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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/12/2016
Most recent certification approved 12/12/16 10:55 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 329
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 297
Percent signals followed since 12/12/2016 90.3%
This information was last updated 12/16/17 7:37 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/12/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how QCP Partners calculates the hypothetical results you see on this web site.

ThetaKappa
(107149097)

Created by: ThetaKappaAdvisors ThetaKappaAdvisors
Started: 12/2016
Options
Last trade: 8 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 $99.00 per month.

1406.8%
Annual Return (Compounded)
24.1%
Max Drawdown
119
Num Trades
42.9%
Win Trades
1.6 : 1
Profit Factor
46.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             (0.2%)(0.2%)
2017+3.1%+0.8%+0.1%(0.3%)  -  (1.1%)+2.2%(3.6%)+80.9%(5.8%)+847.6%  -  +1533.8%

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 292 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/6/17 10:22 SPXW1831M2050 SPX Jan31'18 2050 put LONG 3 2.33 12/8 9:34 0.80 0.03%
Trade id #114702366
Max drawdown($459)
Time12/8/17 9:34
Quant open0
Worst price0.80
Drawdown as % of equity-0.03%
($463)
Includes Typical Broker Commissions trade costs of $4.20
11/6/17 10:22 SPXW1831M2100 SPX Jan31'18 2100 put SHORT 3 2.93 12/8 9:34 1.00 0.04%
Trade id #114702364
Max drawdown($351)
Time11/15/17 14:26
Quant open-3
Worst price4.10
Drawdown as % of equity-0.04%
$575
Includes Typical Broker Commissions trade costs of $4.20
8/9/17 15:07 SPX1715X2075 SPX Dec15'17 2075 put SHORT 2 11.00 11/28 9:34 0.38 n/a $2,122
Includes Typical Broker Commissions trade costs of $3.40
8/9/17 14:51 SPX1717W1850 SPX Nov17'17 1850 put LONG 20 2.59 11/18 9:35 739.37 2.9%
Trade id #113066397
Max drawdown($5,080)
Time11/1/17 15:10
Quant open20
Worst price0.05
Drawdown as % of equity-2.90%
$1,473,532
Includes Typical Broker Commissions trade costs of $28.00
8/9/17 14:51 SPX1717W1900 SPX Nov17'17 1900 put SHORT 12 3.22 11/18 9:35 789.37 112.51%
Trade id #113066395
Max drawdown($943,374)
Time11/18/17 9:35
Quant open0
Worst price789.37
Drawdown as % of equity-112.51%
($943,391)
Includes Typical Broker Commissions trade costs of $16.80
9/18/17 15:48 SPXW1717W1825 SPX Nov17'17 1825 put LONG 6 0.85 11/18 9:35 1825.00 0.22%
Trade id #113730253
Max drawdown($390)
Time10/24/17 9:51
Quant open6
Worst price0.20
Drawdown as % of equity-0.22%
$1,094,482
Includes Typical Broker Commissions trade costs of $8.40
9/18/17 15:48 SPXW1717W1775 SPX Nov17'17 1775 put SHORT 6 0.70 11/18 9:35 1775.00 126.96%
Trade id #113730255
Max drawdown($1,064,580)
Time11/18/17 9:35
Quant open0
Worst price1775.00
Drawdown as % of equity-126.96%
($1,064,588)
Includes Typical Broker Commissions trade costs of $8.40
8/21/17 9:31 SPX1717W1825 SPX Nov17'17 1825 put SHORT 6 2.55 11/18 9:35 714.37 50.94%
Trade id #113253394
Max drawdown($427,092)
Time11/18/17 9:35
Quant open0
Worst price714.37
Drawdown as % of equity-50.94%
($427,100)
Includes Typical Broker Commissions trade costs of $8.40
8/17/17 14:19 SPX1717W1775 SPX Nov17'17 1775 put LONG 10 2.65 11/18 9:35 664.37 1.49%
Trade id #113205514
Max drawdown($2,600)
Time10/30/17 9:55
Quant open10
Worst price0.05
Drawdown as % of equity-1.49%
$661,706
Includes Typical Broker Commissions trade costs of $14.00
11/6/17 10:28 SPXW1713W2200 SPX Nov13'17 2200 put LONG 3 0.05 11/14 8:05 2200.00 0%
Trade id #114702541
Max drawdown$0
Time11/6/17 14:53
Quant open3
Worst price0.05
Drawdown as % of equity0.00%
$659,981
Includes Typical Broker Commissions trade costs of $4.20
8/17/17 14:38 SPX1819M1725 SPX Jan19'18 1725 put SHORT 1 4.40 11/7 10:42 0.45 n/a $393
Includes Typical Broker Commissions trade costs of $2.00
7/27/17 14:37 SPXW1731V1900 SPX Oct31'17 1900 put LONG 12 2.45 11/1 8:05 0.34 1.45%
Trade id #112838147
Max drawdown($2,530)
Time11/1/17 8:05
Quant open8
Worst price0.00
Drawdown as % of equity-1.45%
($2,544)
Includes Typical Broker Commissions trade costs of $14.00
8/17/17 14:25 SPX1819M2000 SPX Jan19'18 2000 put LONG 10 13.03 10/23 11:13 2.03 6.31%
