IWM Hold the Strike
- hypothetical · Annual Return (Compounded)
- 35.9%
- Max Drawdown
- 13.8%
- Trades
- 43
- Win Trades
- 86.0%
- Profit Factor
- 3.20
- Win Months
- 64.3%
About this strategy
IWM Hold the Strike Enhanced - Continuous Premium Income Strategy
Strategy Overview:
IWM Hold the Strike is a systematic options strategy designed to maintain continuous market exposure through the disciplined selling of short-dated options on the Russell 2000 ETF (IWM). This "always invested" approach ensures capital is constantly working, either collecting put premiums while waiting to own shares or collecting call premiums during recovery periods.
Trading Methodology:
Primary Vehicle: iShares Russell 2000 ETF (IWM) - liquid small-cap index with daily options
Strategy Type: Systematic put selling followed by covered calls using the "Hold the Strike" discipline
Expiration Target: 2-5 days to expiration (capturing maximum theta decay)
Strike Selection: At-the-money (ATM) for maximum premium collection
Recovery Formula: Calculated recovery target = Lowest price since assignment + (Proprietary Recovery Formula)
The 4-Step Process:
- SELL PUTS at or near current IWM price (2-5 DTE)
- TAKE ASSIGNMENT when IWM drops below strike (never panic sell)
- WAIT FOR RECOVERY to calculated target before selling calls
- SELL CALLS at recovery threshold to collect additional premium
Key Features:
- Always Invested Philosophy: Continuous premium collection with no idle capital
- Enhanced Recovery System: Multiple call-selling cycles during recovery periods
- Weekend Gap Protection: Ladder orders placed Friday to capture Monday opportunities
- Assignment Discipline: View assignments as opportunities, not setbacks
Suitable For:
- Traders seeking consistent income
- Investors comfortable with small-cap volatility
- Those who understand assignment is part of the strategy
Important Notes:
This strategy thrives in up and sideways market conditions. Bear markets provide exceptional income opportunities through elevated premiums but expect capital losses to be held on the IWM ETF as we await short term rallies to sell calls. The key to success is maintaining discipline during drawdowns and allowing the recovery system to work.
Strategy Overview:
IWM Hold the Strike is a systematic options strategy designed to maintain continuous market exposure through the disciplined selling of short-dated options on the Russell 2000 ETF (IWM). This "always invested" approach ensures capital is constantly working, either collecting put premiums while waiting to own shares or collecting call premiums during recovery periods.
Trading Methodology:
Primary Vehicle: iShares Russell 2000 ETF (IWM) - liquid small-cap index with daily options
Strategy Type: Systematic put selling followed by covered calls using the "Hold the Strike" discipline
Expiration Target: 2-5 days to expiration (capturing maximum theta decay)
Strike Selection: At-the-money (ATM) for maximum premium collection
Recovery Formula: Calculated recovery target = Lowest price since assignment + (Proprietary Recovery Formula)
The 4-Step Process:
- SELL PUTS at or near current IWM price (2-5 DTE)
- TAKE ASSIGNMENT when IWM drops below strike (never panic sell)
- WAIT FOR RECOVERY to calculated target before selling calls
- SELL CALLS at recovery threshold to collect additional premium
Key Features:
- Always Invested Philosophy: Continuous premium collection with no idle capital
- Enhanced Recovery System: Multiple call-selling cycles during recovery periods
- Weekend Gap Protection: Ladder orders placed Friday to capture Monday opportunities
- Assignment Discipline: View assignments as opportunities, not setbacks
Suitable For:
- Traders seeking consistent income
- Investors comfortable with small-cap volatility
