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Ace Options
(117369343)

Created by: Magi Magi
Started: 04/2018
Options
Last trade: 1,833 days ago
Trading style: Options Premium Collecting Directional Bets

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
-
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(100.0%)
Max Drawdown
19
Num Trades
84.2%
Win Trades
0.0 : 1
Profit Factor
17.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +5.8%+1.7%+0.5%+4.4%+3.5%(0.3%)(1.4%)+3.2%(3.7%)+14.2%
2019(3.4%)(7.4%)(3.8%)(10.3%)+5.0%(2.8%)(6.1%)+4.4%(5%)(2.7%)(14.3%)(5.6%)(42.2%)
2020(3.2%)+39.9%+29.0%(25.5%)(11.5%)+4.2%(19.7%)(36.6%)+40.7%+1.1%(45.4%)(24.5%)(64.1%)
2021(20.1%)(53%)(54.1%)(388.5%)(24.4%)(40.6%)(44.8%)(29.6%)(12.3%)(37.2%)(14.1%)(49.6%)(352.1%)
2022(49.8%)(3.3%)(38.2%)(64.2%)(2.5%)(127.5%)(398.2%)(33.5%)(412.5%)(69.8%)(137.8%)(302.9%)(110.4%)
2023(276%)(51.8%)(1.5%)(110.7%)(114.7%)(50.9%)(42.3%)(7.1%)(28.3%)(46.9%)(187.3%)(29.1%)(1198.5%)
2024(14%)(19.2%)(13.9%)(2.7%)                                                (50.7%)

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.

