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For your consideration Orange Cat Management Rank on Leaderboard #4 Hypothetical

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Options 555

By tsvika_elberger

Options · Started Dec 2015

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
13
Win Trades
38.5%
Profit Factor
0.20
Win Months
0.8%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201547.847.8
2016-190.60.00.00.00.00.00.00.00.00.00.00.0-190.6
20170.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began12/3/2015
Suggested Minimum Capital$10,000
Age133 months
What it tradesOptions
# Trades13
# Profitable5
% Profitable38.5%
Avg trade duration1.0 days
Max peak-to-valley drawdown100.0%
drawdown periodJan 06, 2016 - Jan 09, 2016
Cumul. Return-233.6%
Avg win$1,473
Avg loss$3,742

Ratios

W:L ratio0.25
Sharpe Ratio-2.95
Sortino Ratio-2.90
Calmar Ratio-1.00

CORRELATION STATISTICS

Correlation to SP5000.43
Return Percent SP500 (cumu) during strategy life266.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-227.4%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-2.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.0%

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 loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)100.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)768
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$3,742
Avg Win$1,473
# Winners5
Sum Trade PL (losers)$29,938
Sum Trade PL (winners)$7,367
Num Months Winners1
# Losers8
% Winners38.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table2

Frequency

Avg Position Time (mins)1391.25
Avg Position Time (hrs)23.19
Avg Trade Length1
Last Trade Ago3957

Regression

Alpha0
Beta8.56
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.04
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-1.14
MAE:PL (avg, all trades)-1.56
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats32.38
MAE:PL - Winning Trades - this strat Percentile of All Strats12.70
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.81
Avg(MAE) / Avg(PL) - Losing trades-1.02
Hold-and-Hope Ratio-0.88

RATIO STATISTICS

a (intercept, estimate of alpha)-0.91
VAR (95 Confidence Intrvl)0.51

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)3
Last 4 Months - Pcnt Negative0.2%

Trading record

SymbolSideQtyOpenedClosedP/L
PCLN1608A1220 long25Jan 5, 2016Jan 9, 2016($28,168)
BABA1524L84 long15Dec 23, 2015Dec 23, 2015($46)
NFLX1524L116 long42Dec 22, 2015Dec 22, 2015$496
AAPL1518L110 long15Dec 17, 2015Dec 19, 2015($590)
NFLX1511L126 long2Dec 10, 2015Dec 12, 2015($59)
NFLX1511L121 long1Dec 11, 2015Dec 12, 2015($5)
NFLX1511L121 long4Dec 11, 2015Dec 11, 2015($117)
NFLX1511L124 long8Dec 10, 2015Dec 10, 2015$201
NFLX1511L126 long2Dec 10, 2015Dec 10, 2015($19)
NFLX1511L124 long12Dec 7, 2015Dec 8, 2015$1,163
FB long10000Dec 5, 2015Dec 7, 2015$4,295
FB1504L106 long100Dec 4, 2015Dec 5, 2015($1,070)
FB1504L106 long100Dec 4, 2015Dec 4, 2015$980

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.