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R Option
(102125034)

Created by: RandBots RandBots
Started: 01/2013
Options
Last trade: 19 days ago
Trading style: Options Directional Bets

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 $5.00 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
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
54.5%
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.

(41.3%)
Max Drawdown
488
Num Trades
86.3%
Win Trades
3.5 : 1
Profit Factor
78.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013+0.4%+2.8%+3.4%+9.1%+3.5%+6.4%+5.5%+11.6%+13.0%+8.2%+4.3%+12.8%+117.0%
2014+12.0%+20.6%+13.2%+0.1%+2.1%+11.0%+3.1%+13.8%+3.2%+31.1%  -  +12.9%+210.4%
2015+5.9%+1.2%+6.0%+4.3%+3.3%(14.6%)+43.7%+1.0%+5.5%+3.1%+2.2%+2.1%+72.6%
2016+3.8%(0.9%)+5.0%(0.3%)+9.6%(4.9%)+14.4%+1.6%+3.4%(2.2%)+3.0%+0.4%+36.6%
2017+4.1%+2.8%+2.0%+0.3%+3.8%  -  +5.2%+1.2%+0.2%+1.5%+0.8%+0.7%+24.9%
2018+1.4%(10.8%)  -  +1.5%  -  (0.5%)+1.8%+1.3%  -  +1.3%+2.9%(1.4%)(3.1%)
2019+3.9%  -    -  +0.2%(0.1%)+0.2%+0.8%+0.1%  -    -  +1.0%+0.1%+6.3%