Trading Record

This strategy has placed 3 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1926 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/19 9:39 SPY1922B256 SPY Feb22'19 256 call SHORT 1 7.60 2/23 9:35 0.00 14.57%
Trade id #121840681
Max drawdown($1,558)
Time2/22/19 11:30
Quant open-1
Worst price23.18
Drawdown as % of equity-14.57%
 $759
Includes Typical Broker Commissions trade costs of $1.00
12/20/18 10:43 SPY1914M250 SPY Jan14'19 250 put SHORT 1 5.60 1/8/19 9:30 0.72 10.71%
Trade id #121594768
Max drawdown($1,141)
Time12/24/18 13:01
Quant open-1
Worst price17.01
Drawdown as % of equity-10.71%
 $486
Includes Typical Broker Commissions trade costs of $2.00
10/23/18 14:26 SPY1831X270 SPY Dec31'18 270 put SHORT 1 6.60 12/7 13:36 8.82 3.64%
Trade id #120495111
Max drawdown($422)
Time12/6/18 11:27
Quant open-1
Worst price10.82
Drawdown as % of equity-3.64%
 ($224)
Includes Typical Broker Commissions trade costs of $2.00
8/25/18 9:36 XBI SPDR S&P BIOTECH LONG 100 100.00 8/30 12:14 100.38 2.92%
Trade id #119593239
Max drawdown($335)
Time8/27/18 9:40
Quant open100
Worst price96.65
Drawdown as % of equity-2.92%
 $36
Includes Typical Broker Commissions trade costs of $2.00
7/18/18 12:12 GDX1824H21.5 GDX Aug24'18 21.5 call SHORT 1 0.75 8/25 9:36 0.00 n/a $74
Includes Typical Broker Commissions trade costs of $1.00
7/19/18 11:40 XBI1824T100 XBI Aug24'18 100 put SHORT 1 2.56 8/25 9:36 0.00 3.79%
Trade id #119017976
Max drawdown($437)
Time8/15/18 15:03
Quant open-1
Worst price6.93
Drawdown as % of equity-3.79%
 $255
Includes Typical Broker Commissions trade costs of $1.00
7/27/18 13:01 SPY1824T280 SPY Aug24'18 280 put SHORT 1 2.85 8/3 9:44 1.49 0.27%
Trade id #119164325
Max drawdown($31)
Time7/30/18 12:51
Quant open-1
Worst price3.16
Drawdown as % of equity-0.27%
 $134
Includes Typical Broker Commissions trade costs of $2.00
6/14/18 13:05 SPY1820G280 SPY Jul20'18 280 call SHORT 1 2.07 7/11 10:41 0.78 0.21%
Trade id #118439721
Max drawdown($23)
Time6/14/18 13:37
Quant open-1
Worst price2.30
Drawdown as % of equity-0.21%
 $127
Includes Typical Broker Commissions trade costs of $2.00
6/12/18 12:12 SPY1820S279 SPY Jul20'18 279 put SHORT 1 3.58 7/11 10:33 2.17 5.98%
Trade id #118393324
Max drawdown($644)
Time6/25/18 14:56
Quant open-1
Worst price10.02
Drawdown as % of equity-5.98%
 $139
Includes Typical Broker Commissions trade costs of $2.00
5/30/18 13:24 SPY1813R272 SPY Jun13'18 272 put SHORT 1 2.03 6/14 8:05 0.00 0.94%
Trade id #118173340
Max drawdown($102)
Time5/31/18 14:01
Quant open-1
Worst price3.05
Drawdown as % of equity-0.94%
 $202
Includes Typical Broker Commissions trade costs of $1.00
6/13/18 9:30 SPY1820G280 SPY Jul20'18 280 call SHORT 1 2.48 6/13 11:01 2.56 0.11%
Trade id #118408263
Max drawdown($12)
Time6/13/18 10:31
Quant open-1
Worst price2.60
Drawdown as % of equity-0.11%
 ($10)
Includes Typical Broker Commissions trade costs of $2.00
6/12/18 12:09 SPY1820G280 SPY Jul20'18 280 call SHORT 1 2.58 6/12 13:39 2.45 0.03%
Trade id #118393279
Max drawdown($3)
Time6/12/18 12:12
Quant open-1
Worst price2.61
Drawdown as % of equity-0.03%
 $11
Includes Typical Broker Commissions trade costs of $2.00
5/10/18 13:16 SPY1808F272 SPY Jun8'18 272 call SHORT 1 3.65 5/23 11:29 2.26 0.72%
Trade id #117879848
Max drawdown($77)
Time5/14/18 10:43
Quant open-1
Worst price4.42
Drawdown as % of equity-0.72%
 $137
Includes Typical Broker Commissions trade costs of $2.00
5/10/18 13:11 SPY1808R272 SPY Jun8'18 272 put SHORT 1 2.97 5/23 11:26 2.32 0.75%
Trade id #117879777
Max drawdown($81)
Time5/15/18 13:59
Quant open-1
Worst price3.78
Drawdown as % of equity-0.75%
 $63
Includes Typical Broker Commissions trade costs of $2.00
4/23/18 9:30 SPY1818Q260 SPY May18'18 260 put SHORT 1 1.79 5/9 10:08 0.44 2.17%
Trade id #117618947
Max drawdown($226)
Time4/25/18 9:46
Quant open-1
Worst price4.05
Drawdown as % of equity-2.17%
 $133
Includes Typical Broker Commissions trade costs of $2.00
4/17/18 11:59 SPY1818E274 SPY May18'18 274 call SHORT 1 2.19 4/24 12:40 0.67 0.37%
Trade id #117544186
Max drawdown($38)
Time4/18/18 9:31
Quant open-1
Worst price2.57
Drawdown as % of equity-0.37%
 $150
Includes Typical Broker Commissions trade costs of $2.00
4/6/18 11:46 SPY1804Q257 SPY May4'18 257 put SHORT 1 3.09 4/16 10:41 1.00 1.32%
Trade id #117406159
Max drawdown($133)
Time4/6/18 15:17
Quant open-1
Worst price4.42
Drawdown as % of equity-1.32%
 $207
Includes Typical Broker Commissions trade costs of $2.00
4/4/18 12:43 SPY1804Q251 SPY May4'18 251 put SHORT 2 2.46 4/5 14:05 1.48 1.06%
Trade id #117369840
Max drawdown($106)
Time4/4/18 13:28
Quant open-2
Worst price2.99
Drawdown as % of equity-1.06%
 $193
Includes Typical Broker Commissions trade costs of $2.80
Next