- Those who understand assignment is part of the strategy
Important Notes:
This strategy thrives in up and sideways market conditions. Bear markets provide exceptional income opportunities through elevated premiums but expect capital losses to be held on the IWM ETF as we await short term rallies to sell calls. The key to success is maintaining discipline during drawdowns and allowing the recovery system to work.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.5 | 5.0 | 7.0 | 4.2 | -1.1 | -1.7 | 13.2 | ||||||
| 2026 | 5.1 | 2.0 | -7.0 | 10.2 | 5.1 | 10.7 | -2.9 | 0.5 | 24.7 |
Statistics
Overview
| Strategy began | 7/14/2025 |
|---|---|
| Suggested Minimum Capital | $35,000 |
| Age | 14 months |
| C2 Rank | 955 |
| Rank at C2 % | Top 4.5% |
| Rank # | #30 |
| What it trades | Stocks, Options |
| # Trades | 43 |
| # Profitable | 37 |
| % Profitable | 86.0% |
| Avg trade duration | 10.6 days |
| Max peak-to-valley drawdown | 13.8% |
| drawdown period | Feb 18, 2026 - March 30, 2026 |
| Annual Return (Compounded) | 35.9% |
| Avg win | $271 |
| Avg loss | $547 |
Ratios
| W:L ratio | 3.16 |
|---|---|
| Sharpe Ratio | 1.41 |
| Sortino Ratio | 2.15 |
| Calmar Ratio | 3.67 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.64 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 22.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 18.7% |
Return Statistics
| Ann Return (w trading costs) | 35.9% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.4% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 40.4% |
Slump
| Current Slump as Pcnt Equity | 3.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.1% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.8% |
| Short Options - Percent Covered | 42.4% |
| Percent Trades Stocks | 0.2% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 15.5% |
|---|---|
| Chance of 20% account loss | 1.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 100.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 568 |
|---|---|
| Popularity (Last 6 weeks) | 915 |
| C2 Score | 955 |
| Popularity (7 days, Percentile 1000 scale) | 722 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $544 |
|---|---|
| Avg Win | $271 |
| # Winners | 37 |
| Sum Trade PL (losers) | $3,263 |
| Sum Trade PL (winners) | $10,021 |
| Num Months Winners | 9 |
| # Losers | 6 |
| % Winners | 86.1% |
Dividends
| Dividends Received in Model Acct | 181 |
|---|
Age
| Num Months filled monthly returns table | 14 |
|---|
Frequency
| Avg Position Time (mins) | 15310.40 |
|---|---|
| Avg Position Time (hrs) | 255.17 |
| Avg Trade Length | 10.60 |
| Last Trade Ago | 5 |
Leverage
| Daily leverage (average) | 1.39 |
|---|---|
| Daily leverage (max) | 2.28 |
Regression
| Alpha | 0.04 |
|---|---|
| Beta | 0.93 |
| Treynor Index | 0.09 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.09 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.02 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 3.40 |
| MAE:PL (avg, all trades) | 0.89 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.31 |
| Avg(MAE) / Avg(PL) - Losing trades | -2.27 |
| Hold-and-Hope Ratio | 0.30 |
RATIO STATISTICS
| Mean | 0.34 |
|---|---|
| SD | 0.17 |
| Sharpe ratio (Glass type estimate) | 1.99 |
| Sharpe ratio (Hedges UMVUE) | 1.86 |
| df | 12 |
| t | 2.07 |
| p | 0.24 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.09 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.99 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.88 |
| Sortino ratio | 4.07 |
| Upside Potential Ratio | 5.39 |
| Upside part of mean | 0.45 |
| Downside part of mean | -0.11 |
| Upside SD | 0.17 |
| Downside SD | 0.08 |
| N nonnegative terms | 9 |
| N negative terms | 4 |
| N of observations | 13 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.34 |