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 938 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/28/19 10:26 SPY1915W250 SPY Nov15'19 250 put LONG 120 0.03 11/16 9:36 0.00 0.01%
Trade id #125973790
Max drawdown($240)
Time10/31/19 0:00
Quant open120
Worst price0.01
Drawdown as % of equity-0.01%
($444)
Includes Typical Broker Commissions trade costs of $84.00
11/5/19 11:13 SPY1915W298 SPY Nov15'19 298 put SHORT 210 0.34 11/16 9:36 0.00 0.04%
Trade id #126077802
Max drawdown($840)
Time11/5/19 12:25
Quant open210
Worst price0.38
Drawdown as % of equity-0.04%
$6,993
Includes Typical Broker Commissions trade costs of $147.00
10/28/19 12:18 QQQ1915W190 QQQ Nov15'19 190 put SHORT 15 0.66 11/16 9:36 0.00 0.02%
Trade id #125976019
Max drawdown($420)
Time10/30/19 0:00
Quant open15
Worst price0.94
Drawdown as % of equity-0.02%
$980
Includes Typical Broker Commissions trade costs of $10.50
10/28/19 10:26 SPY1915W283 SPY Nov15'19 283 put SHORT 120 0.21 11/16 9:35 0.03 0.24%
Trade id #125973792
Max drawdown($4,920)
Time10/30/19 0:00
Quant open120
Worst price0.62
Drawdown as % of equity-0.24%
$2,019
Includes Typical Broker Commissions trade costs of $101.50
10/28/19 10:28 SPY1915W287 SPY Nov15'19 287 put SHORT 120 0.33 10/30 15:24 0.28 0.03%
Trade id #125973841
Max drawdown($600)
Time10/29/19 0:00
Quant open120
Worst price0.38
Drawdown as % of equity-0.03%
$456
Includes Typical Broker Commissions trade costs of $168.30
8/6/19 11:07 QQQ1916T165 QQQ Aug16'19 165 put LONG 10 0.35 8/12 15:32 0.02 0.02%
Trade id #124792552
Max drawdown($330)
Time8/6/19 11:07
Quant open10
Worst price0.02
Drawdown as % of equity-0.02%
($344)
Includes Typical Broker Commissions trade costs of $14.00
8/6/19 10:28 SPY1916T280 SPY Aug16'19 280 put SHORT 15 2.40 8/9 14:49 0.46 0.14%
Trade id #124791347
Max drawdown($2,895)
Time8/9/19 14:46
Quant open-15
Worst price0.47
Drawdown as % of equity-0.14%
$2,889
Includes Typical Broker Commissions trade costs of $21.00
8/6/19 11:07 QQQ1916T181 QQQ Aug16'19 181 put SHORT 5 2.88 8/9 14:31 0.66 0.05%
Trade id #124792550
Max drawdown($1,110)
Time8/9/19 14:31
Quant open-5
Worst price0.66
Drawdown as % of equity-0.05%
$1,103
Includes Typical Broker Commissions trade costs of $7.00
8/6/19 10:28 SPY1916T272 SPY Aug16'19 272 put LONG 30 1.06 8/9 13:43 0.20 0.14%
Trade id #124791349
Max drawdown($2,835)
Time8/6/19 10:28
Quant open30
Worst price0.12
Drawdown as % of equity-0.14%
($2,632)
Includes Typical Broker Commissions trade costs of $42.00
8/7/19 9:49 SPY1916T273 SPY Aug16'19 273 put SHORT 1 1.92 8/7 12:37 1.08 0%
Trade id #124811717
Max drawdown($1)
Time8/7/19 9:49
Quant open1
Worst price1.93
Drawdown as % of equity-0.00%
$82
Includes Typical Broker Commissions trade costs of $2.00
7/12/19 10:49 QQQ1916T182 QQQ Aug16'19 182 put SHORT 10 0.95 7/26 14:12 0.27 0.01%
Trade id #124437041
Max drawdown($240)
Time7/12/19 10:49
Quant open10
Worst price1.19
Drawdown as % of equity-0.01%
$666
Includes Typical Broker Commissions trade costs of $14.00
7/12/19 10:49 QQQ1916T185 QQQ Aug16'19 185 put SHORT 10 1.36 7/26 14:04 0.43 0.02%
Trade id #124437035
Max drawdown($350)
Time7/12/19 10:49
Quant open10
Worst price1.71
Drawdown as % of equity-0.02%
$916
Includes Typical Broker Commissions trade costs of $14.00
7/5/19 13:08 QQQ1919S185 QQQ Jul19'19 185 put SHORT 50 0.57 7/20 9:35 0.00 0.07%
Trade id #124351015
Max drawdown($1,400)
Time7/5/19 13:08
Quant open50
Worst price0.85
Drawdown as % of equity-0.07%
$2,815
Includes Typical Broker Commissions trade costs of $35.00
6/21/19 11:43 QQQ1919S181 QQQ Jul19'19 181 put SHORT 1 1.33 7/20 9:35 0.00 0.01%
Trade id #124183371
Max drawdown($100)
Time6/21/19 11:43
Quant open1
Worst price2.33
Drawdown as % of equity-0.01%
$132
Includes Typical Broker Commissions trade costs of $1.00
