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This is an archived track record. This track record was archived on 10/2/19 11:14 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Option1
(123980488)

Created by: Option1 Option1
Started: 06/2019
Options
Last trade: 120 days ago

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 $199.00 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.

-25.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(43.0%)
Max Drawdown
35
Num Trades
22.9%
Win Trades
0.6 : 1
Profit Factor
12.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   (1.9%)+21.8%(29.5%)(11.2%)  -    -    -  (25.2%)
2020  -                                                                    0.0

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/19/19 11:03 AMZN1920U1830 AMZN Sep20'19 1830 put LONG 2 7.95 9/19 15:43 10.00 0.68%
Trade id #125418339
Max drawdown($250)
Time9/19/19 11:40
Quant open2
Worst price6.70
Drawdown as % of equity-0.68%
$407
Includes Typical Broker Commissions trade costs of $2.80
9/18/19 11:57 AMZN1920U1812.5 AMZN Sep20'19 1812.5 put LONG 1 13.80 9/19 10:57 1.69 3.14%
Trade id #125402978
Max drawdown($1,223)
Time9/19/19 0:00
Quant open1
Worst price1.57
Drawdown as % of equity-3.14%
($1,213)
Includes Typical Broker Commissions trade costs of $2.00
9/16/19 9:57 AMZN1920U1810 AMZN Sep20'19 1810 put LONG 1 20.40 9/17 11:55 11.45 3.17%
Trade id #125368181
Max drawdown($1,240)
Time9/17/19 0:00
Quant open1
Worst price8.00
Drawdown as % of equity-3.17%
($897)
Includes Typical Broker Commissions trade costs of $2.00
9/12/19 10:26 AMZN1920I1850 AMZN Sep20'19 1850 call LONG 1 22.69 9/16 9:55 5.15 4.6%
Trade id #125328026
Max drawdown($1,843)
Time9/16/19 9:45
Quant open1
Worst price4.26
Drawdown as % of equity-4.60%
($1,756)
Includes Typical Broker Commissions trade costs of $2.00
9/11/19 12:13 AMZN1913I1830 AMZN Sep13'19 1830 call LONG 1 12.00 9/11 14:56 5.56 1.66%
Trade id #125311306
Max drawdown($690)
Time9/11/19 14:34
Quant open1
Worst price5.10
Drawdown as % of equity-1.66%
($646)
Includes Typical Broker Commissions trade costs of $2.00
9/10/19 9:43 AMZN1913U1815 AMZN Sep13'19 1815 put LONG 1 15.50 9/11 11:22 6.00 2.69%
Trade id #125289488
Max drawdown($1,140)
Time9/11/19 0:00
Quant open1
Worst price4.10
Drawdown as % of equity-2.69%
($952)
Includes Typical Broker Commissions trade costs of $2.00
9/6/19 9:58 AMZN1913I1832.5 AMZN Sep13'19 1832.5 call LONG 1 21.15 9/9 14:31 13.90 1.47%
Trade id #125245950
Max drawdown($635)
Time9/9/19 14:24
Quant open1
Worst price14.80
Drawdown as % of equity-1.47%
($727)
Includes Typical Broker Commissions trade costs of $2.00
9/3/19 10:29 AMZN1906I1787.5 AMZN Sep6'19 1787.5 call LONG 1 20.20 9/6 9:55 47.00 0.71%
Trade id #125196675
Max drawdown($290)
Time9/3/19 14:21
Quant open1
Worst price17.30
Drawdown as % of equity-0.71%
$2,678
Includes Typical Broker Commissions trade costs of $2.00
8/30/19 13:04 AMZN1906U1770 AMZN Sep6'19 1770 put LONG 2 21.05 9/3 9:58 10.25 5.77%
Trade id #125163442
Max drawdown($2,430)
Time9/3/19 9:55
Quant open2
Worst price8.90
Drawdown as % of equity-5.77%
($2,163)
Includes Typical Broker Commissions trade costs of $2.80
8/23/19 10:01 AMZN1930T1790 AMZN Aug30'19 1790 put LONG 2 26.15 8/27 9:31 23.65 2.26%
Trade id #125058102
Max drawdown($965)
Time8/23/19 10:41
Quant open1
Worst price16.50
Drawdown as % of equity-2.26%
($503)
Includes Typical Broker Commissions trade costs of $3.40
8/22/19 11:55 AMZN1923H1805 AMZN Aug23'19 1805 call LONG 2 13.10 8/23 9:51 1.60 5.7%
Trade id #125038768
Max drawdown($2,618)
Time8/23/19 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-5.70%
($2,303)
Includes Typical Broker Commissions trade costs of $2.80
8/21/19 10:28 AMZN1923H1827.5 AMZN Aug23'19 1827.5 call LONG 2 13.60 8/22 10:58 3.35 4.95%
Trade id #125018948
Max drawdown($2,312)
Time8/22/19 0:00
Quant open2
Worst price2.04
Drawdown as % of equity-4.95%
($2,053)
Includes Typical Broker Commissions trade costs of $2.80