Statistics

  • Strategy began
    4/4/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2197.64
  • Age
    74 months ago
  • What it trades
    Stocks, Options
  • # Trades
    19
  • # Profitable
    16
  • % Profitable
    84.20%
  • Avg trade duration
    115.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 13, 2023 - March 31, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $195.94
  • Avg loss
    $6,878
  • Model Account Values (Raw)
  • Cash
    $29,169
  • Margin Used
    $28,800
  • Buying Power
    ($20,035)
  • Ratios
  • W:L ratio
    0.04:1
  • Sharpe Ratio
    0.41
  • Sortino Ratio
    8.25
  • Calmar Ratio
    -0.994
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -299.42%
  • Correlation to SP500
    -0.36230
  • Return Percent SP500 (cumu) during strategy life
    89.90%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.67%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.76%
  • Percent Trades Stocks
    0.24%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,878
  • Avg Win
    $196
  • Sum Trade PL (losers)
    $20,635.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $3,135.000
  • # Winners
    16
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    -2280
  • Win / Loss
  • # Losers
    3
  • % Winners
    84.2%
  • Frequency
  • Avg Position Time (mins)
    166744.00
  • Avg Position Time (hrs)
    2779.07
  • Avg Trade Length
    115.8 days
  • Last Trade Ago
    1825
  • Regression
  • Alpha
    0.00
  • Beta
    -3.21
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    34.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    20.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.17
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -1.499
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.613
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.025
  • Hold-and-Hope Ratio
    0.527
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    792.70700
  • SD
    1051.64000
  • Sharpe ratio (Glass type estimate)
    0.75378
  • Sharpe ratio (Hedges UMVUE)
    0.72510
  • df
    20.00000
  • t
    0.99716
  • p
    0.39119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75500
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24434
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22363
  • Statistics related to Sortino ratio
  • Sortino ratio
    552.34100
  • Upside Potential Ratio
    553.95300
  • Upside part of mean
    795.02100
  • Downside part of mean
    -2.31355
  • Upside SD
    1051.50000
  • Downside SD
    1.43518
  • N nonnegative terms
    8.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.32470
  • Mean of criterion
    792.70700
  • SD of predictor
    0.47940
  • SD of criterion
    1051.64000
  • Covariance
    -180.55400
  • r
    -0.35813
  • b (slope, estimate of beta)
    -785.61100
  • a (intercept, estimate of alpha)
    1047.80000
  • Mean Square Error
    1014840.00000
  • DF error
    19.00000
  • t(b)
    -1.67195
  • p(b)
    0.72302
  • t(a)
    1.34912
  • p(a)
    0.31455
  • Lowerbound of 95% confidence interval for beta
    -1769.07000
  • Upperbound of 95% confidence interval for beta
    197.85100
  • Lowerbound of 95% confidence interval for alpha
    -577.75100
  • Upperbound of 95% confidence interval for alpha
    2673.35000
  • Treynor index (mean / b)
    -1.00903
  • Jensen alpha (a)
    1047.80000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.29196
  • SD
    8.91372
  • Sharpe ratio (Glass type estimate)
    -0.59369
  • Sharpe ratio (Hedges UMVUE)
    -0.57109
  • df
    20.00000
  • t
    -0.78537
  • p
    0.58648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07927
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06322
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92103
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76323
  • Upside Potential Ratio
    0.61951
  • Upside part of mean
    4.29542
  • Downside part of mean
    -9.58737
  • Upside SD
    5.47078
  • Downside SD
    6.93362
  • N nonnegative terms
    8.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.23186
  • Mean of criterion
    -5.29196
  • SD of predictor
    0.41409
  • SD of criterion
    8.91372
  • Covariance
    -1.83367
  • r
    -0.49678
  • b (slope, estimate of beta)
    -10.69380
