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CraZy Options
(93301806)

Created by: tsvika_elberger tsvika_elberger
Started: 09/2015
Options
Last trade: 1,171 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.

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.

33.1%
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.

(75.2%)
Max Drawdown
305
Num Trades
73.1%
Win Trades
1.3 : 1
Profit Factor
14.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                        +1.6%+217.7%(41.5%)+44.1%+172.1%
2016+134.1%+43.8%(30.3%)(8.1%)+53.7%(10%)+5.5%(23.7%)+62.0%(1.9%)(28.9%)(0.2%)+170.5%
2017(50.2%)  -    -    -    -    -    -    -    -    -    -    -  (50.2%)
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 2,618 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/17/17 14:25 GS1720A240 GS Jan20'17 240 call LONG 120 3.12 1/21 9:35 0.00 51.6%
Trade id #108695998
Max drawdown($37,417)
Time1/21/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-51.60%
($37,501)
Includes Typical Broker Commissions trade costs of $84.30
1/12/17 12:16 BIDU1713A175 BIDU Jan13'17 175 call LONG 20 1.80 1/12 13:43 2.10 0%
Trade id #108596220
Max drawdown$0
Time1/12/17 12:46
Quant open18
Worst price1.80
Drawdown as % of equity0.00%
$574
Includes Typical Broker Commissions trade costs of $28.00
11/23/16 9:56 BIDU1625W160 BIDU Nov25'16 160 put LONG 30 0.35 11/26 9:35 0.00 0.97%
Trade id #107433202
Max drawdown($1,054)
Time11/26/16 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.97%
($1,075)
Includes Typical Broker Commissions trade costs of $21.30
11/1/16 11:22 TSLA1604K200 TSLA Nov4'16 200 call LONG 95 0.72 11/5 9:35 0.43 2.92%
Trade id #106829656
Max drawdown($2,832)
Time11/4/16 10:14
Quant open40
Worst price0.01
Drawdown as % of equity-2.92%
($2,833)
Includes Typical Broker Commissions trade costs of $105.30
11/3/16 10:51 WYNN1604K89 WYNN Nov4'16 89 call LONG 688 0.86 11/4 13:34 0.49 39.41%
Trade id #106897232
Max drawdown($46,063)
Time11/4/16 9:45
Quant open600
Worst price0.09
Drawdown as % of equity-39.41%
($25,991)
Includes Typical Broker Commissions trade costs of $963.20
10/28/16 11:23 AMGN1628J160 AMGN Oct28'16 160 call LONG 20 0.01 10/29 9:35 0.00 0.01%
Trade id #106740453
Max drawdown($20)
Time10/29/16 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.01%
($34)
Includes Typical Broker Commissions trade costs of $14.00
10/26/16 12:41 CMG1628J375 CMG Oct28'16 375 call LONG 56 2.44 10/29 9:35 1.67 5.68%
Trade id #106680464
Max drawdown($7,562)
Time10/26/16 13:57
Quant open51
Worst price1.08
Drawdown as % of equity-5.68%
($4,396)
Includes Typical Broker Commissions trade costs of $71.40
10/28/16 11:27 AMGN1628J145 AMGN Oct28'16 145 call LONG 10 0.20 10/28 13:49 0.30 0.11%
Trade id #106740724
Max drawdown($150)
Time10/28/16 13:34
Quant open10
Worst price0.05
Drawdown as % of equity-0.11%
$86
Includes Typical Broker Commissions trade costs of $14.00
10/25/16 10:59 BIDU1628J190 BIDU Oct28'16 190 call LONG 70 0.99 10/27 10:12 0.81 2.48%
Trade id #106649775
Max drawdown($3,398)
Time10/26/16 9:53
Quant open70
Worst price0.50
Drawdown as % of equity-2.48%
($1,340)
Includes Typical Broker Commissions trade costs of $98.30
10/26/16 10:50 CMG1628J375 CMG Oct28'16 375 call LONG 9 4.39 10/26 11:28 5.34 0.27%
Trade id #106677191
Max drawdown($376)
Time10/26/16 11:04
Quant open9
Worst price3.97
Drawdown as % of equity-0.27%
$846
Includes Typical Broker Commissions trade costs of $15.00