8/16/19 11:27 AMZN1923H1795 AMZN Aug23'19 1795 call LONG 2 27.65 8/20 13:27 26.30 0.89%
Trade id #124966069
Max drawdown($436)
Time8/20/19 9:54
Quant open1
Worst price23.29
Drawdown as % of equity-0.89%
($273)
Includes Typical Broker Commissions trade costs of $3.40
8/14/19 10:59 AMZN1916T1775 AMZN Aug16'19 1775 put LONG 2 20.15 8/16 10:00 2.74 6.87%
Trade id #124930853
Max drawdown($3,540)
Time8/14/19 10:59
Quant open2
Worst price2.45
Drawdown as % of equity-6.87%
($3,485)
Includes Typical Broker Commissions trade costs of $2.80
8/13/19 10:56 AMZN1916H1822.5 AMZN Aug16'19 1822.5 call LONG 2 19.40 8/14 10:02 3.70 6.38%
Trade id #124908047
Max drawdown($3,484)
Time8/13/19 10:56
Quant open2
Worst price1.98
Drawdown as % of equity-6.38%
($3,143)
Includes Typical Broker Commissions trade costs of $2.80
8/12/19 10:30 AMZN1916T1800 AMZN Aug16'19 1800 put LONG 1 24.25 8/13 9:55 10.10 3.2%
Trade id #124882351
Max drawdown($1,796)
Time8/12/19 10:30
Quant open1
Worst price6.29
Drawdown as % of equity-3.20%
($1,417)
Includes Typical Broker Commissions trade costs of $2.00
8/7/19 15:31 AMZN1909H1790 AMZN Aug9'19 1790 call LONG 2 19.80 8/9 11:59 15.75 0.67%
Trade id #124822197
Max drawdown($380)
Time8/7/19 15:31
Quant open2
Worst price17.90
Drawdown as % of equity-0.67%
($813)
Includes Typical Broker Commissions trade costs of $2.80
8/7/19 12:26 AMZN1909T1760 AMZN Aug9'19 1760 put LONG 2 23.90 8/7 13:59 10.70 4.94%
Trade id #124817237
Max drawdown($2,940)
Time8/7/19 12:26
Quant open2
Worst price9.20
Drawdown as % of equity-4.94%
($2,643)
Includes Typical Broker Commissions trade costs of $2.80
7/19/19 14:55 AMZN1926S1975 AMZN Jul26'19 1975 put LONG 1 43.80 7/22 14:25 39.35 0.75%
Trade id #124542528
Max drawdown($450)
Time7/19/19 14:55
Quant open1
Worst price39.30
Drawdown as % of equity-0.75%
($447)
Includes Typical Broker Commissions trade costs of $2.00
7/16/19 15:59 AMZN1919S2010 AMZN Jul19'19 2010 put LONG 2 14.90 7/19 10:18 21.00 1.19%
Trade id #124485804
Max drawdown($700)
Time7/16/19 15:59
Quant open2
Worst price11.40
Drawdown as % of equity-1.19%
$1,217
Includes Typical Broker Commissions trade costs of $2.80
7/15/19 11:31 AMZN1919S2010 AMZN Jul19'19 2010 put LONG 2 22.15 7/15 14:02 17.40 1.6%
Trade id #124462657
Max drawdown($950)
Time7/15/19 14:02
Quant open2
Worst price17.40
Drawdown as % of equity-1.60%
($953)
Includes Typical Broker Commissions trade costs of $2.80
7/5/19 12:27 AMZN1912G1935 AMZN Jul12'19 1935 call LONG 2 18.75 7/11 14:23 79.00 2.33%
Trade id #124349679
Max drawdown($1,120)
Time7/5/19 12:27
Quant open2
Worst price13.15
Drawdown as % of equity-2.33%
$12,047
Includes Typical Broker Commissions trade costs of $3.40
7/2/19 14:01 AMZN1905G1917.5 AMZN Jul5'19 1917.5 call LONG 2 9.50 7/5 10:55 10.85 0.31%
Trade id #124313362
Max drawdown($150)
Time7/2/19 14:01
Quant open2
Worst price8.75
Drawdown as % of equity-0.31%
$267
Includes Typical Broker Commissions trade costs of $2.80
7/1/19 10:11 AMZN1905G1925 AMZN Jul5'19 1925 call LONG 1 16.02 7/2 11:27 3.60 2.61%
Trade id #124288853
Max drawdown($1,282)
Time7/1/19 10:11
Quant open1
Worst price3.20
Drawdown as % of equity-2.61%
($1,244)
Includes Typical Broker Commissions trade costs of $2.00
6/27/19 10:28 AMZN1928F1905 AMZN Jun28'19 1905 call LONG 1 10.75 6/28 10:57 2.48 2.15%
Trade id #124254874
Max drawdown($1,074)
Time6/27/19 10:28
Quant open1
Worst price0.01
Drawdown as % of equity-2.15%
($829)
Includes Typical Broker Commissions trade costs of $2.00
6/25/19 11:27 NFLX1928R367.5 NFLX Jun28'19 367.5 put LONG 1 5.65 6/27 9:55 2.81 0.58%
Trade id #124222321
Max drawdown($291)
Time6/25/19 11:27
Quant open1
Worst price2.74
Drawdown as % of equity-0.58%
($286)
Includes Typical Broker Commissions trade costs of $2.00
6/25/19 10:28 AMZN1928R1897.5 AMZN Jun28'19 1897.5 put LONG 1 16.55 6/26 12:33 14.00 1.04%
Trade id #124220425
Max drawdown($522)
Time6/25/19 10:28
Quant open1
Worst price11.33
