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TradeXpert VIX Safer
(112382134)

Created by: Le_Trading_Dudeski Le_Trading_Dudeski
Started: 07/2017
Options
Last trade: 2,119 days ago
Trading style: Options Covered Calls Premium Collecting

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 $99.00 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.

Trading Category: Options
Covered Calls
Category: Equity

Covered Calls

Strategy buys a stock, and sells call options for the same amount (or less) of stock, and then waits for the options contract to be exercised or to expire.
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
-
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
64
Num Trades
79.7%
Win Trades
0.4 : 1
Profit Factor
30.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          (2.1%)+9.0%(1.3%)(2.2%)+0.7%+1.6%+5.4%
2018+19.8%+3.1%+1.1%(1.7%)(5.9%)+2.9%(8.8%)(4.1%)(3.8%)+22.6%(8.9%)+25.9%+40.8%
2019(19.8%)(7%)(3.1%)(5.8%)+5.0%(4.4%)(4.5%)+5.0%(3.3%)(7.7%)(3.3%)(1.3%)(41.7%)
2020+0.5%+7.5%+4.4%+10.9%(4.8%)+3.0%(9.3%)(3.3%)(0.3%)(1.5%)(6.7%)(0.4%)(2%)
2021+2.4%(3.4%)(3.7%)(1.4%)(0.8%)(0.9%)+0.1%(0.6%)+0.2%(0.8%)+0.4%(0.7%)(9%)
2022+0.2%+0.3%(0.3%)+0.1%(0.1%)(0.1%)(0.3%)(0.1%)+0.2%(0.1%)(0.4%)  -  (0.6%)
2023(0.3%)+0.1%(0.1%)(0.1%)  -  (0.2%)  -    -    -    -  (0.1%)  -  (0.7%)
2024  -    -    -  (129.9%)                                                (129.9%)

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 18 hours.

