10Old
- hypothetical · Annual Return (Compounded)
- -5.3%
- Max Drawdown
- 63.7%
- Trades
- 101
- Win Trades
- 92.1%
- Profit Factor
- 0.80
- Win Months
- 9.4%
About this strategy
- Strategy
High probability option trades based on statistical models using more than 10 years of data.
This system relies on time value decay to generate constant monthly income.
- Quantitative models
Short options selection is based on several proprietary Quantitative models with a 99% target probability of OTM expiration.
When all models identify a potential trade, discretionary control is used to validate or reject the trade based on additional criteria including market trend information, margin requirements, trade entry timing, time to expiration and position sizing.
Long option positions will sometimes be used to partially hedge risk.
- Risk control
Margin is usually limited to 50% max to limit risk and to avoid at best potential margin calls.
Stop-loss on open positions are generated automatically to try to limit DD under 30% of equity in case of extreme events.
- Disclaimer
Volatility investments are high risk, high reward strategies and as a CFA charterholder, I would recommend that everybody has to assess his/her own risk taking ability before considering trading any strategy.
This strategy will fit the need of certain subscribers that want to diversify their portfolio with a small part of their asset allocation dedicated to short options.
Past performance does not guarantee future results and it should be expected that future drawdowns will be larger.
>>>> Odysseus - For a simple stock only Volatility system suited to most types of investors and accounts, please take a look at my other system Odysseus : https://collective2.com/details/114537281
High probability option trades based on statistical models using more than 10 years of data.
This system relies on time value decay to generate constant monthly income.
- Quantitative models
Short options selection is based on several proprietary Quantitative models with a 99% target probability of OTM expiration.
When all models identify a potential trade, discretionary control is used to validate or reject the trade based on additional criteria including market trend information, margin requirements, trade entry timing, time to expiration and position sizing.
Long option positions will sometimes be used to partially hedge risk.
- Risk control
Margin is usually limited to 50% max to limit risk and to avoid at best potential margin calls.
Stop-loss on open positions are generated automatically to try to limit DD under 30% of equity in case of extreme events.
- Disclaimer
Volatility investments are high risk, high reward strategies and as a CFA charterholder, I would recommend that everybody has to assess his/her own risk taking ability before considering trading any strategy.
This strategy will fit the need of certain subscribers that want to diversify their portfolio with a small part of their asset allocation dedicated to short options.
Past performance does not guarantee future results and it should be expected that future drawdowns will be larger.
>>>> Odysseus - For a simple stock only Volatility system suited to most types of investors and accounts, please take a look at my other system Odysseus : https://collective2.com/details/114537281
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | 3.3 | 10.0 | 7.6 | 7.3 | 4.2 | 4.1 | 1.0 | 0.9 | 4.9 | 2.4 | 55.9 | ||
| 2018 | 5.0 | -63.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -61.9 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 3/23/2017 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 117 months |
| What it trades | Options |
| # Trades | 101 |
| # Profitable | 93 |
| % Profitable | 92.1% |
| Avg trade duration | 10.6 days |
| Max peak-to-valley drawdown | 63.7% |
| drawdown period | Feb 02, 2018 - Feb 05, 2018 |
| Annual Return (Compounded) | -5.3% |
| Avg win | $171 |
| Avg loss | $2,635 |
Ratios
| W:L ratio | 0.76 |
|---|---|
| Sharpe Ratio | -0.22 |
| Sortino Ratio | -0.22 |
| Calmar Ratio | -0.23 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 221.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -266.0% |
Return Statistics
| Ann Return (w trading costs) | -5.3% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -3.1% |
Slump
| Current Slump as Pcnt Equity | 175.8% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 1.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 100.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.6% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,634 |
|---|---|
| Avg Win | $171 |
| # Winners | 93 |
| Sum Trade PL (losers) | $21,076 |
| Sum Trade PL (winners) | $15,925 |
| Num Months Winners | 11 |
| # Losers | 8 |
| % Winners | 92.1% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 117 |
|---|
Frequency
| Avg Position Time (mins) | 15221.75 |
|---|---|
| Avg Position Time (hrs) | 253.70 |
| Avg Trade Length | 10.60 |