| SD of predictor | 0.10 |
| SD of criterion | 0.17 |
| Covariance | 0.01 |
| r | 0.48 |
| b (slope, estimate of beta) | 0.79 |
| a (intercept, estimate of alpha) | 0.21 |
| Mean Square Error | 0.02 |
| DF error | 11 |
| t(b) | 1.82 |
| p(b) | 0.05 |
| t(a) | 1.25 |
| p(a) | 0.12 |
| Lowerbound of 95% confidence interval for beta | -0.17 |
| Upperbound of 95% confidence interval for beta | 1.76 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 0.58 |
| Treynor index (mean / b) | 0.43 |
| Jensen alpha (a) | 0.21 |
| Mean | 0.32 |
| SD | 0.17 |
| Sharpe ratio (Glass type estimate) | 1.90 |
| Sharpe ratio (Hedges UMVUE) | 1.78 |
| df | 12 |
| t | 1.98 |
| p | 0.25 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.89 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.24 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.79 |
| Sortino ratio | 3.72 |
| Upside Potential Ratio | 5.05 |
| Upside part of mean | 0.44 |
| Downside part of mean | -0.11 |
| Upside SD | 0.17 |
| Downside SD | 0.09 |
| N nonnegative terms | 9 |
| N negative terms | 4 |
| N of observations | 13 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0.32 |
| SD of predictor | 0.10 |
| SD of criterion | 0.17 |
| Covariance | 0.01 |
| r | 0.49 |
| b (slope, estimate of beta) | 0.82 |
| a (intercept, estimate of alpha) | 0.19 |
| Mean Square Error | 0.02 |
| DF error | 11 |
| t(b) | 1.87 |
| p(b) | 0.04 |
| t(a) | 1.16 |
| p(a) | 0.13 |
| Lowerbound of 95% confidence interval for beta | -0.14 |
| Upperbound of 95% confidence interval for beta | 1.79 |
| Lowerbound of 95% confidence interval for alpha | -0.17 |
| Upperbound of 95% confidence interval for alpha | 0.55 |
| Treynor index (mean / b) | 0.39 |
| Jensen alpha (a) | 0.19 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0.34 |
| SD | 0.18 |
| Sharpe ratio (Glass type estimate) | 1.89 |
| Sharpe ratio (Hedges UMVUE) | 1.89 |
| df | 284 |
| t | 1.98 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.01 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.00 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.77 |
| Sortino ratio | 2.91 |
| Upside Potential Ratio | 10.31 |
| Upside part of mean | 1.20 |
| Downside part of mean | -0.86 |
| Upside SD | 0.14 |
| Downside SD | 0.12 |
| N nonnegative terms | 166 |
| N negative terms | 119 |
| N of observations | 285 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.34 |
| SD of predictor | 0.13 |
| SD of criterion | 0.18 |
| Covariance | 0.01 |
| r | 0.65 |
| b (slope, estimate of beta) | 0.91 |
| a (intercept, estimate of alpha) | 0.18 |
| Mean Square Error | 0.02 |
| DF error | 283 |
| t(b) | 14.29 |
| p(b) | 0 |
| t(a) | 1.42 |
| p(a) | 0.08 |
| Lowerbound of 95% confidence interval for beta | 0.78 |
| Upperbound of 95% confidence interval for beta | 1.03 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.44 |
| Treynor index (mean / b) | 0.37 |
| Jensen alpha (a) | 0.19 |
| Mean | 0.32 |
| SD | 0.18 |
| Sharpe ratio (Glass type estimate) | 1.81 |
| Sharpe ratio (Hedges UMVUE) | 1.80 |
| df | 284 |
| t | 1.88 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.69 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.69 |
| Sortino ratio | 2.74 |
| Upside Potential Ratio | 10.13 |
| Upside part of mean | 1.19 |
| Downside part of mean | -0.87 |
| Upside SD | 0.13 |
| Downside SD | 0.12 |
| N nonnegative terms | 166 |
| N negative terms | 119 |
| N of observations | 285 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0.32 |
| SD of predictor | 0.13 |
| SD of criterion | 0.18 |
| Covariance | 0.01 |
| r | 0.65 |
| b (slope, estimate of beta) | 0.91 |
| a (intercept, estimate of alpha) | 0.18 |
| Mean Square Error | 0.02 |
| DF error | 283 |
| t(b) | 14.35 |
| p(b) | 0 |