Trading Record

This strategy has placed 35 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2352 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/25/18 15:30 UVXY1829F14 UVXY Jun29'18 14 call SHORT 10 0.71 6/28 14:54 0.11 n/a $586
Includes Typical Broker Commissions trade costs of $14.00
6/19/18 15:20 UVXY1822F11.5 UVXY Jun22'18 11.5 call SHORT 10 0.20 6/23 9:35 0.00 0.39%
Trade id #118519615
Max drawdown($120)
Time6/21/18 15:46
Quant open-10
Worst price0.32
Drawdown as % of equity-0.39%
 $193
Includes Typical Broker Commissions trade costs of $7.00
6/1/18 13:21 UVXY1808F13 UVXY Jun8'18 13 call SHORT 10 0.32 6/6 9:45 0.03 0.09%
Trade id #118217151
Max drawdown($30)
Time6/1/18 15:19
Quant open-10
Worst price0.35
Drawdown as % of equity-0.09%
 $276
Includes Typical Broker Commissions trade costs of $14.00
5/23/18 12:09 UVXY1801F13 UVXY Jun1'18 13 call SHORT 10 0.36 6/1 9:30 0.03 2.81%
Trade id #118072699
Max drawdown($900)
Time5/29/18 15:22
Quant open-10
Worst price1.26
Drawdown as % of equity-2.81%
 $316
Includes Typical Broker Commissions trade costs of $14.00
5/15/18 11:42 UVXY1818E13 UVXY May18'18 13 call SHORT 10 0.39 5/17 11:46 0.03 0.28%
Trade id #117943116
Max drawdown($90)
Time5/15/18 15:26
Quant open-10
Worst price0.48
Drawdown as % of equity-0.28%
 $346
Includes Typical Broker Commissions trade costs of $14.00
5/4/18 12:30 UVXY1811E16 UVXY May11'18 16 call SHORT 10 0.31 5/10 12:19 0.02 0%
Trade id #117802097
Max drawdown$0
Time5/4/18 12:36
Quant open-10
Worst price0.31
Drawdown as % of equity0.00%
 $276
Includes Typical Broker Commissions trade costs of $14.00
4/24/18 12:56 UVXY1827D17 UVXY Apr27'18 17 call SHORT 10 0.55 4/27 11:15 0.03 1.58%
Trade id #117642884
Max drawdown($550)
Time4/24/18 14:07
Quant open-10
Worst price1.10
Drawdown as % of equity-1.58%
 $506
Includes Typical Broker Commissions trade costs of $14.00
4/13/18 13:26 UVXY1820P16.5 UVXY Apr20'18 16.5 put SHORT 10 0.50 4/21 9:35 0.00 5.76%
Trade id #117507930
Max drawdown($1,920)
Time4/17/18 15:39
Quant open-10
Worst price2.42
Drawdown as % of equity-5.76%
 $493
Includes Typical Broker Commissions trade costs of $7.00
3/26/18 12:47 UVXY1829C20 UVXY Mar29'18 20 call SHORT 6 1.00 3/29 10:44 0.15 1.51%
Trade id #117234045
Max drawdown($516)
Time3/28/18 11:24
Quant open-6
Worst price1.86
Drawdown as % of equity-1.51%
 $502
Includes Typical Broker Commissions trade costs of $8.40
2/16/18 11:52 SVXY1823B13 SVXY Feb23'18 13 call SHORT 5 0.55 2/24 9:46 0.00 0.16%
Trade id #116561356
Max drawdown($55)
Time2/16/18 12:40
Quant open-5
Worst price0.66
Drawdown as % of equity-0.16%
 $272
Includes Typical Broker Commissions trade costs of $3.50
2/9/18 13:12 UVXY1816B38 UVXY Feb16'18 38 call SHORT 4 2.49 2/12 15:44 0.25 0.68%
Trade id #116423003
Max drawdown($224)
Time2/9/18 13:30
Quant open-4
Worst price3.05
Drawdown as % of equity-0.68%
 $890
Includes Typical Broker Commissions trade costs of $5.60
1/29/18 9:58 SVXY1802N123 SVXY Feb2'18 123 put SHORT 4 2.55 2/3 9:35 0.00 18.53%
Trade id #116150161
Max drawdown($6,000)
Time2/2/18 14:59
Quant open-4
Worst price17.55
Drawdown as % of equity-18.53%
 $1,017
Includes Typical Broker Commissions trade costs of $2.80
12/16/17 9:35 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 400 124.00 2/3/18 9:35 123.00 24.82%
Trade id #115385923
Max drawdown($6,188)
Time1/11/18 14:03
Quant open-400
Worst price139.47
Drawdown as % of equity-24.82%
 $392
Includes Typical Broker Commissions trade costs of $8.00
1/22/18 10:50 SVXY1826M128 SVXY Jan26'18 128 put SHORT 4 1.38 1/27 9:35 0.00 2.25%
Trade id #116024242
Max drawdown($648)
Time1/24/18 11:40
Quant open-4
Worst price3.00
Drawdown as % of equity-2.25%
 $549
Includes Typical Broker Commissions trade costs of $2.80
1/16/18 13:03 SVXY1819M128 SVXY Jan19'18 128 put SHORT 4 1.50 1/19 14:06 0.15 2.8%
Trade id #115908270
Max drawdown($760)
Time1/16/18 14:47
Quant open-4
Worst price3.40