  • a (intercept, estimate of alpha)
    -2.81245
  • Mean Square Error
    62.99510
  • DF error
    19.00000
  • t(b)
    -2.49511
  • p(b)
    0.80273
  • t(a)
    -0.46246
  • p(a)
    0.56704
  • Lowerbound of 95% confidence interval for beta
    -19.66430
  • Upperbound of 95% confidence interval for beta
    -1.72329
  • Lowerbound of 95% confidence interval for alpha
    -15.54120
  • Upperbound of 95% confidence interval for alpha
    9.91630
  • Treynor index (mean / b)
    0.49486
  • Jensen alpha (a)
    -2.81245
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99066
  • Expected Shortfall on VaR
    0.99565
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.50509
  • Expected Shortfall on VaR
    0.98421
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.00072
  • Quartile 1
    0.94193
  • Median
    1.00000
  • Quartile 3
    1.03338
  • Maximum
    1392.00000
  • Mean of quarter 1
    0.34815
  • Mean of quarter 2
    0.97830
  • Mean of quarter 3
    1.01460
  • Mean of quarter 4
    279.24700
  • Inter Quartile Range
    0.09145
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.19048
  • Mean of outliers low
    0.05791
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    1392.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04162
  • VaR(95%) (moments method)
    0.26846
  • Expected Shortfall (moments method)
    0.39372
  • Extreme Value Index (regression method)
    -2.43222
  • VaR(95%) (regression method)
    0.53517
  • Expected Shortfall (regression method)
    0.54071
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00759
  • Quartile 1
    0.01536
  • Median
    0.02313
  • Quartile 3
    0.51152
  • Maximum
    0.99992
  • Mean of quarter 1
    0.00759
  • Mean of quarter 2
    0.02313
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99992
  • Inter Quartile Range
    0.49616
  • 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)
    -0.57137
  • Compounded annual return (geometric extrapolation)
    -0.99483
  • Calmar ratio (compounded annual return / max draw down)
    -0.99491
  • Compounded annual return / average of 25% largest draw downs
    -0.99491
  • Compounded annual return / Expected Shortfall lognormal
    -0.99917
  • 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
    1355.78000
  • SD
    964.40800
  • Sharpe ratio (Glass type estimate)
    1.40581
  • Sharpe ratio (Hedges UMVUE)
    1.40357
  • df
    470.00000
  • t
    1.88489
  • p
    0.03003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05949
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06098
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86812
  • Statistics related to Sortino ratio
  • Sortino ratio
    596.72200
  • Upside Potential Ratio
    600.63400
  • Upside part of mean
    1364.67000
  • Downside part of mean
    -8.88860
  • Upside SD
    967.01600
  • Downside SD
    2.27204
  • N nonnegative terms
    176.00000
  • N negative terms
    295.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    471.00000
  • Mean of predictor
    0.40060
  • Mean of criterion
    1355.78000
  • SD of predictor
    0.35035
  • SD of criterion
    964.40800
  • Covariance
    -66.47900
  • r
    -0.19676
  • b (slope, estimate of beta)
    -541.61100
  • a (intercept, estimate of alpha)
    1572.74000
  • Mean Square Error
    895984.00000
  • DF error
    469.00000
  • t(b)
    -4.34595
  • p(b)
    0.99999
  • t(a)
    2.22221
  • p(a)
    0.01337
  • Lowerbound of 95% confidence interval for beta
    -786.50200
  • Upperbound of 95% confidence interval for beta
    -296.72000
  • Lowerbound of 95% confidence interval for alpha
    182.01200
  • Upperbound of 95% confidence interval for alpha
    2963.48000
  • Treynor index (mean / b)
    -2.50323
  • Jensen alpha (a)
    1572.75000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.15225
  • SD
    15.02600
  • Sharpe ratio (Glass type estimate)
    -0.34289
  • Sharpe ratio (Hedges UMVUE)
    -0.34234
  • df
    470.00000
  • t
    -0.45974
  • p
    0.67704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80472
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11921
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11962
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46160
  • Upside Potential Ratio