| t(a) | 1.35 |
| p(a) | 0.09 |
| Lowerbound of 95% confidence interval for beta | 0.78 |
| Upperbound of 95% confidence interval for beta | 1.03 |
| Lowerbound of 95% confidence interval for alpha | -0.08 |
| Upperbound of 95% confidence interval for alpha | 0.43 |
| Treynor index (mean / b) | 0.35 |
| Jensen alpha (a) | 0.18 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.29 |
| SD | 0.18 |
| Sharpe ratio (Glass type estimate) | 1.61 |
| Sharpe ratio (Hedges UMVUE) | 1.60 |
| df | 130 |
| t | 1.14 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.17 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.38 |
| Sortino ratio | 2.36 |
| Upside Potential Ratio | 9.51 |
| Upside part of mean | 1.17 |
| Downside part of mean | -0.88 |
| Upside SD | 0.13 |
| Downside SD | 0.12 |
| N nonnegative terms | 79 |
| N negative terms | 52 |
| N of observations | 131 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.29 |
| SD of predictor | 0.14 |
| SD of criterion | 0.18 |
| Covariance | 0.02 |
| r | 0.66 |
| b (slope, estimate of beta) | 0.85 |
| a (intercept, estimate of alpha) | 0.13 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 10.07 |
| p(b) | 0.11 |
| t(a) | 0.65 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | 0.68 |
| Upperbound of 95% confidence interval for beta | 1.01 |
| Lowerbound of 95% confidence interval for alpha | -0.25 |
| Upperbound of 95% confidence interval for alpha | 0.51 |
| Treynor index (mean / b) | 0.34 |
| Jensen alpha (a) | 0.13 |
| Mean | 0.27 |
| SD | 0.18 |
| Sharpe ratio (Glass type estimate) | 1.52 |
| Sharpe ratio (Hedges UMVUE) | 1.51 |
| df | 130 |
| t | 1.07 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.26 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.27 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.29 |
| Sortino ratio | 2.20 |
| Upside Potential Ratio | 9.33 |
| Upside part of mean | 1.16 |
| Downside part of mean | -0.89 |
| Upside SD | 0.13 |
| Downside SD | 0.12 |
| N nonnegative terms | 79 |
| N negative terms | 52 |
| N of observations | 131 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.27 |
| SD of predictor | 0.14 |
| SD of criterion | 0.18 |
| Covariance | 0.02 |
| r | 0.67 |
| b (slope, estimate of beta) | 0.85 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 10.13 |
| p(b) | 0.11 |
| t(a) | 0.61 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.68 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 1.02 |
| Lowerbound of 95% confidence interval for alpha | -0.26 |
| Upperbound of 95% confidence interval for alpha | 0.50 |
| Treynor index (mean / b) | 0.32 |
| Jensen alpha (a) | 0.12 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 13 |
|---|---|
| Minimum | 0.93 |
| Quartile 1 | 1.00 |
| Median | 1.05 |
| Quartile 3 | 1.07 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.03 |
| Mean of quarter 3 | 1.06 |
| Mean of quarter 4 | 1.08 |
| Inter Quartile Range | 0.07 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -1.52 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.10 |
| Number of observations | 285 |
| Minimum | 0.96 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.04 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 13 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 9 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.06 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.00 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.96 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | -1.20 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.16 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.05 |
| Median | 0.06 |
| Quartile 3 | 0.06 |