Drawdown as % of equity-2.80%
 $534
Includes Typical Broker Commissions trade costs of $5.60
12/29/17 14:40 SVXY1805M124 SVXY Jan5'18 124 put SHORT 5 1.40 1/4/18 10:30 0.10 1.88%
Trade id #115601760
Max drawdown($510)
Time12/29/17 16:05
Quant open-5
Worst price2.42
Drawdown as % of equity-1.88%
 $643
Includes Typical Broker Commissions trade costs of $7.00
12/26/17 10:33 SVXY1729X125 SVXY Dec29'17 125 put SHORT 5 0.88 12/29 14:38 0.03 0.32%
Trade id #115518718
Max drawdown($85)
Time12/26/17 10:53
Quant open-5
Worst price1.05
Drawdown as % of equity-0.32%
 $418
Includes Typical Broker Commissions trade costs of $7.00
12/15/17 11:49 SVXY1722L128 SVXY Dec22'17 128 call SHORT 2 2.08 12/23 9:35 0.00 1.24%
Trade id #115376266
Max drawdown($334)
Time12/18/17 13:16
Quant open-2
Worst price3.75
Drawdown as % of equity-1.24%
 $415
Includes Typical Broker Commissions trade costs of $1.40
12/8/17 14:42 SVXY1715L120 SVXY Dec15'17 120 call SHORT 2 1.98 12/16 9:35 0.00 4.68%
Trade id #115265120
Max drawdown($1,270)
Time12/15/17 14:21
Quant open-2
Worst price8.33
Drawdown as % of equity-4.68%
 $395
Includes Typical Broker Commissions trade costs of $1.40
12/4/17 9:30 SVXY1708X108 SVXY Dec8'17 108 put SHORT 2 2.98 12/8 9:35 0.03 n/a $587
Includes Typical Broker Commissions trade costs of $2.80
11/29/17 10:22 SVXY1701X110 SVXY Dec1'17 110 put SHORT 2 1.00 12/2 9:35 0.00 7.15%
Trade id #115097340
Max drawdown($1,920)
Time12/1/17 11:33
Quant open-2
Worst price10.60
Drawdown as % of equity-7.15%
 $199
Includes Typical Broker Commissions trade costs of $1.40
11/25/17 9:35 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 200 105.00 12/2 9:35 110.00 8.42%
Trade id #115024679
Max drawdown($2,256)
Time11/28/17 12:13
Quant open-200
Worst price116.28
Drawdown as % of equity-8.42%
 ($1,004)
Includes Typical Broker Commissions trade costs of $4.00
11/17/17 10:12 SVXY1724K105 SVXY Nov24'17 105 call SHORT 2 2.20 11/25 9:35 0.00 5.55%
Trade id #114914876
Max drawdown($1,496)
Time11/24/17 9:31
Quant open-2
Worst price9.68
Drawdown as % of equity-5.55%
 $439
Includes Typical Broker Commissions trade costs of $1.40
11/20/17 9:30 SVXY1724W101 SVXY Nov24'17 101 put SHORT 2 2.95 11/21 9:47 0.08 n/a $571
Includes Typical Broker Commissions trade costs of $2.80
11/4/17 9:35 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 200 107.00 11/17 10:10 104.91 2.18%
Trade id #114684559
Max drawdown($580)
Time11/7/17 9:46
Quant open-200
Worst price109.90
Drawdown as % of equity-2.18%
 $414
Includes Typical Broker Commissions trade costs of $4.00
11/10/17 14:34 SVXY1717W102 SVXY Nov17'17 102 put SHORT 2 1.88 11/17 10:05 0.15 1.89%
Trade id #114800722
Max drawdown($524)
Time11/15/17 9:40
Quant open-2
Worst price4.50
Drawdown as % of equity-1.89%
 $343
Includes Typical Broker Commissions trade costs of $2.80
11/6/17 10:00 SVXY1710W107 SVXY Nov10'17 107 put SHORT 2 1.65 11/10 14:33 1.96 3.22%
Trade id #114701729
Max drawdown($870)
Time11/9/17 12:34
Quant open-2
Worst price6.00
Drawdown as % of equity-3.22%
 ($65)
Includes Typical Broker Commissions trade costs of $2.80
10/26/17 13:20 SVXY1703K107 SVXY Nov3'17 107 call SHORT 2 1.45 11/4 9:35 0.00 0.87%
Trade id #114546111
Max drawdown($230)
Time11/1/17 9:41
Quant open-2
Worst price2.60
Drawdown as % of equity-0.87%
 $289
Includes Typical Broker Commissions trade costs of $1.40
10/27/17 12:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 100 105.64 10/31 11:32 106.63 1.08%
Trade id #114574328
Max drawdown($285)
Time10/30/17 12:20
Quant open100
Worst price102.79
Drawdown as % of equity-1.08%
 $97
Includes Typical Broker Commissions trade costs of $2.00
10/25/17 11:12 SVXY1727V96 SVXY Oct27'17 96 put SHORT 2 1.20 10/28 9:35 0.00 2%
Trade id #114519345
Max drawdown($520)
Time10/25/17 12:40
Quant open-2
Worst price3.80
Drawdown as % of equity-2.00%
 $239
Includes Typical Broker Commissions trade costs of $1.40
Next