Trade id #113205731
Max drawdown($11,076)
Time10/20/17 10:18
Quant open10
Worst price1.95
Drawdown as % of equity-6.31%
($11,010)
Includes Typical Broker Commissions trade costs of $14.00
8/17/17 14:25 SPX1819M2100 SPX Jan19'18 2100 put SHORT 10 19.15 10/23 11:13 3.18 n/a $15,960
Includes Typical Broker Commissions trade costs of $14.00
7/27/17 14:30 SPX1715X2125 SPX Dec15'17 2125 put LONG 10 12.14 10/23 10:16 1.65 6.01%
Trade id #112837796
Max drawdown($10,540)
Time10/23/17 9:56
Quant open10
Worst price1.60
Drawdown as % of equity-6.01%
($10,504)
Includes Typical Broker Commissions trade costs of $14.00
7/5/17 11:48 SPX1715X2225 SPX Dec15'17 2225 put SHORT 15 22.95 10/23 10:16 7.32 1.25%
Trade id #112421420
Max drawdown($1,345)
Time7/6/17 10:56
Quant open-5
Worst price33.55
Drawdown as % of equity-1.25%
$23,427
Includes Typical Broker Commissions trade costs of $21.00
6/20/17 9:30 SPX1720V1800 SPX Oct20'17 1800 put LONG 25 2.24 10/23 9:02 0.00 3.19%
Trade id #112132370
Max drawdown($5,588)
Time10/23/17 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-3.19%
($5,606)
Includes Typical Broker Commissions trade costs of $17.50
9/12/17 14:47 SPX1720V1950 SPX Oct20'17 1950 put LONG 1 0.55 10/23 9:01 0.00 0.03%
Trade id #113648394
Max drawdown($55)
Time10/23/17 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-0.03%
($56)
Includes Typical Broker Commissions trade costs of $1.00
7/14/17 14:58 SPX1720V1925 SPX Oct20'17 1925 put LONG 12 2.49 10/23 9:01 0.25 1.54%
Trade id #112616881
Max drawdown($2,694)
Time10/23/17 9:01
Quant open8
Worst price0.00
Drawdown as % of equity-1.54%
($2,708)
Includes Typical Broker Commissions trade costs of $14.00
8/9/17 14:58 SPX1819M2025 SPX Jan19'18 2025 put LONG 10 12.26 10/16 13:41 2.61 5.51%
Trade id #113066574
Max drawdown($9,647)
Time10/16/17 13:41
Quant open0
Worst price2.61
Drawdown as % of equity-5.51%
($9,661)
Includes Typical Broker Commissions trade costs of $14.30
8/9/17 14:58 SPX1819M2125 SPX Jan19'18 2125 put SHORT 10 18.28 10/16 13:41 4.26 n/a $14,010
Includes Typical Broker Commissions trade costs of $14.30
6/20/17 9:31 SPX1720V1850 SPX Oct20'17 1850 put SHORT 15 2.95 10/9 9:30 0.05 0.13%
Trade id #112132425
Max drawdown($132)
Time6/20/17 10:23
Quant open-12
Worst price3.00
Drawdown as % of equity-0.13%
$4,332
Includes Typical Broker Commissions trade costs of $21.00
9/18/17 14:17 SPX1715X2325 SPX Dec15'17 2325 put LONG 1 15.85 9/27 15:38 12.65 0.18%
Trade id #113728479
Max drawdown($330)
Time9/27/17 15:07
Quant open1
Worst price12.55
Drawdown as % of equity-0.18%
($322)
Includes Typical Broker Commissions trade costs of $2.00
7/27/17 14:39 SPXW1731V1950 SPX Oct31'17 1950 put SHORT 6 3.00 9/21 12:29 0.55 n/a $1,462
Includes Typical Broker Commissions trade costs of $8.40
7/14/17 14:58 SPX1720V1975 SPX Oct20'17 1975 put SHORT 6 3.20 9/19 13:07 0.43 n/a $1,654
Includes Typical Broker Commissions trade costs of $8.40
6/23/17 12:57 SPX1715U1950 SPX Sep15'17 1950 put LONG 13 2.21 9/14 16:15 64.80 2.49%
Trade id #112194604
Max drawdown($2,489)
Time8/22/17 9:36
Quant open13
Worst price0.30
Drawdown as % of equity-2.49%
$81,339
Includes Typical Broker Commissions trade costs of $18.80
7/19/17 13:59 SPXW1730W1925 SPX Nov30'17 1925 put SHORT 2 4.30 9/14 11:55 1.69 0.43%
Trade id #112685604
Max drawdown($380)
Time8/18/17 10:24
Quant open-2
Worst price6.20
Drawdown as % of equity-0.43%
$519
Includes Typical Broker Commissions trade costs of $2.80
6/23/17 12:57 SPX1715U2000 SPX Sep15'17 2000 put SHORT 6 2.95 8/22 15:46 0.35 n/a $1,552
Includes Typical Broker Commissions trade costs of $8.40
6/23/17 12:52 SPX1720V2275 SPX Oct20'17 2275 put SHORT 17 16.34 8/22 15:43 8.74 7.88%
Trade id #112194519
Max drawdown($6,949)
Time8/11/17 15:26
Quant open-17
Worst price20.43
Drawdown as % of equity-7.88%
$12,905
Includes Typical Broker Commissions trade costs of $24.10
7/19/17 14:59 SPX1720V2350 SPX Oct20'17 2350 put LONG 3 19.45 8/22 15:43 15.78 1.51%
Trade id #112686448
Max drawdown($1,515)
Time8/8/17 11:29
Quant open3
Worst price14.40
Drawdown as % of equity-1.51%
($1,106)
Includes Typical Broker Commissions trade costs of $4.50

