected Shortfall on VaR
    0.01314
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    57.00000
  • Minimum
    0.82515
  • Quartile 1
    1.01271
  • Median
    1.03234
  • Quartile 3
    1.07949
  • Maximum
    1.61711
  • Mean of quarter 1
    0.98229
  • Mean of quarter 2
    1.02399
  • Mean of quarter 3
    1.05451
  • Mean of quarter 4
    1.17795
  • Inter Quartile Range
    0.06678
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03509
  • Mean of outliers low
    0.85230
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07018
  • Mean of outliers high
    1.31939
  • 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)
    0.83273
  • VaR(95%) (regression method)
    0.01951
  • Expected Shortfall (regression method)
    0.21330
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00475
  • Quartile 1
    0.00905
  • Median
    0.01490
  • Quartile 3
    0.09446
  • Maximum
    0.17485
  • Mean of quarter 1
    0.00614
  • Mean of quarter 2
    0.01358
  • Mean of quarter 3
    0.01621
  • Mean of quarter 4
    0.14770
  • Inter Quartile Range
    0.08541
  • 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)
    4.02539
  • Compounded annual return (geometric extrapolation)
    0.88127
  • Calmar ratio (compounded annual return / max draw down)
    5.04010
  • Compounded annual return / average of 25% largest draw downs
    5.96677
  • Compounded annual return / Expected Shortfall lognormal
    7.19575
  • 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
    0.69312
  • SD
    0.43180
  • Sharpe ratio (Glass type estimate)
    1.60516
  • Sharpe ratio (Hedges UMVUE)
    1.60419
  • df
    1245.00000
  • t
    3.50047
  • p
    0.43725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70323
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50515
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.87665
  • Upside Potential Ratio
    6.52161
  • Upside part of mean
    1.57135
  • Downside part of mean
    -0.87823
  • Upside SD
    0.36067
  • Downside SD
    0.24094
  • N nonnegative terms
    557.00000
  • N negative terms
    689.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1246.00000
  • Mean of predictor
    0.09861
  • Mean of criterion
    0.69312
  • SD of predictor
    0.12087
  • SD of criterion
    0.43180
  • Covariance
    0.02449
  • r
    0.46920
  • b (slope, estimate of beta)
    1.67615
  • a (intercept, estimate of alpha)
    0.52800
  • Mean Square Error
    0.14552
  • DF error
    1244.00000
  • t(b)
    18.73950
  • p(b)
    0.26540
  • t(a)
    3.01356
  • p(a)
    0.45743
  • Lowerbound of 95% confidence interval for beta
    1.50067
  • Upperbound of 95% confidence interval for beta
    1.85163
  • Lowerbound of 95% confidence interval for alpha
    0.18421
  • Upperbound of 95% confidence interval for alpha
    0.87145
  • Treynor index (mean / b)
    0.41352
  • Jensen alpha (a)
    0.52783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60412
  • SD
    0.41552
  • Sharpe ratio (Glass type estimate)
    1.45389
  • Sharpe ratio (Hedges UMVUE)
    1.45302
  • df
    1245.00000
  • t
    3.17060
  • p
    0.44310
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35358
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34986
  • Upside Potential Ratio
    5.88864
  • Upside part of mean
    1.51389
  • Downside part of mean
    -0.90977
  • Upside SD
    0.32835
  • Downside SD
    0.25709
  • N nonnegative terms
    557.00000
  • N negative terms
    689.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1246.00000
  • Mean of predictor
    0.09127
  • Mean of criterion
    0.60412
  • SD of predictor
    0.12100
  • SD of criterion
    0.41552
  • Covariance
    0.02420
  • r
    0.48132
  • b (slope, estimate of beta)
    1.65285
  • a (intercept, estimate of alpha)
    0.45325
  • Mean Square Error
    0.13276
  • DF error
    1244.00000
  • t(b)
    19.36730
  • p(b)
    0.25934
  • t(a)
    2.70982
  • p(a)
    0.46170
  • Lowerbound of 95% confidence interval for beta
    1.48542
  • Upperbound of 95% confidence interval for beta
    1.82028
  • Lowerbound of 95% confidence interval for alpha
    0.12510
  • Upperbound of 95% confidence interval for alpha
    0.78140
  • Treynor index (mean / b)
    0.36550
  • Jensen alpha (a)
    0.45325
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03913
  • Expected Shortfall on VaR
    0.04934
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00790
  • Expected Shortfall on VaR
    0.01836
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1246.00000
  • Minimum
    0.81471
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00385
  • Maximum
    1.39997
  • Mean of quarter 1
    0.98684
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.02296
  • Inter Quartile Range
    0.00385
  • Number outliers low
    144.00000
  • Percentage of outliers low
    0.11557
  • Mean of outliers low
    0.97368
  • Number of outliers high
    184.00000
  • Percentage of outliers high
    0.14767
  • Mean of outliers high
    1.03468
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.11807
  • VaR(95%) (moments method)
    0.00744
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.66811
  • VaR(95%) (regression method)
    0.00926
  • Expected Shortfall (regression method)
    0.03683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    139.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00201
  • Median
    0.00685
  • Quartile 3
    0.01870
  • Maximum
    0.38451
  • Mean of quarter 1
    0.00076
  • Mean of quarter 2
    0.00380
  • Mean of quarter 3
    0.01334
  • Mean of quarter 4
    0.07805
  • Inter Quartile Range
    0.01669
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12230
  • Mean of outliers high
    0.13162
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.70751
  • VaR(95%) (moments method)
    0.07790
  • Expected Shortfall (moments method)
    0.28991
  • Extreme Value Index (regression method)
    0.54734
  • VaR(95%) (regression method)
    0.07252