Statistics

  • Strategy began
    7/3/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2478.79
  • Age
    83 months ago
  • What it trades
    Stocks, Options
  • # Trades
    64
  • # Profitable
    51
  • % Profitable
    79.70%
  • Avg trade duration
    40.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    April 14, 2024 - April 16, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $367.71
  • Avg loss
    $3,643
  • Model Account Values (Raw)
  • Cash
    $16,965
  • Margin Used
    $0
  • Buying Power
    ($24,243)
  • Ratios
  • W:L ratio
    0.40:1
  • Sharpe Ratio
    -0.37
  • Sortino Ratio
    -0.38
  • Calmar Ratio
    -0.99
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -231.13%
  • Correlation to SP500
    -0.14510
  • Return Percent SP500 (cumu) during strategy life
    108.39%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    32.61%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.77%
  • Percent Trades Stocks
    0.23%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.50%
  • Chance of 20% account loss
    13.00%
  • 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
    $3,644
  • Avg Win
    $368
  • Sum Trade PL (losers)
    $47,371.000
  • Age
  • Num Months filled monthly returns table
    82
  • Win / Loss
  • Sum Trade PL (winners)
    $18,753.000
  • # Winners
    51
  • Num Months Winners
    28
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    13
  • % Winners
    79.7%
  • Frequency
  • Avg Position Time (mins)
    58417.40
  • Avg Position Time (hrs)
    973.62
  • Avg Trade Length
    40.6 days
  • Last Trade Ago
    2115
  • Regression
  • Alpha
    -0.04
  • Beta
    -0.39
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.52
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    41.48
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.79
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.21
  • Avg(MAE) / Avg(PL) - All trades
    -2.782
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    1.948
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.133
  • Hold-and-Hope Ratio
    0.232
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06138
  • SD
    0.31638
  • Sharpe ratio (Glass type estimate)
    -0.19402
  • Sharpe ratio (Hedges UMVUE)
    -0.18813
  • df
    25.00000
  • t
    -0.28559
  • p
    0.61123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52472
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14049
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52068
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14442
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31378
  • Upside Potential Ratio
    1.61497
  • Upside part of mean
    0.31593
  • Downside part of mean
    -0.37731
  • Upside SD
    0.24143
  • Downside SD
    0.19562
  • N nonnegative terms
    8.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.31590
  • Mean of criterion
    -0.06138
  • SD of predictor
    0.24199
  • SD of criterion
    0.31638
  • Covariance
    -0.04047
  • r
    -0.52863
  • b (slope, estimate of beta)
    -0.69112
  • a (intercept, estimate of alpha)
    0.15695
  • Mean Square Error
    0.07513
  • DF error
    24.00000
  • t(b)
    -3.05090
  • p(b)
    0.99725
  • t(a)
    0.78675
  • p(a)
    0.21956
  • Lowerbound of 95% confidence interval for beta
    -1.15866
  • Upperbound of 95% confidence interval for beta
    -0.22359
  • Lowerbound of 95% confidence interval for alpha
    -0.25477
  • Upperbound of 95% confidence interval for alpha
    0.56867
  • Treynor index (mean / b)
    0.08882
  • Jensen alpha (a)
    0.15695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10775
  • SD
    0.30797
  • Sharpe ratio (Glass type estimate)
    -0.34988
  • Sharpe ratio (Hedges UMVUE)
    -0.33926
  • df
    25.00000
  • t
    -0.51501
  • p
    0.69446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99559
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50644
  • Upside Potential Ratio
    1.36317
  • Upside part of mean
    0.29003
  • Downside part of mean
    -0.39779
  • Upside SD
    0.21655
  • Downside SD
    0.21277
  • N nonnegative terms
    8.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.28490
  • Mean of criterion
    -0.10775