7/9/19 10:32 PAYS PAYSIGN INC LONG 100 15.00 7/9 11:41 15.35 0%
Trade id #124388019
Max drawdown($12)
Time7/9/19 10:32
Quant open100
Worst price14.88
Drawdown as % of equity-0.00%
$33
Includes Typical Broker Commissions trade costs of $2.00
6/20/19 15:34 SPY1919S282 SPY Jul19'19 282 put SHORT 78 1.30 7/5 10:00 0.26 0.18%
Trade id #124172004
Max drawdown($3,694)
Time6/20/19 15:34
Quant open78
Worst price1.77
Drawdown as % of equity-0.18%
$7,975
Includes Typical Broker Commissions trade costs of $109.20
6/25/19 11:38 SPY1903S282 SPY Jul3'19 282 put SHORT 145 0.51 7/4 8:05 0.00 0.15%
Trade id #124222533
Max drawdown($2,900)
Time6/25/19 11:38
Quant open145
Worst price0.71
Drawdown as % of equity-0.15%
$7,294
Includes Typical Broker Commissions trade costs of $101.50
5/13/19 13:12 QQQ1921R182 QQQ Jun21'19 182 put SHORT 18 6.80 6/13 10:10 3.02 0.06%
Trade id #123649436
Max drawdown($1,170)
Time6/3/19 15:40
Quant open-2
Worst price12.65
Drawdown as % of equity-0.06%
$6,770
Includes Typical Broker Commissions trade costs of $25.80
6/3/19 14:00 GLD SPDR GOLD SHARES LONG 14 125.09 6/3 14:59 125.17 0%
Trade id #123917929
Max drawdown($2)
Time6/3/19 14:25
Quant open14
Worst price124.91
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.28
5/20/19 10:30 @MESM9 MICRO E-MINI S&P 500 SHORT 1 2851.50 5/20 10:30 2850.75 n/a $3
Includes Typical Broker Commissions trade costs of $0.94
5/13/19 13:42 SPY1921R285 SPY Jun21'19 285 put SHORT 20 8.65 5/16 13:55 4.17 0.03%
Trade id #123650133
Max drawdown($697)
Time5/13/19 15:39
Quant open-20
Worst price9.00
Drawdown as % of equity-0.03%
$8,935
Includes Typical Broker Commissions trade costs of $28.30
5/14/19 15:41 @MESM9 MICRO E-MINI S&P 500 LONG 1 2841.50 5/14 15:41 2841.75 n/a $0
Includes Typical Broker Commissions trade costs of $0.94
4/30/19 9:30 SPY1917Q285 SPY May17'19 285 put SHORT 20 0.83 5/13 13:48 5.32 0.5%
Trade id #123475001
Max drawdown($10,346)
Time5/13/19 13:21
Quant open-20
Worst price6.00
Drawdown as % of equity-0.50%
($9,016)
Includes Typical Broker Commissions trade costs of $28.30
4/30/19 9:30 QQQ1917Q182 QQQ May17'19 182 put SHORT 18 0.53 5/13 13:12 4.52 0.34%
Trade id #123475010
Max drawdown($7,200)
Time5/13/19 13:12
Quant open-18
Worst price4.53
Drawdown as % of equity-0.34%
($7,207)
Includes Typical Broker Commissions trade costs of $25.20
4/5/19 9:30 QQQ1918P175 QQQ Apr18'19 175 put SHORT 122 0.31 4/19 8:05 0.05 n/a $3,078
Includes Typical Broker Commissions trade costs of $121.80
4/5/19 9:30 SPY1918P260 SPY Apr18'19 260 put SHORT 10 0.05 4/19 8:05 0.00 0%
Trade id #123217635
Max drawdown($10)
Time4/5/19 9:44
Quant open-10
Worst price0.06
Drawdown as % of equity-0.00%
$43
Includes Typical Broker Commissions trade costs of $7.00
4/8/19 13:58 SPY1910P282.5 SPY Apr10'19 282.5 put SHORT 10 0.02 4/11 8:05 0.00 0%
Trade id #123243961
Max drawdown($30)
Time4/9/19 9:37
Quant open-10
Worst price0.05
Drawdown as % of equity-0.00%
$13
Includes Typical Broker Commissions trade costs of $7.00
4/9/19 13:12 @ESM9 E-MINI S&P 500 LONG 1 2886.25 4/9 14:15 2883.25 0.01%
Trade id #123257227
Max drawdown($262)
Time4/9/19 14:09
Quant open1
Worst price2881.00
Drawdown as % of equity-0.01%
($158)
Includes Typical Broker Commissions trade costs of $8.00
2/12/19 9:48 @JYH9 JAPANESE YEN LONG 1 0.009080 2/12 10:26 0.009072 0.01%
Trade id #122475530
Max drawdown($112)
Time2/12/19 10:21
Quant open1
Worst price0.009071
Drawdown as % of equity-0.01%
($108)
Includes Typical Broker Commissions trade costs of $8.00
1/7/19 13:09 SPY1915N242 SPY Feb15'19 242 put SHORT 50 2.46 1/14 15:19 1.30 0.09%
Trade id #121824459
Max drawdown($1,850)
Time1/8/19 10:55
Quant open-50
Worst price2.83
Drawdown as % of equity-0.09%
$5,730
Includes Typical Broker Commissions trade costs of $70.00