    1.93417
  • Upside part of mean
    21.58850
  • Downside part of mean
    -26.74080
  • Upside SD
    10.04090
  • Downside SD
    11.16160
  • N nonnegative terms
    176.00000
  • N negative terms
    295.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    471.00000
  • Mean of predictor
    0.33925
  • Mean of criterion
    -5.15225
  • SD of predictor
    0.35001
  • SD of criterion
    15.02600
  • Covariance
    -1.64999
  • r
    -0.31373
  • b (slope, estimate of beta)
    -13.46850
  • a (intercept, estimate of alpha)
    -0.58314
  • Mean Square Error
    203.99100
  • DF error
    469.00000
  • t(b)
    -7.15557
  • p(b)
    1.00000
  • t(a)
    -0.05465
  • p(a)
    0.52178
  • Lowerbound of 95% confidence interval for beta
    -17.16710
  • Upperbound of 95% confidence interval for beta
    -9.76982
  • Lowerbound of 95% confidence interval for alpha
    -21.55300
  • Upperbound of 95% confidence interval for alpha
    20.38670
  • Treynor index (mean / b)
    0.38254
  • Jensen alpha (a)
    -0.58314
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.78703
  • Expected Shortfall on VaR
    0.84797
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08729
  • Expected Shortfall on VaR
    0.19831
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    471.00000
  • Minimum
    0.00079
  • Quartile 1
    0.99327
  • Median
    1.00000
  • Quartile 3
    1.00343
  • Maximum
    861.66700
  • Mean of quarter 1
    0.86589
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00078
  • Mean of quarter 4
    21.78980
  • Inter Quartile Range
    0.01016
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.12102
  • Mean of outliers low
    0.73654
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.10828
  • Mean of outliers high
    49.08970
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.53749
  • VaR(95%) (moments method)
    0.09051
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.46189
  • VaR(95%) (regression method)
    0.05278
  • Expected Shortfall (regression method)
    0.12803
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00376
  • Median
    0.01246
  • Quartile 3
    0.03248
  • Maximum
    0.99993
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.00696
  • Mean of quarter 3
    0.02243
  • Mean of quarter 4
    0.32429
  • Inter Quartile Range
    0.02872
  • 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
    0.11111
  • Mean of outliers high
    0.74604
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.43661
  • VaR(95%) (moments method)
    0.32793
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.27374
  • VaR(95%) (regression method)
    0.49846
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.55621
  • Compounded annual return (geometric extrapolation)
    -0.99405
  • Calmar ratio (compounded annual return / max draw down)
    -0.99412
  • Compounded annual return / average of 25% largest draw downs
    -3.06528
  • Compounded annual return / Expected Shortfall lognormal
    -1.17227
  • 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
    4875.66000
  • SD
    1815.65000
  • Sharpe ratio (Glass type estimate)
    2.68535
  • Sharpe ratio (Hedges UMVUE)
    2.66983
  • df
    130.00000
  • t
    1.89883
  • p
    0.41786
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.47121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.46057
  • Statistics related to Sortino ratio
  • Sortino ratio
    1160.58000
  • Upside Potential Ratio
    1166.72000
  • Upside part of mean
    4901.45000
  • Downside part of mean
    -25.79150
  • Upside SD
    1833.62000
  • Downside SD
    4.20104
  • N nonnegative terms
    23.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.74351
  • Mean of criterion
    4875.66000
  • SD of predictor
    0.40624
  • SD of criterion
    1815.65000
  • Covariance
    -246.27000
  • r
    -0.33388
  • b (slope, estimate of beta)
    -1492.27000
  • a (intercept, estimate of alpha)
    5985.18000
  • Mean Square Error
    2951800.00000
  • DF error
    129.00000
  • t(b)
    -4.02306
  • p(b)
    0.70854
  • t(a)
    2.44759
  • p(a)
    0.36689
  • Lowerbound of 95% confidence interval for beta
    -2226.16000
  • Upperbound of 95% confidence interval for beta
    -758.37600
  • Lowerbound of 95% confidence interval for alpha