Statistics

  • Strategy began
    12/8/2016
  • Starting Unit Size
    $100,000
  • Strategy Age (days)
    372.56
  • Age
    12 months ago
  • What it trades
    Options
  • # Trades
    119
  • # Profitable
    51
  • % Profitable
    42.90%
  • Avg trade duration
    55.8 days
  • Max peak-to-valley drawdown
    24.1%
  • drawdown period
    Feb 14, 2017 - Aug 10, 2017
  • Annual Return (Compounded)
    1407.1%
  • Avg win
    $84,658
  • Avg loss
    $40,928
  • Model Account Values (Raw)
  • Cash
    $1,639,710
  • Margin Used
    $743,106
  • Buying Power
    $896,604
  • Ratios
  • W:L ratio
    1.55:1
  • Sharpe Ratio
    1.393
  • Sortino Ratio
    40.368
  • Calmar Ratio
    111.468
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.02700
  • Return Statistics
  • Ann Return (w trading costs)
    1407.1%
  • Ann Return (Compnd, No Fees)
    1429.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.00%
  • Chance of 20% account loss
    37.50%
  • Chance of 30% account loss
    14.50%
  • Chance of 40% account loss
    5.50%
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    809
  • Popularity (Last 6 weeks)
    941
  • C2 Score
    94.1
  • Trades-Own-System Certification
  • Trades Own System?
    183825
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $40,928
  • Avg Win
    $84,658
  • # Winners
    51
  • # Losers
    68
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    80289.60
  • Avg Position Time (hrs)
    1338.16
  • Avg Trade Length
    55.8 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.92372
  • SD
    3.94610
  • Sharpe ratio (Glass type estimate)
    1.24774
  • Sharpe ratio (Hedges UMVUE)
    1.15135
  • df
    10.00000
  • t
    1.19462
  • p
    0.12990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33608
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95704
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25974
  • Statistics related to Sortino ratio
  • Sortino ratio
    47.30500
  • Upside Potential Ratio
    48.51300
  • Upside part of mean
    5.04946
  • Downside part of mean
    -0.12574
  • Upside SD
    4.02063
  • Downside SD
    0.10408
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.11838
  • Mean of criterion
    4.92372
  • SD of predictor
    0.04259
  • SD of criterion
    3.94610
  • Covariance
    -0.03079
  • r
    -0.18325
  • b (slope, estimate of beta)
    -16.98080
  • a (intercept, estimate of alpha)
    6.93384
  • Mean Square Error
    16.72090
  • DF error
    9.00000
  • t(b)
    -0.55923
  • p(b)
    0.70517
  • t(a)
    1.24213
  • p(a)
    0.12279
  • Lowerbound of 95% confidence interval for beta
    -85.67090
  • Upperbound of 95% confidence interval for beta
    51.70930
  • Lowerbound of 95% confidence interval for alpha
    -5.69403
  • Upperbound of 95% confidence interval for alpha
    19.56170
  • Treynor index (mean / b)
    -0.28996
  • Jensen alpha (a)
    6.93384
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.29270
  • SD
    1.68404
  • Sharpe ratio (Glass type estimate)
    1.36143
  • Sharpe ratio (Hedges UMVUE)
    1.25625
  • df
    10.00000
  • t
    1.30347
  • p
    0.11081
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79962
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.46057
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86360
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37611
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.99510
  • Upside Potential Ratio
    22.19670
  • Upside part of mean
    2.42391
  • Downside part of mean
    -0.13121
  • Upside SD
    1.73329
  • Downside SD
    0.10920
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.11672
  • Mean of criterion
    2.29270
  • SD of predictor
    0.04203
  • SD of criterion
    1.68404
  • Covariance
    -0.00797
  • r
    -0.11253
  • b (slope, estimate of beta)
    -4.50822
  • a (intercept, estimate of alpha)
    2.81890
  • Mean Square Error
    3.11119
  • DF error
    9.00000
  • t(b)
    -0.33974
  • p(b)
    0.62908
  • t(a)
    1.17120
  • p(a)
    0.13580