Statistics

  • Strategy began
    1/9/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2525.31
  • Age
    84 months ago
  • What it trades
    Options
  • # Trades
    488
  • # Profitable
    421
  • % Profitable
    86.30%
  • Avg trade duration
    9.7 days
  • Max peak-to-valley drawdown
    41.31%
  • drawdown period
    Oct 08, 2014 - Oct 16, 2014
  • Annual Return (Compounded)
    54.5%
  • Avg win
    $6,718
  • Avg loss
    $12,061
  • Model Account Values (Raw)
  • Cash
    $1,943,810
  • Margin Used
    $538,950
  • Buying Power
    $1,404,474
  • Ratios
  • W:L ratio
    3.53:1
  • Sharpe Ratio
    1.04
  • Sortino Ratio
    1.84
  • Calmar Ratio
    1.476
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1826.47%
  • Correlation to SP500
    0.38740
  • Return Percent SP500 (cumu) during strategy life
    114.64%
  • Return Statistics
  • Ann Return (w trading costs)
    54.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.00%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.545%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    55.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.50%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    5.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    859
  • Popularity (Last 6 weeks)
    955
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    194
  • Popularity (7 days, Percentile 1000 scale)
    897
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $12,062
  • Avg Win
    $6,656
  • Sum Trade PL (losers)
    $808,136.000
  • Age
  • Num Months (Age strategy)
    84
  • Win / Loss
  • Sum Trade PL (winners)
    $2,795,590.000
  • # Winners
    420
  • Num Months Winners
    68
  • Dividends
  • Dividends Received in Model Acct
    12823
  • Win / Loss
  • # Losers
    67
  • % Winners
    86.2%
  • Frequency
  • Avg Position Time (mins)
    14042.80
  • Avg Position Time (hrs)
    234.05
  • Avg Trade Length
    9.8 days
  • Last Trade Ago
    19
  • Leverage
  • Daily leverage (average)
    3.95
  • Daily leverage (max)
    23.75
  • Regression
  • Alpha
    0.10
  • Beta
    1.16
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    35.86
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    49.32
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.28
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.301
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.052
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.801
  • Hold-and-Hope Ratio
    0.435
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47463
  • SD
    0.31621
  • Sharpe ratio (Glass type estimate)
    1.50103
  • Sharpe ratio (Hedges UMVUE)
    1.48691
  • df
    80.00000
  • t
    3.89978
  • p
    0.00010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28606
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27570
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.03549
  • Upside Potential Ratio
    5.88373
  • Upside part of mean
    0.55459
  • Downside part of mean
    -0.07995
  • Upside SD
    0.32961
  • Downside SD
    0.09426
  • N nonnegative terms
    61.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.09310
  • Mean of criterion
    0.47463
  • SD of predictor
    0.12786
  • SD of criterion
    0.31621
  • Covariance
    0.01537
  • r
    0.38016
  • b (slope, estimate of beta)
    0.94017
  • a (intercept, estimate of alpha)
    0.38710
  • Mean Square Error
    0.08662
  • DF error
    79.00000
  • t(b)
    3.65328
  • p(b)
    0.00023
  • t(a)
    3.34326
  • p(a)
    0.00063
  • Lowerbound of 95% confidence interval for beta
    0.42793
  • Upperbound of 95% confidence interval for beta
    1.45242
  • Lowerbound of 95% confidence interval for alpha
    0.15664
  • Upperbound of 95% confidence interval for alpha
    0.61757
  • Treynor index (mean / b)
    0.50484
  • Jensen alpha (a)
    0.38710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42484
  • SD
    0.27470
  • Sharpe ratio (Glass type estimate)
    1.54653
  • Sharpe ratio (Hedges UMVUE)
    1.53199
  • df
    80.00000
  • t
    4.01801
  • p
    0.00007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.75072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32284
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.18241
  • Upside Potential Ratio
    5.01592
  • Upside part of mean
    0.50950
  • Downside part of mean
    -0.08467
  • Upside SD
    0.28152
  • Downside SD
    0.10158