| Last Trade Ago | 3192 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -0.92 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.30 |
| MAE:Equity, average, losing trades | 0.13 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -4.01 |
| MAE:PL (avg, all trades) | 0.30 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 45.43 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 12.02 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.62 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.03 |
| Hold-and-Hope Ratio | -0.25 |
RATIO STATISTICS
| Mean | 0.00 |
|---|---|
| SD | 0.44 |
| Sharpe ratio (Glass type estimate) | 0.01 |
| Sharpe ratio (Hedges UMVUE) | 0.01 |
| df | 24 |
| t | 0.01 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.37 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.35 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.37 |
| Sortino ratio | 0.01 |
| Upside Potential Ratio | 0.70 |
| Upside part of mean | 0.28 |
| Downside part of mean | -0.28 |
| Upside SD | 0.15 |
| Downside SD | 0.40 |
| N nonnegative terms | 24 |
| N negative terms | 1 |
| N of observations | 25 |
| Mean of predictor | 0.64 |
| Mean of criterion | 0.00 |
| SD of predictor | 0.32 |
| SD of criterion | 0.44 |
| Covariance | 0.01 |
| r | 0.08 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | -0.06 |
| Mean Square Error | 0.20 |
| DF error | 23 |
| t(b) | 0.37 |
| p(b) | 0.36 |
| t(a) | -0.17 |
| p(a) | 0.57 |
| Lowerbound of 95% confidence interval for beta | -0.48 |
| Upperbound of 95% confidence interval for beta | 0.69 |
| Lowerbound of 95% confidence interval for alpha | -0.80 |
| Upperbound of 95% confidence interval for alpha | 0.68 |
| Treynor index (mean / b) | 0.04 |
| Jensen alpha (a) | -0.06 |
| Mean | -0.14 |
| SD | 0.63 |
| Sharpe ratio (Glass type estimate) | -0.23 |
| Sharpe ratio (Hedges UMVUE) | -0.22 |
| df | 24 |
| t | -0.33 |
| p | 0.63 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.59 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.13 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.58 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.14 |
| Sortino ratio | -0.24 |
| Upside Potential Ratio | 0.45 |
| Upside part of mean | 0.27 |
| Downside part of mean | -0.42 |
| Upside SD | 0.14 |
| Downside SD | 0.60 |
| N nonnegative terms | 24 |
| N negative terms | 1 |
| N of observations | 25 |
| Mean of predictor | 0.58 |
| Mean of criterion | -0.14 |
| SD of predictor | 0.30 |
| SD of criterion | 0.63 |
| Covariance | 0.02 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.23 |
| a (intercept, estimate of alpha) | -0.28 |
| Mean Square Error | 0.41 |
| DF error | 23 |
| t(b) | 0.54 |
| p(b) | 0.30 |
| t(a) | -0.55 |
| p(a) | 0.71 |
| Lowerbound of 95% confidence interval for beta | -0.66 |
| Upperbound of 95% confidence interval for beta | 1.13 |
| Lowerbound of 95% confidence interval for alpha | -1.33 |
| Upperbound of 95% confidence interval for alpha | 0.77 |
| Treynor index (mean / b) | -0.62 |
| Jensen alpha (a) | -0.28 |
| VaR(95%) | 0.27 |
| Expected Shortfall on VaR | 0.32 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
| Mean | -0.05 |
| SD | 0.36 |
| Sharpe ratio (Glass type estimate) | -0.15 |
| Sharpe ratio (Hedges UMVUE) | -0.15 |
| df | 549 |
| t | -0.22 |
| p | 0.59 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.50 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.20 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.50 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.20 |
| Sortino ratio | -0.15 |
| Upside Potential Ratio | 1.00 |
| Upside part of mean | 0.35 |
| Downside part of mean | -0.41 |
| Upside SD | 0.07 |
| Downside SD | 0.35 |
| N nonnegative terms | 495 |
| N negative terms | 55 |
| N of observations | 550 |
| Mean of predictor | 0.64 |
| Mean of criterion | -0.05 |
| SD of predictor | 0.39 |
| SD of criterion | 0.36 |
| Covariance | 0.00 |
| r | 0.02 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | -0.06 |
| Mean Square Error | 0.13 |
| DF error | 548 |
| t(b) | 0.38 |
| p(b) | 0.35 |
| t(a) | -0.26 |
| p(a) | 0.60 |
| Lowerbound of 95% confidence interval for beta | -0.06 |
| Upperbound of 95% confidence interval for beta | 0.09 |
| Lowerbound of 95% confidence interval for alpha | -0.55 |
| Upperbound of 95% confidence interval for alpha | 0.43 |
| Treynor index (mean / b) | -3.62 |
| Jensen alpha (a) | -0.06 |
| Mean | -0.14 |
| SD | 0.46 |
| Sharpe ratio (Glass type estimate) | -0.31 |
| Sharpe ratio (Hedges UMVUE) | -0.31 |
| df | 549 |
| t | -0.45 |
| p | 0.67 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.04 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.04 |
| Sortino ratio | -0.32 |
| Upside Potential Ratio | 0.78 |
| Upside part of mean | 0.35 |
| Downside part of mean | -0.49 |
| Upside SD | 0.07 |
| Downside SD | 0.45 |
| N nonnegative terms | 495 |
| N negative terms | 55 |
| N of observations | 550 |
| Mean of predictor | 0.56 |
| Mean of criterion | -0.14 |