Drawdown as % of equity-1.04%
($257)
Includes Typical Broker Commissions trade costs of $2.00
6/21/19 11:29 NFLX1928F367.5 NFLX Jun28'19 367.5 call LONG 1 7.45 6/25 9:59 5.25 0.67%
Trade id #124183018
Max drawdown($340)
Time6/21/19 11:29
Quant open1
Worst price4.05
Drawdown as % of equity-0.67%
($222)
Includes Typical Broker Commissions trade costs of $2.00
6/24/19 10:29 AMZN1928R1907.5 AMZN Jun28'19 1907.5 put LONG 1 18.45 6/24 15:01 14.65 0.86%
Trade id #124203598
Max drawdown($440)
Time6/24/19 10:29
Quant open1
Worst price14.05
Drawdown as % of equity-0.86%
($382)
Includes Typical Broker Commissions trade costs of $2.00
6/17/19 10:28 NFLX1921F350 NFLX Jun21'19 350 call LONG 1 6.10 6/21 10:28 18.00 0.39%
Trade id #124108505
Max drawdown($195)
Time6/17/19 10:28
Quant open1
Worst price4.15
Drawdown as % of equity-0.39%
$1,188
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    6/7/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    222.53
  • Age
    7 months ago
  • What it trades
    Options
  • # Trades
    35
  • # Profitable
    8
  • % Profitable
    22.90%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    43%
  • drawdown period
    July 18, 2019 - Sept 19, 2019
  • Cumul. Return
    -25.2%
  • Avg win
    $2,457
  • Avg loss
    $1,161
  • Model Account Values (Raw)
  • Cash
    $38,298
  • Margin Used
    $0
  • Buying Power
    $38,298
  • Ratios
  • W:L ratio
    0.63:1
  • Sharpe Ratio
    -1.01
  • Sortino Ratio
    -1.67
  • Calmar Ratio
    -1.299
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -25.85%
  • Correlation to SP500
    0.19620
  • Return Percent SP500 (cumu) during strategy life
    15.88%
  • Return Statistics
  • Ann Return (w trading costs)
    -58.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.73%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.252%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -35.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    44.50%
  • Chance of 40% account loss
    4.50%
  • 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
    472.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    728
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    529
  • 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
    $1,161
  • Avg Win
    $2,457
  • Sum Trade PL (losers)
    $31,358.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $19,656.000
  • # Winners
    8
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    27
  • % Winners
    22.9%
  • Frequency
  • Avg Position Time (mins)
    3121.57
  • Avg Position Time (hrs)
    52.03
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    118
  • Leverage
  • Daily leverage (average)
    2.80
  • Daily leverage (max)
    4.90
  • Regression
  • Alpha
    -0.15
  • Beta
    0.55
  • Treynor Index
    -0.21
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.86
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -3.266
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.159
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.119
  • Hold-and-Hope Ratio
    -0.306
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.36313
  • SD
    0.76592
  • Sharpe ratio (Glass type estimate)
    -0.47412
  • Sharpe ratio (Hedges UMVUE)
    -0.26749
  • df
    2.00000
  • t
    -0.23706
  • p
    0.58266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.36457
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.19617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66119
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.63582
  • Upside Potential Ratio
    1.36418
  • Upside part of mean
    0.77912
  • Downside part of mean
    -1.14226
  • Upside SD
    0.27548
  • Downside SD
    0.57113
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.11918
  • Mean of criterion
    -0.36313
  • SD of predictor
    0.08833
  • SD of criterion
    0.76592
  • Covariance
    -0.00305
  • r
    -0.04513
  • b (slope, estimate of beta)