  • N nonnegative terms
    61.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.08451
  • Mean of criterion
    0.42484
  • SD of predictor
    0.12782
  • SD of criterion
    0.27470
  • Covariance
    0.01372
  • r
    0.39068
  • b (slope, estimate of beta)
    0.83963
  • a (intercept, estimate of alpha)
    0.35388
  • Mean Square Error
    0.06475
  • DF error
    79.00000
  • t(b)
    3.77219
  • p(b)
    0.00016
  • t(a)
    3.54818
  • p(a)
    0.00033
  • Lowerbound of 95% confidence interval for beta
    0.39659
  • Upperbound of 95% confidence interval for beta
    1.28267
  • Lowerbound of 95% confidence interval for alpha
    0.15536
  • Upperbound of 95% confidence interval for alpha
    0.55239
  • Treynor index (mean / b)
    0.50598
  • Jensen alpha (a)
    0.35388
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09066
  • Expected Shortfall on VaR
    0.11992
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00842
  • Expected Shortfall on VaR
    0.02249
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.82515
  • Quartile 1
    1.00394
  • Median
    1.01609
  • Quartile 3
    1.05619
  • Maximum
    1.61711
  • Mean of quarter 1
    0.97671
  • Mean of quarter 2
    1.01086
  • Mean of quarter 3
    1.03618
  • Mean of quarter 4
    1.14704
  • Inter Quartile Range
    0.05225
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03704
  • Mean of outliers low
    0.86802
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.09877
  • Mean of outliers high
    1.23568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08012
  • VaR(95%) (moments method)
    0.00299
  • Expected Shortfall (moments method)
    0.00526
  • Extreme Value Index (regression method)
    0.76822
  • VaR(95%) (regression method)
    0.02193
  • Expected Shortfall (regression method)
    0.15438
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00475
  • Quartile 1
    0.01056
  • Median
    0.01621
  • Quartile 3
    0.11600
  • Maximum
    0.17485
  • Mean of quarter 1
    0.00614
  • Mean of quarter 2
    0.01490
  • Mean of quarter 3
    0.11146
  • Mean of quarter 4
    0.14770
  • Inter Quartile Range
    0.10544
  • 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)
    2.99896
  • Compounded annual return (geometric extrapolation)
    0.57262
  • Calmar ratio (compounded annual return / max draw down)
    3.27491
  • Compounded annual return / average of 25% largest draw downs
    3.87704
  • Compounded annual return / Expected Shortfall lognormal
    4.77505
  • 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
    0.48718
  • SD
    0.37042
  • Sharpe ratio (Glass type estimate)
    1.31520
  • Sharpe ratio (Hedges UMVUE)
    1.31464
  • df
    1783.00000
  • t
    3.43192
  • p
    0.44849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06699
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30515
  • Upside Potential Ratio
    5.69841
  • Upside part of mean
    1.20432
  • Downside part of mean
    -0.71714
  • Upside SD
    0.30557
  • Downside SD
    0.21134
  • N nonnegative terms
    718.00000
  • N negative terms
    1066.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1784.00000
  • Mean of predictor
    0.09277
  • Mean of criterion
    0.48718
  • SD of predictor
    0.13018
  • SD of criterion
    0.37042
  • Covariance
    0.01905
  • r
    0.39498
  • b (slope, estimate of beta)
    1.12387
  • a (intercept, estimate of alpha)
    0.38300
  • Mean Square Error
    0.11587
  • DF error
    1782.00000
  • t(b)
    18.14950
  • p(b)
    0.30251
  • t(a)
    2.93249
  • p(a)
    0.46535
  • Lowerbound of 95% confidence interval for beta
    1.00243
  • Upperbound of 95% confidence interval for beta
    1.24532
  • Lowerbound of 95% confidence interval for alpha
    0.12681
  • Upperbound of 95% confidence interval for alpha
    0.63901
  • Treynor index (mean / b)
    0.43348
  • Jensen alpha (a)
    0.38291
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42163
  • SD
    0.35735
  • Sharpe ratio (Glass type estimate)
    1.17990
  • Sharpe ratio (Hedges UMVUE)
    1.17940
  • df
    1783.00000
  • t
    3.07888
  • p
    0.45375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42766
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42730
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93151
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87450
  • Upside Potential Ratio
    5.17028