  • SD of predictor
    0.23276
  • SD of criterion
    0.30797
  • Covariance
    -0.03900
  • r
    -0.54412
  • b (slope, estimate of beta)
    -0.71994
  • a (intercept, estimate of alpha)
    0.09736
  • Mean Square Error
    0.06955
  • DF error
    24.00000
  • t(b)
    -3.17711
  • p(b)
    0.99797
  • t(a)
    0.51125
  • p(a)
    0.30692
  • Lowerbound of 95% confidence interval for beta
    -1.18762
  • Upperbound of 95% confidence interval for beta
    -0.25226
  • Lowerbound of 95% confidence interval for alpha
    -0.29568
  • Upperbound of 95% confidence interval for alpha
    0.49040
  • Treynor index (mean / b)
    0.14967
  • Jensen alpha (a)
    0.09736
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14377
  • Expected Shortfall on VaR
    0.17455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08787
  • Expected Shortfall on VaR
    0.15270
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.78487
  • Quartile 1
    0.96661
  • Median
    0.98656
  • Quartile 3
    1.01292
  • Maximum
    1.29070
  • Mean of quarter 1
    0.91199
  • Mean of quarter 2
    0.97663
  • Mean of quarter 3
    0.99789
  • Mean of quarter 4
    1.09949
  • Inter Quartile Range
    0.04631
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.78487
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    1.18750
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39887
  • VaR(95%) (moments method)
    0.08457
  • Expected Shortfall (moments method)
    0.10157
  • Extreme Value Index (regression method)
    0.02076
  • VaR(95%) (regression method)
    0.10576
  • Expected Shortfall (regression method)
    0.15076
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01872
  • Quartile 1
    0.02030
  • Median
    0.05595
  • Quartile 3
    0.16536
  • Maximum
    0.38822
  • Mean of quarter 1
    0.01872
  • Mean of quarter 2
    0.02083
  • Mean of quarter 3
    0.09107
  • Mean of quarter 4
    0.38822
  • Inter Quartile Range
    0.14506
  • 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
    0.25000
  • Mean of outliers high
    0.38822
  • 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)
    -0.07332
  • Compounded annual return (geometric extrapolation)
    -0.07674
  • Calmar ratio (compounded annual return / max draw down)
    -0.19767
  • Compounded annual return / average of 25% largest draw downs
    -0.19767
  • Compounded annual return / Expected Shortfall lognormal
    -0.43966
  • 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
    -0.51252
  • SD
    0.74238
  • Sharpe ratio (Glass type estimate)
    -0.69037
  • Sharpe ratio (Hedges UMVUE)
    -0.68947
  • df
    576.00000
  • t
    -1.02452
  • p
    0.84699
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63185
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72810
  • Upside Potential Ratio
    1.76882
  • Upside part of mean
    1.24509
  • Downside part of mean
    -1.75761
  • Upside SD
    0.23598
  • Downside SD
    0.70391
  • N nonnegative terms
    226.00000
  • N negative terms
    351.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    577.00000
  • Mean of predictor
    0.36168
  • Mean of criterion
    -0.51252
  • SD of predictor
    0.27872
  • SD of criterion
    0.74238
  • Covariance
    -0.04254
  • r
    -0.20558
  • b (slope, estimate of beta)
    -0.54757
  • a (intercept, estimate of alpha)
    -0.31400
  • Mean Square Error
    0.52876
  • DF error
    575.00000
  • t(b)
    -5.03725
  • p(b)
    1.00000
  • t(a)
    -0.63974
  • p(a)
    0.73870
  • Lowerbound of 95% confidence interval for beta
    -0.76108
  • Upperbound of 95% confidence interval for beta
    -0.33407
  • Lowerbound of 95% confidence interval for alpha
    -1.27997
  • Upperbound of 95% confidence interval for alpha
    0.65101
  • Treynor index (mean / b)
    0.93599
  • Jensen alpha (a)
    -0.31448
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.62783
  • SD
    6.71658
  • Sharpe ratio (Glass type estimate)
    -0.68902
  • Sharpe ratio (Hedges UMVUE)
    -0.68812
  • df
    576.00000
  • t
    -1.02251
  • p
    0.84652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01006
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63320