    1147.03000
  • Upperbound of 95% confidence interval for alpha
    10823.30000
  • Treynor index (mean / b)
    -3.26729
  • Jensen alpha (a)
    5985.18000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -16.52970
  • SD
    28.52190
  • Sharpe ratio (Glass type estimate)
    -0.57954
  • Sharpe ratio (Hedges UMVUE)
    -0.57619
  • df
    130.00000
  • t
    -0.40980
  • p
    0.51796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.35116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.34888
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19650
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78241
  • Upside Potential Ratio
    3.44555
  • Upside part of mean
    72.79240
  • Downside part of mean
    -89.32210
  • Upside SD
    19.02630
  • Downside SD
    21.12650
  • N nonnegative terms
    23.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.66050
  • Mean of criterion
    -16.52970
  • SD of predictor
    0.40685
  • SD of criterion
    28.52190
  • Covariance
    -5.37185
  • r
    -0.46293
  • b (slope, estimate of beta)
    -32.45320
  • a (intercept, estimate of alpha)
    4.90578
  • Mean Square Error
    644.11700
  • DF error
    129.00000
  • t(b)
    -5.93171
  • p(b)
    0.78382
  • t(a)
    0.13599
  • p(a)
    0.49238
  • VAR (95 Confidence Intrvl)
    0.78700
  • Lowerbound of 95% confidence interval for beta
    -43.27800
  • Upperbound of 95% confidence interval for beta
    -21.62840
  • Lowerbound of 95% confidence interval for alpha
    -66.46640
  • Upperbound of 95% confidence interval for alpha
    76.27800
  • Treynor index (mean / b)
    0.50934
  • Jensen alpha (a)
    4.90578
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.94826
  • Expected Shortfall on VaR
    0.97087
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.30525
  • Expected Shortfall on VaR
    0.62112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00079
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    861.66700
  • Mean of quarter 1
    0.60957
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    75.26450
  • Inter Quartile Range
    0.00000
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.55571
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    107.55300
  • 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)
    -1.88009
  • VaR(95%) (regression method)
    0.35831
  • Expected Shortfall (regression method)
    0.37272
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99974
  • Quartile 1
    0.99974
  • Median
    0.99974
  • Quartile 3
    0.99974
  • Maximum
    0.99974
  • 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
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -424746000
  • Max Equity Drawdown (num days)
    384
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99948
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00026
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.03001

Strategy Description

A hybrid strategy using technical analysis, and an understanding of option prices. The strategy derives half its return from market timing, half from option decay. This is an important difference to many option strategies. You’ll rarely see Out-The-Money options. Most are At-The-Money, or very close. This means I do take directional views.

I do not like adding to a losing position, and would generally close the contract, or wait for the contract to expire, before entering the market again. The goal is to minimise drawdowns.

Designed for both smaller and larger accounts, which I why I started with $10,000. I trade options on highly liquid index ETFs.

Average trade duration is 20 days. The strategy is slow, and it is not dependent on getting specific fill prices; it can be traded manually, but I recommend to Autotrade. Trades can execute on any given day. This strategy has a low correlation to the S&P500, around 35-50%.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-04-04
Suggested Minimum Capital
$25,000
# Trades
19
# Profitable
16
% Profitable
84.2%
Net Dividends
($2,279)
Correlation S&P500
-0.362
Sharpe Ratio
0.41
Sortino Ratio
8.25
Beta
-3.21
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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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