  • Upside part of mean
    1.16295
  • Downside part of mean
    -0.74132
  • Upside SD
    0.27876
  • Downside SD
    0.22493
  • N nonnegative terms
    718.00000
  • N negative terms
    1066.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1784.00000
  • Mean of predictor
    0.08427
  • Mean of criterion
    0.42163
  • SD of predictor
    0.13037
  • SD of criterion
    0.35735
  • Covariance
    0.01887
  • r
    0.40504
  • b (slope, estimate of beta)
    1.11023
  • a (intercept, estimate of alpha)
    0.32808
  • Mean Square Error
    0.10681
  • DF error
    1782.00000
  • t(b)
    18.70110
  • p(b)
    0.29748
  • t(a)
    2.61746
  • p(a)
    0.46906
  • Lowerbound of 95% confidence interval for beta
    0.99379
  • Upperbound of 95% confidence interval for beta
    1.22667
  • Lowerbound of 95% confidence interval for alpha
    0.08224
  • Upperbound of 95% confidence interval for alpha
    0.57391
  • Treynor index (mean / b)
    0.37977
  • Jensen alpha (a)
    0.32808
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03411
  • Expected Shortfall on VaR
    0.04295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00680
  • Expected Shortfall on VaR
    0.01574
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1784.00000
  • Minimum
    0.81471
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00220
  • Maximum
    1.39997
  • Mean of quarter 1
    0.98930
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00053
  • Mean of quarter 4
    1.01804
  • Inter Quartile Range
    0.00220
  • Number outliers low
    216.00000
  • Percentage of outliers low
    0.12108
  • Mean of outliers low
    0.97886
  • Number of outliers high
    288.00000
  • Percentage of outliers high
    0.16143
  • Mean of outliers high
    1.02591
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.13252
  • VaR(95%) (moments method)
    0.00605
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.65601
  • VaR(95%) (regression method)
    0.00718
  • Expected Shortfall (regression method)
    0.02849
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    156.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00109
  • Median
    0.00541
  • Quartile 3
    0.01787
  • Maximum
    0.38451
  • Mean of quarter 1
    0.00052
  • Mean of quarter 2
    0.00286
  • Mean of quarter 3
    0.01150
  • Mean of quarter 4
    0.07687
  • Inter Quartile Range
    0.01679
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    0.13606
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79057
  • VaR(95%) (moments method)
    0.07849
  • Expected Shortfall (moments method)
    0.39874
  • Extreme Value Index (regression method)
    0.63018
  • VaR(95%) (regression method)
    0.06903
  • Expected Shortfall (regression method)
    0.20599
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.98841
  • Compounded annual return (geometric extrapolation)
    0.56759
  • Calmar ratio (compounded annual return / max draw down)
    1.47615
  • Compounded annual return / average of 25% largest draw downs
    7.38397
  • Compounded annual return / Expected Shortfall lognormal
    13.21640
  • 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
    0.01576
  • SD
    0.01304
  • Sharpe ratio (Glass type estimate)
    1.20886
  • Sharpe ratio (Hedges UMVUE)
    1.20187
  • df
    130.00000
  • t
    0.85479
  • p
    0.46262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.98226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97752
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35640
  • Upside Potential Ratio
    8.65687
  • Upside part of mean
    0.05789
  • Downside part of mean
    -0.04213
  • Upside SD
    0.01117
  • Downside SD
    0.00669
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16898
  • Mean of criterion
    0.01576
  • SD of predictor
    0.14171
  • SD of criterion
    0.01304
  • Covariance
    0.00046
  • r
    0.24818
  • b (slope, estimate of beta)
    0.02283
  • a (intercept, estimate of alpha)
    0.01190
  • Mean Square Error
    0.00016
  • DF error
    129.00000
  • t(b)
    2.90980
  • p(b)
    0.34364
  • t(a)
    0.66201
  • p(a)
    0.46298
  • Lowerbound of 95% confidence interval for beta
    0.00731
  • Upperbound of 95% confidence interval for beta
    0.03835
  • Lowerbound of 95% confidence interval for alpha
    -0.02367
  • Upperbound of 95% confidence interval for alpha
    0.04747
  • Treynor index (mean / b)