  • Lowerbound of 95% confidence interval for beta
    -34.52660
  • Upperbound of 95% confidence interval for beta
    25.51010
  • Lowerbound of 95% confidence interval for alpha
    -2.62580
  • Upperbound of 95% confidence interval for alpha
    8.26360
  • Treynor index (mean / b)
    -0.50856
  • Jensen alpha (a)
    2.81890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.45587
  • Expected Shortfall on VaR
    0.54920
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01491
  • Expected Shortfall on VaR
    0.03667
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.90382
  • Quartile 1
    1.00266
  • Median
    1.00872
  • Quartile 3
    1.04505
  • Maximum
    4.77798
  • Mean of quarter 1
    0.96391
  • Mean of quarter 2
    1.00657
  • Mean of quarter 3
    1.01261
  • Mean of quarter 4
    2.53412
  • Inter Quartile Range
    0.04239
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.90382
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    3.26337
  • 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)
    1.66307
  • VaR(95%) (regression method)
    0.10884
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10761
  • Quartile 1
    0.10761
  • Median
    0.10761
  • Quartile 3
    0.10761
  • Maximum
    0.10761
  • 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)
    8.06350
  • Compounded annual return (geometric extrapolation)
    9.18186
  • Calmar ratio (compounded annual return / max draw down)
    85.32920
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    16.71870
  • 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
    5.42268
  • SD
    3.88171
  • Sharpe ratio (Glass type estimate)
    1.39698
  • Sharpe ratio (Hedges UMVUE)
    1.39296
  • df
    261.00000
  • t
    1.39698
  • p
    0.08180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57064
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35657
  • Statistics related to Sortino ratio
  • Sortino ratio
    40.36800
  • Upside Potential Ratio
    46.55670
  • Upside part of mean
    6.25401
  • Downside part of mean
    -0.83134
  • Upside SD
    3.88643
  • Downside SD
    0.13433
  • N nonnegative terms
    123.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    262.00000
  • Mean of predictor
    0.14946
  • Mean of criterion
    5.42268
  • SD of predictor
    0.06786
  • SD of criterion
    3.88171
  • Covariance
    -0.00642
  • r
    -0.02438
  • b (slope, estimate of beta)
    -1.39457
  • a (intercept, estimate of alpha)
    5.63100
  • Mean Square Error
    15.11660
  • DF error
    260.00000
  • t(b)
    -0.39325
  • p(b)
    0.65277
  • t(a)
    1.43505
  • p(a)
    0.07624
  • Lowerbound of 95% confidence interval for beta
    -8.37775
  • Upperbound of 95% confidence interval for beta
    5.58860
  • Lowerbound of 95% confidence interval for alpha
    -2.09571
  • Upperbound of 95% confidence interval for alpha
    13.35790
  • Treynor index (mean / b)
    -3.88841
  • Jensen alpha (a)
    5.63111
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.76540
  • SD
    1.79076
  • Sharpe ratio (Glass type estimate)
    1.54427
  • Sharpe ratio (Hedges UMVUE)
    1.53982
  • df
    261.00000
  • t
    1.54427
  • p
    0.06187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42458
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50423
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.20980
  • Upside Potential Ratio
    26.35220
  • Upside part of mean
    3.60590
  • Downside part of mean
    -0.84049
  • Upside SD
    1.79026
  • Downside SD
    0.13684
  • N nonnegative terms
    123.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    262.00000
  • Mean of predictor
    0.14711
  • Mean of criterion
    2.76540
  • SD of predictor
    0.06789
  • SD of criterion
    1.79076
  • Covariance
    -0.00034
  • r
    -0.00279
  • b (slope, estimate of beta)
    -0.07357
  • a (intercept, estimate of alpha)
    2.77623
  • Mean Square Error
    3.21912
  • DF error
    260.00000
  • t(b)
    -0.04497
  • p(b)
    0.51792
  • t(a)
    1.53361
  • p(a)
    0.06317