| Maximum | 0.07 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.07 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 22 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.04 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.06 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.11 |
| Extreme Value Index (moments method) | 0.29 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.12 |
| Extreme Value Index (regression method) | 1.55 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.06 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 0.11 |
| Extreme Value Index (moments method) | 0.53 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.16 |
| Extreme Value Index (regression method) | 7.17 |
| VaR(95%) (regression method) | 0.26 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -410209440 |
| Max Equity Drawdown (num days) | 40 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.42 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.42 |
| Calmar ratio (compounded annual return / max draw down) | 5.77 |
| Compounded annual return / average of 25% largest draw downs | 5.77 |
| Compounded annual return / Expected Shortfall lognormal | 5.87 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.42 |
| Compounded annual return (geometric extrapolation) | 0.42 |
| Calmar ratio (compounded annual return / max draw down) | 3.68 |
| Compounded annual return / average of 25% largest draw downs | 6.60 |
| Compounded annual return / Expected Shortfall lognormal | 19.70 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.33 |
| Compounded annual return (geometric extrapolation) | 0.35 |
| Calmar ratio (compounded annual return / max draw down) | 3.16 |
| Compounded annual return / average of 25% largest draw downs | 5.64 |
| Compounded annual return / Expected Shortfall lognormal | 16.26 |
Trading record
Placed 2 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| IWM2620T303 | short | 1 | Aug 14, 2026 | Aug 21, 2026 | $176 |
| IWM2606H293 | short | 1 | Aug 3, 2026 | Aug 7, 2026 | $194 |
| IWM | long | 100 | Jul 7, 2026 | Aug 7, 2026 | ($602) |
| IWM2606S299 | short | 1 | Jun 30, 2026 | Jul 7, 2026 | $302 |
| IWM2629R298 | short | 1 | Jun 23, 2026 | Jun 30, 2026 | $664 |
| IWM2622F297 | short | 1 | Jun 15, 2026 | Jun 23, 2026 | $384 |
| IWM | long | 100 | Jun 6, 2026 | Jun 23, 2026 | $498 |
| IWM2605R292 | short | 1 | May 29, 2026 | Jun 6, 2026 | $399 |
| IWM2626Q277 | short | 1 | May 18, 2026 | May 27, 2026 | $342 |
| IWM2614Q283 | short | 1 | May 8, 2026 | May 15, 2026 | $299 |
| IWM2607E280 | short | 1 | May 4, 2026 | May 8, 2026 | $199 |
| IWM | long | 100 | Apr 29, 2026 | May 8, 2026 | $398 |
| IWM2628P276 | short | 1 | Apr 23, 2026 | Apr 29, 2026 | $274 |
| IWM2622P270 | short | 1 | Apr 16, 2026 | Apr 23, 2026 | $335 |
| IWM2614D255 | short | 1 | Apr 7, 2026 | Apr 15, 2026 | $275 |
| IWM | long | 100 | Jan 28, 2026 | Apr 15, 2026 | ($1,202) |
| IWM2604C268 | short | 1 | Feb 26, 2026 | Mar 5, 2026 | $141 |
| IWM2612B267 | short | 1 | Feb 9, 2026 | Feb 13, 2026 | $174 |
| IWM2627M267 | short | 1 | Jan 23, 2026 | Jan 28, 2026 | $189 |
| IWM2620M261 | short | 1 | Jan 13, 2026 | Jan 21, 2026 | $209 |
| IWM2612A257 | short | 1 | Jan 6, 2026 | Jan 13, 2026 | $174 |
| IWM | long | 100 | Dec 19, 2025 | Jan 13, 2026 | $298 |
| IWM2518X254 | short | 1 | Dec 15, 2025 | Dec 19, 2025 | $291 |
| IWM2511X251 | short | 1 | Dec 8, 2025 | Dec 12, 2025 | $259 |
| IWM2502L241 | short | 1 | Nov 25, 2025 | Dec 3, 2025 | $265 |
| IWM | long | 100 | Oct 14, 2025 | Dec 3, 2025 | ($602) |
| IWM2517K247 | short | 1 | Nov 11, 2025 | Nov 18, 2025 | $113 |
| IWM2530J250 | short | 1 | Oct 27, 2025 | Oct 31, 2025 | $325 |
| IWM2513V247 | short | 1 | Oct 9, 2025 | Oct 14, 2025 | $210 |
| IWM2507J243 | short | 1 | Oct 2, 2025 | Oct 8, 2025 | $202 |
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.