    -0.39131
  • a (intercept, estimate of alpha)
    -0.31650
  • Mean Square Error
    1.17087
  • DF error
    1.00000
  • t(b)
    -0.04517
  • p(b)
    0.51437
  • t(a)
    -0.13200
  • p(a)
    0.54177
  • Lowerbound of 95% confidence interval for beta
    -110.45700
  • Upperbound of 95% confidence interval for beta
    109.67500
  • Lowerbound of 95% confidence interval for alpha
    -30.78320
  • Upperbound of 95% confidence interval for alpha
    30.15020
  • Treynor index (mean / b)
    0.92800
  • Jensen alpha (a)
    -0.31650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.59951
  • SD
    0.85613
  • Sharpe ratio (Glass type estimate)
    -0.70025
  • Sharpe ratio (Hedges UMVUE)
    -0.39508
  • df
    2.00000
  • t
    -0.35013
  • p
    0.62016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.59437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.33408
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54392
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89390
  • Upside Potential Ratio
    1.10610
  • Upside part of mean
    0.74183
  • Downside part of mean
    -1.34134
  • Upside SD
    0.26229
  • Downside SD
    0.67067
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.11578
  • Mean of criterion
    -0.59951
  • SD of predictor
    0.08737
  • SD of criterion
    0.85613
  • Covariance
    -0.00398
  • r
    -0.05320
  • b (slope, estimate of beta)
    -0.52123
  • a (intercept, estimate of alpha)
    -0.53916
  • Mean Square Error
    1.46177
  • DF error
    1.00000
  • t(b)
    -0.05327
  • p(b)
    0.51694
  • t(a)
    -0.20191
  • p(a)
    0.56342
  • Lowerbound of 95% confidence interval for beta
    -124.84600
  • Upperbound of 95% confidence interval for beta
    123.80300
  • Lowerbound of 95% confidence interval for alpha
    -34.46830
  • Upperbound of 95% confidence interval for alpha
    33.39000
  • Treynor index (mean / b)
    1.15018
  • Jensen alpha (a)
    -0.53916
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.36649
  • Expected Shortfall on VaR
    0.42634
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17330
  • Expected Shortfall on VaR
    0.32625
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.71676
  • Quartile 1
    0.90771
  • Median
    1.09866
  • Quartile 3
    1.09972
  • Maximum
    1.10078
  • Mean of quarter 1
    0.71676
  • Mean of quarter 2
    1.09866
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.10078
  • Inter Quartile Range
    0.19201
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.28324
  • Quartile 1
    0.28324
  • Median
    0.28324
  • Quartile 3
    0.28324
  • Maximum
    0.28324
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.53264
  • Compounded annual return (geometric extrapolation)
    -0.43538
  • Calmar ratio (compounded annual return / max draw down)
    -1.53717
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.02122
  • 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
    -0.76496
  • SD
    0.48726
  • Sharpe ratio (Glass type estimate)
    -1.56993
  • Sharpe ratio (Hedges UMVUE)
    -1.55535
  • df
    81.00000
  • t
    -0.87829
  • p
    0.80881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.07685
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.06694
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95624
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.62990
  • Upside Potential Ratio
    6.63133
  • Upside part of mean
    1.92885
  • Downside part of mean
    -2.69380
  • Upside SD
    0.39007
  • Downside SD
    0.29087
  • N nonnegative terms
    18.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.05537
  • Mean of criterion
    -0.76496
  • SD of predictor
    0.13989
  • SD of criterion
    0.48726
  • Covariance
    0.01832
  • r
    0.26872
  • b (slope, estimate of beta)
    0.93601
  • a (intercept, estimate of alpha)
    -0.91400
  • Mean Square Error
    0.22303
  • DF error
    80.00000