10/26/16 9:53 BIDU1628J172.5 BIDU Oct28'16 172.5 call LONG 1 5.00 10/26 10:10 6.00 n/a $98
Includes Typical Broker Commissions trade costs of $2.00
10/25/16 11:47 AMGN1628J160 AMGN Oct28'16 160 call LONG 192 1.54 10/26 10:08 1.62 1.81%
Trade id #106651630
Max drawdown($2,514)
Time10/25/16 13:23
Quant open192
Worst price1.41
Drawdown as % of equity-1.81%
$1,188
Includes Typical Broker Commissions trade costs of $269.40
10/24/16 10:18 TSLA1628J200 TSLA Oct28'16 200 call LONG 2 6.67 10/24 11:29 7.90 0.02%
Trade id #106618541
Max drawdown($35)
Time10/24/16 10:22
Quant open2
Worst price6.50
Drawdown as % of equity-0.02%
$241
Includes Typical Broker Commissions trade costs of $4.00
10/20/16 12:10 UNP1621J92 UNP Oct21'16 92 call LONG 180 0.17 10/22 9:35 0.00 2.17%
Trade id #106566036
Max drawdown($3,060)
Time10/22/16 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-2.17%
($3,186)
Includes Typical Broker Commissions trade costs of $126.00
10/20/16 11:52 AMGN1621J162.5 AMGN Oct21'16 162.5 call LONG 2 0.39 10/22 9:35 0.00 0.06%
Trade id #106565440
Max drawdown($78)
Time10/22/16 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.06%
($79)
Includes Typical Broker Commissions trade costs of $1.40
10/18/16 13:19 TWTR1621J17 TWTR Oct21'16 17 call LONG 3 0.28 10/21 13:24 1.00 0.02%
Trade id #106517827
Max drawdown($26)
Time10/21/16 12:42
Quant open1
Worst price0.02
Drawdown as % of equity-0.02%
$212
Includes Typical Broker Commissions trade costs of $5.10
10/20/16 11:28 EBAY1621J29 EBAY Oct21'16 29 call LONG 4 0.26 10/21 13:22 0.19 0.07%
Trade id #106564508
Max drawdown($94)
Time10/21/16 11:09
Quant open4
Worst price0.02
Drawdown as % of equity-0.07%
($32)
Includes Typical Broker Commissions trade costs of $5.60
10/18/16 10:52 WYNN1621J95 WYNN Oct21'16 95 call LONG 3 0.91 10/20 10:59 1.21 0.05%
Trade id #106514141
Max drawdown($72)
Time10/18/16 14:10
Quant open3
Worst price0.67
Drawdown as % of equity-0.05%
$83
Includes Typical Broker Commissions trade costs of $6.00
10/14/16 11:02 WYNN1614J93 WYNN Oct14'16 93 call LONG 540 0.40 10/14 12:41 0.49 5.23%
Trade id #106459770
Max drawdown($6,895)
Time10/14/16 11:16
Quant open360
Worst price0.25
Drawdown as % of equity-5.23%
$4,309
Includes Typical Broker Commissions trade costs of $756.30
10/7/16 11:28 TSLA1607J195 TSLA Oct7'16 195 call LONG 4 2.07 10/7 13:12 2.31 0.12%
Trade id #106303270
Max drawdown($167)
Time10/7/16 13:05
Quant open4
Worst price1.65
Drawdown as % of equity-0.12%
$90
Includes Typical Broker Commissions trade costs of $8.00
10/5/16 11:14 WYNN1607J98 WYNN Oct7'16 98 call LONG 20 1.45 10/6 11:48 1.18 0.74%
Trade id #106247998
Max drawdown($1,020)
Time10/6/16 9:41
Quant open20
Worst price0.94
Drawdown as % of equity-0.74%
($578)
Includes Typical Broker Commissions trade costs of $28.00
10/5/16 10:44 TSLA1607J212.5 TSLA Oct7'16 212.5 call LONG 70 1.71 10/5 12:14 1.86 0.52%
Trade id #106247086
Max drawdown($710)
Time10/5/16 11:12
Quant open10
Worst price1.44
Drawdown as % of equity-0.52%
$996
Includes Typical Broker Commissions trade costs of $98.00
10/4/16 10:40 WYNN1607J98 WYNN Oct7'16 98 call LONG 190 1.19 10/5 11:08 1.13 4.89%
Trade id #106217328
Max drawdown($6,539)
Time10/5/16 9:39
Quant open130
Worst price0.69
Drawdown as % of equity-4.89%
($1,459)
Includes Typical Broker Commissions trade costs of $266.30
10/4/16 10:36 TSLA1607J210 TSLA Oct7'16 210 call LONG 35 3.19 10/4 11:24 3.51 0.5%
Trade id #106217206
Max drawdown($675)
Time10/4/16 11:05
Quant open35
Worst price3.00
Drawdown as % of equity-0.50%