    0.69026
  • Jensen alpha (a)
    0.01190
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01567
  • SD
    0.01302
  • Sharpe ratio (Glass type estimate)
    1.20326
  • Sharpe ratio (Hedges UMVUE)
    1.19630
  • df
    130.00000
  • t
    0.85083
  • p
    0.46279
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57932
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97192
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34048
  • Upside Potential Ratio
    8.63554
  • Upside part of mean
    0.05783
  • Downside part of mean
    -0.04215
  • Upside SD
    0.01116
  • Downside SD
    0.00670
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15893
  • Mean of criterion
    0.01567
  • SD of predictor
    0.14189
  • SD of criterion
    0.01302
  • Covariance
    0.00046
  • r
    0.24835
  • b (slope, estimate of beta)
    0.02280
  • a (intercept, estimate of alpha)
    0.01205
  • Mean Square Error
    0.00016
  • DF error
    129.00000
  • t(b)
    2.91197
  • p(b)
    0.34353
  • t(a)
    0.67106
  • p(a)
    0.46247
  • VAR (95 Confidence Intrvl)
    0.03400
  • Lowerbound of 95% confidence interval for beta
    0.00731
  • Upperbound of 95% confidence interval for beta
    0.03829
  • Lowerbound of 95% confidence interval for alpha
    -0.02348
  • Upperbound of 95% confidence interval for alpha
    0.04757
  • Treynor index (mean / b)
    0.68742
  • Jensen alpha (a)
    0.01205
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00126
  • Expected Shortfall on VaR
    0.00160
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00046
  • Expected Shortfall on VaR
    0.00094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99629
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00016
  • Maximum
    1.00428
  • Mean of quarter 1
    0.99965
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.00098
  • Inter Quartile Range
    0.00016
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.99909
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.00146
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54007
  • VaR(95%) (moments method)
    0.00053
  • Expected Shortfall (moments method)
    0.00132
  • Extreme Value Index (regression method)
    1.81278
  • VaR(95%) (regression method)
    0.00082
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00017
  • Median
    0.00051
  • Quartile 3
    0.00073
  • Maximum
    0.00577
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.00031
  • Mean of quarter 3
    0.00061
  • Mean of quarter 4
    0.00276
  • Inter Quartile Range
    0.00057
  • 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
    0.07692
  • Mean of outliers high
    0.00577
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54358
  • VaR(95%) (moments method)
    0.00255
  • Expected Shortfall (moments method)
    0.00637
  • Extreme Value Index (regression method)
    1.45977
  • VaR(95%) (regression method)
    0.00443
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -242450000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04406
  • Compounded annual return (geometric extrapolation)
    0.04454
  • Calmar ratio (compounded annual return / max draw down)
    7.71848
  • Compounded annual return / average of 25% largest draw downs
    16.16090
  • Compounded annual return / Expected Shortfall lognormal
    27.86220

Strategy Description

A variety of models are used to generate the signals which include, and not limited to, volume delta, market profile, fund flows.

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 has more than 10 years of track record with the original algorithm. If you wish to review available broker data an NDA must be signed.

With the subscription you will obtain direct access to private blog commentaries as well as direct access to private communication channels.

As of Jan 2019, the account will also deploy a cash management strategy. The data above is hypothetical and may differ from broker data which for example, pays interest on the account cash balance.

Summary Statistics

Strategy began
2013-01-09
Suggested Minimum Capital
$35,000
# Trades
488
# Profitable
421
% Profitable
86.3%
Net Dividends
Correlation S&P500
0.387
Sharpe Ratio
1.04
Sortino Ratio
1.84
Beta
1.16
Alpha
0.10
Leverage
3.95 Average
23.75 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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

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