| SD of predictor | 0.38 |
| SD of criterion | 0.46 |
| Covariance | 0.00 |
| r | 0.01 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | -0.15 |
| Mean Square Error | 0.21 |
| DF error | 548 |
| t(b) | 0.27 |
| p(b) | 0.39 |
| t(a) | -0.47 |
| p(a) | 0.68 |
| Lowerbound of 95% confidence interval for beta | -0.09 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.77 |
| Upperbound of 95% confidence interval for alpha | 0.47 |
| Treynor index (mean / b) | -10.50 |
| Jensen alpha (a) | -0.15 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.06 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| Mean | 0 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 1.10 |
| Mean of criterion | 0 |
| SD of predictor | 0.49 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | 0 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 0.98 |
| Mean of criterion | 0 |
| SD of predictor | 0.49 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.05 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 25 |
|---|---|
| Minimum | 0.42 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.04 |
| Maximum | 1.13 |
| Mean of quarter 1 | 0.92 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.08 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.42 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.12 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 550 |
| Minimum | 0.55 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.07 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 55 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 136 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 1.49 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 1.44 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.58 |
| Quartile 1 | 0.58 |
| Median | 0.58 |
| Quartile 3 | 0.58 |
| Maximum | 0.58 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 29 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.00 |
| Maximum | 0.58 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.00 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.22 |
| Extreme Value Index (moments method) | 1.54 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 3.00 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -532073472 |
| Max Equity Drawdown (num days) | 3 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.12 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.13 |
| Calmar ratio (compounded annual return / max draw down) | -0.23 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -0.42 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.12 |
| Compounded annual return (geometric extrapolation) | -0.13 |
| Calmar ratio (compounded annual return / max draw down) | -0.23 |
| Compounded annual return / average of 25% largest draw downs | -1.34 |
| Compounded annual return / Expected Shortfall lognormal | -2.33 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 127 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| VIX1814B45 | short | 35 | Feb 5, 2018 | Feb 5, 2018 | ($4,537) |
| VIX1807B32.5 | short | 15 | Feb 5, 2018 | Feb 5, 2018 | ($3,696) |
| VIX1807B29 | short | 40 | Jan 29, 2018 | Feb 5, 2018 | ($9,056) |
| VIX1807B30 | short | 20 | Jan 29, 2018 | Feb 5, 2018 | ($3,628) |
| VIX1831A21 | short | 15 | Jan 24, 2018 | Jan 31, 2018 | $65 |
| VIX1831A23 | short | 20 | Jan 24, 2018 | Jan 31, 2018 | $86 |
| VIX1831A22 | short | 40 | Jan 24, 2018 | Jan 31, 2018 | $172 |
| VIX1824A23 | short | 20 | Jan 17, 2018 | Jan 24, 2018 | $86 |
| VIX1824A22 | short | 65 | Jan 16, 2018 | Jan 24, 2018 | $280 |
| VIX1824A21 | short | 30 | Jan 16, 2018 | Jan 24, 2018 | $129 |
| VIX1817A23 | short | 60 | Jan 8, 2018 | Jan 17, 2018 | $258 |
| VIX1810A24 | short | 30 | Dec 27, 2017 | Jan 10, 2018 | $129 |
| VIX1810A25 | short | 15 | Dec 27, 2017 | Jan 10, 2018 | $65 |
| VIX1803A22 | short | 45 | Dec 22, 2017 | Jan 3, 2018 | $194 |
| VIX1803A23 | short | 15 | Dec 22, 2017 | Jan 3, 2018 | $65 |
| VIX1803A26 | short | 15 | Dec 21, 2017 | Jan 3, 2018 | $65 |
| VIX1727L20 | short | 15 | Dec 19, 2017 | Dec 27, 2017 | $65 |
| VIX1720L24 | short | 15 | Dec 11, 2017 | Dec 20, 2017 | $65 |
| VIX1720L20 | short | 30 | Dec 13, 2017 | Dec 20, 2017 | $129 |
| VIX1720L21 | short | 45 | Dec 13, 2017 | Dec 20, 2017 | $194 |
| VIX1713L23 | short | 60 | Nov 29, 2017 | Dec 13, 2017 | $258 |
| VIX1713L22 | short | 30 | Nov 29, 2017 | Dec 13, 2017 | $129 |
| VIX1729K23 | short | 15 | Nov 17, 2017 | Nov 29, 2017 | $65 |
| VIX1729K19 | short | 15 | Nov 21, 2017 | Nov 29, 2017 | $65 |
| VIX1722K25 | short | 30 | Nov 15, 2017 | Nov 22, 2017 | $129 |
| VIX1722K26 | short | 45 | Nov 14, 2017 | Nov 22, 2017 | $194 |
| VIX1715K22 | short | 40 | Nov 6, 2017 | Nov 15, 2017 | $172 |
| VIX1715K30 | short | 30 | Nov 2, 2017 | Nov 15, 2017 | $129 |
| VIX1715K23 | short | 30 | Nov 6, 2017 | Nov 15, 2017 | $129 |
| VIX1715K25 | short | 15 | Nov 10, 2017 | Nov 15, 2017 | $65 |
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.