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68939
  • Upside Potential Ratio
    0.18150
  • Upside part of mean
    1.21843
  • Downside part of mean
    -5.84626
  • Upside SD
    0.22761
  • Downside SD
    6.71298
  • N nonnegative terms
    226.00000
  • N negative terms
    351.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    577.00000
  • Mean of predictor
    0.32244
  • Mean of criterion
    -4.62783
  • SD of predictor
    0.27990
  • SD of criterion
    6.71658
  • Covariance
    -0.03715
  • r
    -0.01976
  • b (slope, estimate of beta)
    -0.47413
  • a (intercept, estimate of alpha)
    -4.47495
  • Mean Square Error
    45.17320
  • DF error
    575.00000
  • t(b)
    -0.47389
  • p(b)
    0.68212
  • t(a)
    -0.98557
  • p(a)
    0.83762
  • Lowerbound of 95% confidence interval for beta
    -2.43922
  • Upperbound of 95% confidence interval for beta
    1.49097
  • Lowerbound of 95% confidence interval for alpha
    -13.39290
  • Upperbound of 95% confidence interval for alpha
    4.44301
  • Treynor index (mean / b)
    9.76075
  • Jensen alpha (a)
    -4.47495
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.50351
  • Expected Shortfall on VaR
    0.57791
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01679
  • Expected Shortfall on VaR
    0.03949
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    577.00000
  • Minimum
    0.00005
  • Quartile 1
    0.99500
  • Median
    0.99986
  • Quartile 3
    1.00294
  • Maximum
    1.14185
  • Mean of quarter 1
    0.97545
  • Mean of quarter 2
    0.99811
  • Mean of quarter 3
    1.00079
  • Mean of quarter 4
    1.01841
  • Inter Quartile Range
    0.00794
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.08839
  • Mean of outliers low
    0.94702
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.08839
  • Mean of outliers high
    1.03997
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70333
  • VaR(95%) (moments method)
    0.02004
  • Expected Shortfall (moments method)
    0.07267
  • Extreme Value Index (regression method)
    0.55942
  • VaR(95%) (regression method)
    0.01614
  • Expected Shortfall (regression method)
    0.03995
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00718
  • Median
    0.01524
  • Quartile 3
    0.07452
  • Maximum
    0.99997
  • Mean of quarter 1
    0.00271
  • Mean of quarter 2
    0.01028
  • Mean of quarter 3
    0.03684
  • Mean of quarter 4
    0.36762
  • Inter Quartile Range
    0.06734
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.59837
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.86596
  • VaR(95%) (moments method)
    0.40293
  • Expected Shortfall (moments method)
    2.94800
  • Extreme Value Index (regression method)
    3.54566
  • VaR(95%) (regression method)
    0.59533
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.45405
  • Compounded annual return (geometric extrapolation)
    -0.98995
  • Calmar ratio (compounded annual return / max draw down)
    -0.98997
  • Compounded annual return / average of 25% largest draw downs
    -2.69287
  • Compounded annual return / Expected Shortfall lognormal
    -1.71297
  • 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
    -2.18818
  • SD
    1.41367
  • Sharpe ratio (Glass type estimate)
    -1.54787
  • Sharpe ratio (Hedges UMVUE)
    -1.53892
  • df
    130.00000
  • t
    -1.09451
  • p
    0.54778
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.32315
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.31703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23919
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.54679
  • Upside Potential Ratio
    0.06159
  • Upside part of mean
    0.08713
  • Downside part of mean
    -2.27530
  • Upside SD
    0.01513
  • Downside SD
    1.41466
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.68897
  • Mean of criterion
    -2.18818
  • SD of predictor
    0.39677
  • SD of criterion
    1.41367
  • Covariance
    -0.00028
  • r
    -0.00050
  • b (slope, estimate of beta)
    -0.00177
  • a (intercept, estimate of alpha)
    -2.18696
  • Mean Square Error
    2.01395
  • DF error
    129.00000
  • t(b)
    -0.00563
  • p(b)
    0.50032
  • t(a)
    -1.08342
  • p(a)
    0.56036