  • t(b)
    2.49525
  • p(b)
    0.00732
  • t(a)
    -0.96728
  • p(a)
    0.83184
  • Lowerbound of 95% confidence interval for beta
    0.18951
  • Upperbound of 95% confidence interval for beta
    1.68252
  • Lowerbound of 95% confidence interval for alpha
    -2.49722
  • Upperbound of 95% confidence interval for alpha
    0.86365
  • Treynor index (mean / b)
    -0.81725
  • Jensen alpha (a)
    -0.81679
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.87981
  • SD
    0.47593
  • Sharpe ratio (Glass type estimate)
    -1.84862
  • Sharpe ratio (Hedges UMVUE)
    -1.83145
  • df
    81.00000
  • t
    -1.03420
  • p
    0.84794
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.35798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67195
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.34620
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68330
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.96262
  • Upside Potential Ratio
    6.25383
  • Upside part of mean
    1.85720
  • Downside part of mean
    -2.73700
  • Upside SD
    0.37217
  • Downside SD
    0.29697
  • N nonnegative terms
    18.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.04564
  • Mean of criterion
    -0.87981
  • SD of predictor
    0.14050
  • SD of criterion
    0.47593
  • Covariance
    0.01825
  • r
    0.27286
  • b (slope, estimate of beta)
    0.92429
  • a (intercept, estimate of alpha)
    -0.92200
  • Mean Square Error
    0.21226
  • DF error
    80.00000
  • t(b)
    2.53680
  • p(b)
    0.00657
  • t(a)
    -1.11933
  • p(a)
    0.86683
  • Lowerbound of 95% confidence interval for beta
    0.19920
  • Upperbound of 95% confidence interval for beta
    1.64937
  • Lowerbound of 95% confidence interval for alpha
    -2.56121
  • Upperbound of 95% confidence interval for alpha
    0.71722
  • Treynor index (mean / b)
    -0.95188
  • Jensen alpha (a)
    -0.92200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05041
  • Expected Shortfall on VaR
    0.06195
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03050
  • Expected Shortfall on VaR
    0.05132
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    82.00000
  • Minimum
    0.93063
  • Quartile 1
    0.98486
  • Median
    0.99897
  • Quartile 3
    1.00000
  • Maximum
    1.12403
  • Mean of quarter 1
    0.96856
  • Mean of quarter 2
    0.99125
  • Mean of quarter 3
    0.99995
  • Mean of quarter 4
    1.02884
  • Inter Quartile Range
    0.01514
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.06098
  • Mean of outliers low
    0.94992
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.08537
  • Mean of outliers high
    1.07435
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.46317
  • VaR(95%) (moments method)
    0.03218
  • Expected Shortfall (moments method)
    0.03715
  • Extreme Value Index (regression method)
    -0.27529
  • VaR(95%) (regression method)
    0.03448
  • Expected Shortfall (regression method)
    0.04188
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00029
  • Quartile 1
    0.01299
  • Median
    0.02593
  • Quartile 3
    0.06355
  • Maximum
    0.41241
  • Mean of quarter 1
    0.00614
  • Mean of quarter 2
    0.01600
  • Mean of quarter 3
    0.03586
  • Mean of quarter 4
    0.24259
  • Inter Quartile Range
    0.05056
  • 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
    0.16667
  • Mean of outliers high
    0.41241
  • 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)
    -0.74779
  • Compounded annual return (geometric extrapolation)
    -0.57340
  • Calmar ratio (compounded annual return / max draw down)
    -1.39035
  • Compounded annual return / average of 25% largest draw downs
    -2.36361
  • Compounded annual return / Expected Shortfall lognormal
    -9.25632
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.04800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -42
  • Max Equity Drawdown (num days)
    63

