Collective2 Collective2
For your consideration Calicut Commodities +58.9% Annual Return (Compounded) since Nov 15, 2023 Hypothetical

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Option Swing

By sjlarowe

Options · Started Jul 2017

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
229
Win Trades
55.9%
Profit Factor
0.90
Win Months
0.9%

About this strategy

This is a mechanical trading strategy that bases entries and exits off 2 signals, it takes away the emotion factor and captures profit down to a 1 minute chart.

Max drawdown per day: $4K (this was put in place after the 47% drawdown that is shown)
Positions are entered and exited at market price, this is to prevent subscribers from being stuck in a position

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2017109.5-101.60.00.00.00.0-103.3
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began7/7/2017
Suggested Minimum Capital$30,000
Age112 months
What it tradesOptions
# Trades229
# Profitable128
% Profitable55.9%
Avg trade duration9.3 hours
Max peak-to-valley drawdown100.0%
drawdown periodAug 28, 2017 - Aug 28, 2017
Cumul. Return-101.9%
Avg win$934
Avg loss$1,309

Ratios

W:L ratio0.90
Sharpe Ratio-3.04
Sortino Ratio-3.28
Calmar Ratio-0.42

CORRELATION STATISTICS

Correlation to SP5000.12
Return Percent SP500 (cumu) during strategy life221.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-102.6%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-1.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-5.7%

Slump

Current Slump as Pcnt Equity—
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options1.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss97.0%
Chance of 20% account loss86.5%
Chance of 30% account loss74.5%
Chance of 40% account loss51.0%
Chance of 50% account loss34.5%
Chance of 60% account loss (Monte Carlo)16.0%
Chance of 70% account loss (Monte Carlo)7.0%
Chance of 80% account loss (Monte Carlo)0.5%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)391
Popularity (Last 6 weeks)953
Popularity (7 days, Percentile 1000 scale)615

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,309
Avg Win$934
# Winners128
Sum Trade PL (losers)$132,161
Sum Trade PL (winners)$119,601
Num Months Winners1
# Losers101
% Winners55.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table2

Frequency

Avg Position Time (mins)557.78
Avg Position Time (hrs)9.30
Avg Trade Length0.40
Last Trade Ago3319

Regression

Alpha0
Beta7.34
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.04
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-7.41
MAE:PL (avg, all trades)0.12
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats10.74
MAE:PL - Winning Trades - this strat Percentile of All Strats31.76
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.76
Avg(MAE) / Avg(PL) - Losing trades-1.12
Hold-and-Hope Ratio-0.14

RATIO STATISTICS

a (intercept, estimate of alpha)-0.12
VAR (95 Confidence Intrvl)0.08

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)28
Last 4 Months - Pcnt Negative0.2%

Trading record

Placed 188 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
CMG1701I312.5 long25Aug 28, 2017Aug 28, 2017($535)
AMZN1701I950 long25Aug 28, 2017Aug 28, 2017($4,535)
NFLX1701U170 long25Aug 28, 2017Aug 28, 2017($785)
BABA1701I167.5 long25Aug 28, 2017Aug 28, 2017($535)
AAPL1701I160 long25Aug 28, 2017Aug 28, 2017$640
BABA1701I167.5 long25Aug 28, 2017Aug 28, 2017$165
BABA1701U167.5 long25Aug 28, 2017Aug 28, 2017($1,210)
AAPL1701U162.5 long5Aug 28, 2017Aug 28, 2017($257)
BABA1701U170 long5Aug 28, 2017Aug 28, 2017$18
FB1701U167.5 long5Aug 28, 2017Aug 28, 2017($102)
TSLA1729I365 long5Aug 16, 2017Aug 28, 2017($6,632)
NFLX1729I167.5 long5Aug 22, 2017Aug 28, 2017($1,157)
SPY1729I244 long5Aug 22, 2017Aug 28, 2017($117)
FB1729I167.5 long5Aug 22, 2017Aug 28, 2017($832)
BABA1729I165 long5Aug 17, 2017Aug 28, 2017$93
AMZN1729I962.5 long5Aug 22, 2017Aug 28, 2017($6,207)
AAPL1729I160 long5Aug 16, 2017Aug 28, 2017($807)
CMG1729U320 long5Aug 16, 2017Aug 18, 2017$143
AMZN1729U957.5 long5Aug 17, 2017Aug 18, 2017$743
NFLX1722U167.5 long5Aug 16, 2017Aug 18, 2017($507)
SPY1729I247 long10Aug 16, 2017Aug 17, 2017($1,164)
SPY1722I246 long10Aug 14, 2017Aug 16, 2017$136
BABA1722I149 long5Aug 11, 2017Aug 16, 2017$2,168
FB1722I167.5 long5Aug 11, 2017Aug 16, 2017$68
NFLX1722I170 long5Aug 11, 2017Aug 15, 2017($1,532)
SPY1718H246 long10Aug 14, 2017Aug 14, 2017$26
FB1718H167.5 long5Aug 14, 2017Aug 14, 2017($107)
AAPL1718H157.5 long5Aug 14, 2017Aug 14, 2017($262)
NFLX1718H170 long5Aug 14, 2017Aug 14, 2017($352)
BABA1718T155 long5Aug 14, 2017Aug 14, 2017($132)

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.