  • Lowerbound of 95% confidence interval for beta
    -3.29490
  • Upperbound of 95% confidence interval for beta
    3.14776
  • Lowerbound of 95% confidence interval for alpha
    -0.78841
  • Upperbound of 95% confidence interval for alpha
    6.34086
  • Treynor index (mean / b)
    -37.58770
  • Jensen alpha (a)
    2.77623
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15753
  • Expected Shortfall on VaR
    0.19493
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00745
  • Expected Shortfall on VaR
    0.01589
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    262.00000
  • Minimum
    0.94448
  • Quartile 1
    0.99747
  • Median
    1.00001
  • Quartile 3
    1.00330
  • Maximum
    4.67420
  • Mean of quarter 1
    0.98839
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00117
  • Mean of quarter 4
    1.09382
  • Inter Quartile Range
    0.00583
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97657
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.07252
  • Mean of outliers high
    1.30876
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55923
  • VaR(95%) (moments method)
    0.01034
  • Expected Shortfall (moments method)
    0.02708
  • Extreme Value Index (regression method)
    0.24335
  • VaR(95%) (regression method)
    0.01064
  • Expected Shortfall (regression method)
    0.01866
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00225
  • Median
    0.00699
  • Quartile 3
    0.02343
  • Maximum
    0.13757
  • Mean of quarter 1
    0.00074
  • Mean of quarter 2
    0.00313
  • Mean of quarter 3
    0.01221
  • Mean of quarter 4
    0.08246
  • Inter Quartile Range
    0.02117
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.09868
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07494
  • VaR(95%) (moments method)
    0.08752
  • Expected Shortfall (moments method)
    0.12273
  • Extreme Value Index (regression method)
    1.99220
  • VaR(95%) (regression method)
    0.13774
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    15.33500
  • Compounded annual return (geometric extrapolation)
    15.33500
  • Calmar ratio (compounded annual return / max draw down)
    111.46800
  • Compounded annual return / average of 25% largest draw downs
    185.97700
  • Compounded annual return / Expected Shortfall lognormal
    78.67090
  • 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
    10.77040
  • SD
    5.47781
  • Sharpe ratio (Glass type estimate)
    1.96619
  • Sharpe ratio (Hedges UMVUE)
    1.95483
  • df
    130.00000
  • t
    1.39031
  • p
    0.43948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74453
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82714
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73680
  • Statistics related to Sortino ratio
  • Sortino ratio
    68.50790
  • Upside Potential Ratio
    74.80470
  • Upside part of mean
    11.76040
  • Downside part of mean
    -0.98995
  • Upside SD
    5.49504
  • Downside SD
    0.15721
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16567
  • Mean of criterion
    10.77040
  • SD of predictor
    0.06714
  • SD of criterion
    5.47781
  • Covariance
    -0.01438
  • r
    -0.03909
  • b (slope, estimate of beta)
    -3.18973
  • a (intercept, estimate of alpha)
    11.29890
  • Mean Square Error
    30.19280
  • DF error
    129.00000
  • t(b)
    -0.44435
  • p(b)
    0.52488
  • t(a)
    1.43728
  • p(a)
    0.42029
  • Lowerbound of 95% confidence interval for beta
    -17.39250
  • Upperbound of 95% confidence interval for beta
    11.01300
  • Lowerbound of 95% confidence interval for alpha
    -4.25489
  • Upperbound of 95% confidence interval for alpha
    26.85260
  • Treynor index (mean / b)
    -3.37660
  • Jensen alpha (a)
    11.29890
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.46821
  • SD
    2.52138
  • Sharpe ratio (Glass type estimate)
    2.16874
  • Sharpe ratio (Hedges UMVUE)
    2.15620
  • df
    130.00000
  • t
    1.53353
  • p
    0.43335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94893
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62796