  • Expected Shortfall (regression method)
    0.18351
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.03745
  • Compounded annual return (geometric extrapolation)
    0.88141
  • Calmar ratio (compounded annual return / max draw down)
    2.29232
  • Compounded annual return / average of 25% largest draw downs
    11.29350
  • Compounded annual return / Expected Shortfall lognormal
    17.86360
  • 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
    0.20329
  • SD
    0.10423
  • Sharpe ratio (Glass type estimate)
    1.95027
  • Sharpe ratio (Hedges UMVUE)
    1.93900
  • df
    130.00000
  • t
    1.37905
  • p
    0.43996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83529
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72081
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09003
  • Upside Potential Ratio
    8.55374
  • Upside part of mean
    0.56273
  • Downside part of mean
    -0.35945
  • Upside SD
    0.08131
  • Downside SD
    0.06579
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15265
  • Mean of criterion
    0.20329
  • SD of predictor
    0.06992
  • SD of criterion
    0.10423
  • Covariance
    0.00487
  • r
    0.66775
  • b (slope, estimate of beta)
    0.99542
  • a (intercept, estimate of alpha)
    0.05133
  • Mean Square Error
    0.00607
  • DF error
    129.00000
  • t(b)
    10.18850
  • p(b)
    0.10904
  • t(a)
    0.46180
  • p(a)
    0.47414
  • Lowerbound of 95% confidence interval for beta
    0.80212
  • Upperbound of 95% confidence interval for beta
    1.18873
  • Lowerbound of 95% confidence interval for alpha
    -0.16860
  • Upperbound of 95% confidence interval for alpha
    0.27127
  • Treynor index (mean / b)
    0.20422
  • Jensen alpha (a)
    0.05133
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19781
  • SD
    0.10403
  • Sharpe ratio (Glass type estimate)
    1.90156
  • Sharpe ratio (Hedges UMVUE)
    1.89057
  • df
    130.00000
  • t
    1.34461
  • p
    0.44144
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88338
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.67936
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.67189
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98422
  • Upside Potential Ratio
    8.43926
  • Upside part of mean
    0.55941
  • Downside part of mean
    -0.36159
  • Upside SD
    0.08059
  • Downside SD
    0.06629
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15016
  • Mean of criterion
    0.19781
  • SD of predictor
    0.07004
  • SD of criterion
    0.10403
  • Covariance
    0.00488
  • r
    0.66953
  • b (slope, estimate of beta)
    0.99437
  • a (intercept, estimate of alpha)
    0.04850
  • Mean Square Error
    0.00602
  • DF error
    129.00000
  • t(b)
    10.23760
  • p(b)
    0.10820
  • t(a)
    0.43825
  • p(a)
    0.47546
  • Lowerbound of 95% confidence interval for beta
    0.80219
  • Upperbound of 95% confidence interval for beta
    1.18654
  • Lowerbound of 95% confidence interval for alpha
    -0.17045
  • Upperbound of 95% confidence interval for alpha
    0.26745
  • Treynor index (mean / b)
    0.19893
  • Jensen alpha (a)
    0.04850
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00977
  • Expected Shortfall on VaR
    0.01242
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00278
  • Expected Shortfall on VaR
    0.00631
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97974
  • Quartile 1
    1.00000
  • Median
    1.00032
  • Quartile 3
    1.00198
  • Maximum
    1.02591
  • Mean of quarter 1
    0.99473
  • Mean of quarter 2
    1.00007
  • Mean of quarter 3
    1.00114
  • Mean of quarter 4
    1.00760
  • Inter Quartile Range
    0.00198
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.98877
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.01233
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.87951
  • VaR(95%) (moments method)
    0.00441
  • Expected Shortfall (moments method)
    0.04265
  • Extreme Value Index (regression method)
    -0.26374
  • VaR(95%) (regression method)
    0.00564
  • Expected Shortfall (regression method)
    0.00814
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00094
  • Median
    0.00194
  • Quartile 3
    0.02238
  • Maximum
    0.02993
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00132
  • Mean of quarter 3
    0.01073
  • Mean of quarter 4
    0.02723
  • Inter Quartile Range
    0.02144
  • 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)
    -26.00410
  • VaR(95%) (moments method)
    0.02826
  • Expected Shortfall (moments method)
    0.02826
  • Extreme Value Index (regression method)
    -2.24457
  • VaR(95%) (regression method)
    0.03136
  • Expected Shortfall (regression method)
    0.03153
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23895
  • Compounded annual return (geometric extrapolation)
    0.25322
  • Calmar ratio (compounded annual return / max draw down)
    8.45942
  • Compounded annual return / average of 25% largest draw downs
    9.29872
  • Compounded annual return / Expected Shortfall lognormal
    20.38690

Strategy Description

The goal of "R Option" is to generate approximately 100% every three years.

The Strategy is managed by Mario Randholm, CEO of Randholm & Co., an investment management company dedicated to managing capital for its clients and employees by adhering to mathematical and statistical methods.

The strategy have more than 10 years of track record with the original algorithm.

A similar strategy "R Option Mini" was created in Jan 2017 to facilitate scaling for smaller accounts.

Commentary:
http://www.mariorandholm.com/2017/01/01/roption/

Description and Performance of "R Option Mini":
https://randbots.com/details/109107515

Description and Performance of "R Lima":
https://randbots.com/details/109504095

Summary Statistics

Strategy began
2013-01-09
Minimum Capital Required
$100,000
# Trades
311
# Profitable
273
% Profitable
87.8%
Net Dividends
Correlation S&P500
0.470
Sharpe Ratio
1.604

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.