$1,073
Includes Typical Broker Commissions trade costs of $49.30
9/26/16 13:10 VRX1630I27 VRX Sep30'16 27 call LONG 30 0.36 10/1 9:35 0.20 0.39%
Trade id #106075263
Max drawdown($530)
Time9/29/16 11:31
Quant open15
Worst price0.01
Drawdown as % of equity-0.39%
($522)
Includes Typical Broker Commissions trade costs of $31.50
9/30/16 9:52 AMGN1630I165 AMGN Sep30'16 165 call LONG 20 0.88 9/30 10:33 1.18 0.04%
Trade id #106161143
Max drawdown($50)
Time9/30/16 9:55
Quant open20
Worst price0.85
Drawdown as % of equity-0.04%
$572
Includes Typical Broker Commissions trade costs of $28.00
9/30/16 9:35 WYNN1630I96.5 WYNN Sep30'16 96.5 call LONG 111 0.43 9/30 10:17 0.56 1.88%
Trade id #106160455
Max drawdown($2,510)
Time9/30/16 10:01
Quant open111
Worst price0.20
Drawdown as % of equity-1.88%
$1,379
Includes Typical Broker Commissions trade costs of $155.70
9/27/16 10:23 GILD1630I79 GILD Sep30'16 79 call LONG 140 0.70 9/28 15:49 0.60 2.31%
Trade id #106095527
Max drawdown($3,105)
Time9/28/16 13:16
Quant open100
Worst price0.40
Drawdown as % of equity-2.31%
($1,563)
Includes Typical Broker Commissions trade costs of $196.30
9/27/16 10:25 WYNN1630I100 WYNN Sep30'16 100 call LONG 110 1.41 9/28 12:49 1.63 3.8%
Trade id #106095582
Max drawdown($4,899)
Time9/28/16 11:08
Quant open80
Worst price0.80
Drawdown as % of equity-3.80%
$2,288
Includes Typical Broker Commissions trade costs of $154.60
9/28/16 10:39 BA1630I130 BA Sep30'16 130 call LONG 70 1.29 9/28 11:53 1.40 0.51%
Trade id #106118503
Max drawdown($660)
Time9/28/16 11:05
Quant open70
Worst price1.20
Drawdown as % of equity-0.51%
$642
Includes Typical Broker Commissions trade costs of $98.00

Statistics

  • Strategy began
    9/22/2015
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1657.63
  • Age
    55 months ago
  • What it trades
    Options
  • # Trades
    305
  • # Profitable
    223
  • % Profitable
    73.10%
  • Avg trade duration
    16.4 hours
  • Max peak-to-valley drawdown
    75.2%
  • drawdown period
    Oct 04, 2016 - Jan 21, 2017
  • Annual Return (Compounded)
    23.2%
  • Avg win
    $1,308
  • Avg loss
    $2,805
  • Model Account Values (Raw)
  • Cash
    $71,673
  • Margin Used
    $0
  • Buying Power
    $71,673
  • Ratios
  • W:L ratio
    1.27:1
  • Sharpe Ratio
    0.48
  • Sortino Ratio
    0.77
  • Calmar Ratio
    3.569
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    130.28%
  • Correlation to SP500
    0.01990
  • Return Percent SP500 (cumu) during strategy life
    35.33%
  • Return Statistics
  • Ann Return (w trading costs)
    23.2%
  • Slump
  • Current Slump as Pcnt Equity
    3.03%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.232%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    54.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    311
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,806
  • Avg Win
    $1,308
  • Sum Trade PL (losers)
    $230,065.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $291,738.000
  • # Winners
    223
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    82
  • % Winners
    73.1%
  • Frequency
  • Avg Position Time (mins)
    984.80
  • Avg Position Time (hrs)
    16.41
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    1171
  • Regression
  • Alpha
    0.09
  • Beta
    0.07
  • Treynor Index
    1.24
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    63.92
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    75.65
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.42