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.94037
  • Statistics related to Sortino ratio
  • Sortino ratio
    34.09840
  • Upside Potential Ratio
    40.34990
  • Upside part of mean
    6.47074
  • Downside part of mean
    -1.00253
  • Upside SD
    2.52927
  • Downside SD
    0.16037
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16336
  • Mean of criterion
    5.46821
  • SD of predictor
    0.06717
  • SD of criterion
    2.52138
  • Covariance
    -0.00181
  • r
    -0.01067
  • b (slope, estimate of beta)
    -0.40037
  • a (intercept, estimate of alpha)
    5.53361
  • Mean Square Error
    6.40589
  • DF error
    129.00000
  • t(b)
    -0.12115
  • p(b)
    0.50679
  • t(a)
    1.52869
  • p(a)
    0.41533
  • Lowerbound of 95% confidence interval for beta
    -6.93913
  • Upperbound of 95% confidence interval for beta
    6.13838
  • Lowerbound of 95% confidence interval for alpha
    -1.62833
  • Upperbound of 95% confidence interval for alpha
    12.69560
  • Treynor index (mean / b)
    -13.65780
  • Jensen alpha (a)
    5.53361
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20971
  • Expected Shortfall on VaR
    0.25830
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00901
  • Expected Shortfall on VaR
    0.01906
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94448
  • Quartile 1
    0.99744
  • Median
    1.00003
  • Quartile 3
    1.00319
  • Maximum
    4.67420
  • Mean of quarter 1
    0.98590
  • Mean of quarter 2
    0.99932
  • Mean of quarter 3
    1.00103
  • Mean of quarter 4
    1.17739
  • Inter Quartile Range
    0.00575
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.97546
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.51685
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22246
  • VaR(95%) (moments method)
    0.00949
  • Expected Shortfall (moments method)
    0.01615
  • Extreme Value Index (regression method)
    0.03702
  • VaR(95%) (regression method)
    0.01489
  • Expected Shortfall (regression method)
    0.02308
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00128
  • Median
    0.00265
  • Quartile 3
    0.03145
  • Maximum
    0.12775
  • Mean of quarter 1
    0.00074
  • Mean of quarter 2
    0.00261
  • Mean of quarter 3
    0.02005
  • Mean of quarter 4
    0.09377
  • Inter Quartile Range
    0.03017
  • 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
    0.11111
  • Mean of outliers high
    0.12775
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.10102
  • VaR(95%) (moments method)
    0.07683
  • Expected Shortfall (moments method)
    0.07823
  • Extreme Value Index (regression method)
    0.26221
  • VaR(95%) (regression method)
    0.14798
  • Expected Shortfall (regression method)
    0.25845
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    29.22460
  • Compounded annual return (geometric extrapolation)
    242.74400
  • Calmar ratio (compounded annual return / max draw down)
    1900.20000
  • Compounded annual return / average of 25% largest draw downs
    2588.82000
  • Compounded annual return / Expected Shortfall lognormal
    939.77200

Strategy Description

The system trades options on the Russell 2000 and S&P 500 index in a market neutral way to capture theta decay. Basic elements are broken wing butterflies and unbalanced condors. It might incorporate positions for the case of black swan events aiming at sudden crashes.

The strategy might require portfolio margin in future and is not suitable for small portfolios! Since there is no portfolio margining on Collective2 the portfolio is designed larger in size to compensate for the higher margin requirements of portfolio margin positions. Appropriate scaling will be required to achieve the desired margin relation in your personal account.

Summary Statistics

Strategy began
2016-12-08
Minimum Capital Required
$100,000
# Trades
119
# Profitable
51
% Profitable
42.9%
Correlation S&P500
-0.027
Sharpe Ratio
1.393

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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