Strategy Description

This strategy was developed to take advantage of explosive moves in liquid stock options. It will make money in any direction, up or down. In fact, some of the largest gains have come when the stock is down. However, if the market is choppy, expect losses. There is no way of getting around this so think of these times as simply the cost of doing business. There will be plenty of small losses with this strategy. However, when the stock makes a major move, it will more than make up for any losses.

I do not use stops with this system primarily because options have a built in stop; your risk is limited to the price paid for the option. However, the upside is unlimited, which is why this strategy is so powerful. I get in and out of a position when the system tells me to; it’s really as simple as that. It’s purely mechanical, which helps with psychology and removing emotion from trading. I believe this is critical to any traders success as the two most powerful emotions (fear and greed) are removed from the equation.

I highly suggest auto trading this system as it can be tricky to get filled on some option contracts. I also recommend trading 1 contract per 30000 of capital. If you risk more than this, you will likely fail if there is an extended choppiness period. There will be times that I will trade more than once in a day so you must maintain at least 25,000 in your brokerage account at all times. This is due to the pattern day trader regulation and there is no getting around it.

This strategy has been utilized for over 6 years with great success. If you are in this for the long haul and can accept some reasonable drawdown along the way, this system is for you. It has literally changed my life and I’m happy to share it with the public for the first time.

Summary Statistics

Strategy began
2019-06-07
Suggested Minimum Capital
$35,000
# Trades
35
# Profitable
8
% Profitable
22.9%
Correlation S&P500
0.196
Sharpe Ratio
-1.01
Sortino Ratio
-1.67
Beta
0.55
Alpha
-0.15
Leverage
2.80 Average
4.90 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.