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    13.885
  • 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
    1.305
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.375
  • Hold-and-Hope Ratio
    0.072
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.22267
  • SD
    2.05839
  • Sharpe ratio (Glass type estimate)
    1.07981
  • Sharpe ratio (Hedges UMVUE)
    1.03872
  • df
    20.00000
  • t
    1.42846
  • p
    0.34787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45141
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58551
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47744
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55488
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.66993
  • Upside Potential Ratio
    6.32988
  • Upside part of mean
    3.01273
  • Downside part of mean
    -0.79006
  • Upside SD
    2.05435
  • Downside SD
    0.47595
  • N nonnegative terms
    6.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.24808
  • Mean of criterion
    2.22267
  • SD of predictor
    0.14765
  • SD of criterion
    2.05839
  • Covariance
    0.00343
  • r
    0.01129
  • b (slope, estimate of beta)
    0.15744
  • a (intercept, estimate of alpha)
    2.18362
  • Mean Square Error
    4.45940
  • DF error
    19.00000
  • t(b)
    0.04923
  • p(b)
    0.49281
  • t(a)
    1.22496
  • p(a)
    0.32989
  • Lowerbound of 95% confidence interval for beta
    -6.53637
  • Upperbound of 95% confidence interval for beta
    6.85125
  • Lowerbound of 95% confidence interval for alpha
    -1.54742
  • Upperbound of 95% confidence interval for alpha
    5.91466
  • Treynor index (mean / b)
    14.11750
  • Jensen alpha (a)
    2.18362
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02918
  • SD
    1.35028
  • Sharpe ratio (Glass type estimate)
    0.76220
  • Sharpe ratio (Hedges UMVUE)
    0.73319
  • df
    20.00000
  • t
    1.00829
  • p
    0.39003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23211
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76470
  • Upside Potential Ratio
    3.37013
  • Upside part of mean
    1.96547
  • Downside part of mean
    -0.93629
  • Upside SD
    1.21843
  • Downside SD
    0.58320
  • N nonnegative terms
    6.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.23510
  • Mean of criterion
    1.02918
  • SD of predictor
    0.14391
  • SD of criterion
    1.35028
  • Covariance
    -0.00288
  • r
    -0.01482
  • b (slope, estimate of beta)
    -0.13903
  • a (intercept, estimate of alpha)
    1.06187
  • Mean Square Error
    1.91879
  • DF error
    19.00000
  • t(b)
    -0.06459
  • p(b)
    0.50943
  • t(a)
    0.91306
  • p(a)
    0.37040
  • Lowerbound of 95% confidence interval for beta
    -4.64406
  • Upperbound of 95% confidence interval for beta
    4.36600
  • Lowerbound of 95% confidence interval for alpha
    -1.37228
  • Upperbound of 95% confidence interval for alpha
    3.49601
  • Treynor index (mean / b)
    -7.40250
  • Jensen alpha (a)
    1.06187
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.42615
  • Expected Shortfall on VaR
    0.50760
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18785
  • Expected Shortfall on VaR
    0.35528
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.58769
  • Quartile 1
    0.95885
  • Median
    1.00000
  • Quartile 3
    1.31168
  • Maximum
    3.17051
  • Mean of quarter 1
    0.78542
  • Mean of quarter 2