  • Lowerbound of 95% confidence interval for beta
    -0.62243
  • Upperbound of 95% confidence interval for beta
    0.61890
  • Lowerbound of 95% confidence interval for alpha
    -6.18075
  • Upperbound of 95% confidence interval for alpha
    1.80683
  • Treynor index (mean / b)
    1238.84000
  • Jensen alpha (a)
    -2.18696
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -20.10320
  • SD
    14.08070
  • Sharpe ratio (Glass type estimate)
    -1.42771
  • Sharpe ratio (Hedges UMVUE)
    -1.41946
  • df
    130.00000
  • t
    -1.00954
  • p
    0.54410
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.20229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.19663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35771
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.42761
  • Upside Potential Ratio
    0.00618
  • Upside part of mean
    0.08700
  • Downside part of mean
    -20.19020
  • Upside SD
    0.01510
  • Downside SD
    14.08180
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.60985
  • Mean of criterion
    -20.10320
  • SD of predictor
    0.39747
  • SD of criterion
    14.08070
  • Covariance
    0.04304
  • r
    0.00769
  • b (slope, estimate of beta)
    0.27241
  • a (intercept, estimate of alpha)
    -20.26930
  • Mean Square Error
    199.79200
  • DF error
    129.00000
  • t(b)
    0.08734
  • p(b)
    0.49511
  • t(a)
    -1.00943
  • p(a)
    0.55628
  • VAR (95 Confidence Intrvl)
    0.50400
  • Lowerbound of 95% confidence interval for beta
    -5.89852
  • Upperbound of 95% confidence interval for beta
    6.44333
  • Lowerbound of 95% confidence interval for alpha
    -59.99790
  • Upperbound of 95% confidence interval for alpha
    19.45920
  • Treynor index (mean / b)
    -73.79880
  • Jensen alpha (a)
    -20.26930
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.77856
  • Expected Shortfall on VaR
    0.83895
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02478
  • Expected Shortfall on VaR
    0.05775
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00005
  • Quartile 1
    0.99867
  • Median
    0.99977
  • Quartile 3
    1.00014
  • Maximum
    1.00488
  • Mean of quarter 1
    0.96661
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    0.99993
  • Mean of quarter 4
    1.00143
  • Inter Quartile Range
    0.00147
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.88373
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.00343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.07717
  • VaR(95%) (moments method)
    0.00662
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.14370
  • VaR(95%) (regression method)
    0.00385
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99996
  • Quartile 1
    0.99996
  • Median
    0.99996
  • Quartile 3
    0.99996
  • Maximum
    0.99996
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -387407000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99991
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00004
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.19196

Strategy Description

Sells short far-OTM options in volatilty ETF Products, like SVXY, for income, like so many other VIX systems. But here risk is reduced against Black Swan events through the use of covering options and when necessary, the purchase of ETF stocks as a hedge, such as UVXY, in accordance with my proprietary TradeXpert indicator. The covering options are often bought a day or two after the short selling, thus the position may hold naked options for a short time. Focus is on maintaining a lower risk profile than that which is available through solely naked option writing.
Tries to short the options when prices are favorable by focusing primarily on larger down days (up days) in the stock market, when the option prices show greater implied volatility/larger price swings from the mean value . Holding time per position 1-2 weeks.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2017-07-03
Suggested Minimum Capital
$25,000
# Trades
64
# Profitable
51
% Profitable
79.7%
Correlation S&P500
-0.145
Sharpe Ratio
-0.37
Sortino Ratio
-0.38
Beta
-0.39
Alpha
-0.04

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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