    0.98796
  • Mean of quarter 3
    1.06234
  • Mean of quarter 4
    1.99491
  • Inter Quartile Range
    0.35284
  • 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
    0.09524
  • Mean of outliers high
    2.77782
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22450
  • VaR(95%) (moments method)
    0.14704
  • Expected Shortfall (moments method)
    0.19331
  • Extreme Value Index (regression method)
    -0.23684
  • VaR(95%) (regression method)
    0.26681
  • Expected Shortfall (regression method)
    0.35419
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.11475
  • Quartile 1
    0.22066
  • Median
    0.33413
  • Quartile 3
    0.42931
  • Maximum
    0.48031
  • Mean of quarter 1
    0.11475
  • Mean of quarter 2
    0.25596
  • Mean of quarter 3
    0.41231
  • Mean of quarter 4
    0.48031
  • Inter Quartile Range
    0.20865
  • 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)
    3.06240
  • Compounded annual return (geometric extrapolation)
    1.87797
  • Calmar ratio (compounded annual return / max draw down)
    3.90992
  • Compounded annual return / average of 25% largest draw downs
    3.90992
  • Compounded annual return / Expected Shortfall lognormal
    3.69969
  • 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
    1.25286
  • SD
    0.74601
  • Sharpe ratio (Glass type estimate)
    1.67940
  • Sharpe ratio (Hedges UMVUE)
    1.67674
  • df
    473.00000
  • t
    2.25888
  • p
    0.01217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21566
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13781
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.32070
  • Upside Potential Ratio
    7.24977
  • Upside part of mean
    2.73524
  • Downside part of mean
    -1.48239
  • Upside SD
    0.64731
  • Downside SD
    0.37729
  • N nonnegative terms
    155.00000
  • N negative terms
    319.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    474.00000
  • Mean of predictor
    0.17020
  • Mean of criterion
    1.25286
  • SD of predictor
    0.24573
  • SD of criterion
    0.74601
  • Covariance
    0.00451
  • r
    0.02462
  • b (slope, estimate of beta)
    0.07476
  • a (intercept, estimate of alpha)
    1.24000
  • Mean Square Error
    0.55738
  • DF error
    472.00000
  • t(b)
    0.53514
  • p(b)
    0.29640
  • t(a)
    2.23220
  • p(a)
    0.01303
  • Lowerbound of 95% confidence interval for beta
    -0.19975
  • Upperbound of 95% confidence interval for beta
    0.34926
  • Lowerbound of 95% confidence interval for alpha
    0.14845
  • Upperbound of 95% confidence interval for alpha
    2.33182
  • Treynor index (mean / b)
    16.75910
  • Jensen alpha (a)
    1.24013
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.99461
  • SD
    0.70384
  • Sharpe ratio (Glass type estimate)
    1.41313
  • Sharpe ratio (Hedges UMVUE)
    1.41089
  • df
    473.00000
  • t
    1.90073
  • p
    0.02897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04905
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87082
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45018
  • Upside Potential Ratio
    6.29479
  • Upside part of mean
    2.55528
  • Downside part of mean
    -1.56066
  • Upside SD
    0.57735
  • Downside SD
    0.40593
  • N nonnegative terms
    155.00000
  • N negative terms
    319.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    474.00000
  • Mean of predictor
    0.13881
  • Mean of criterion
    0.99461
  • SD of predictor
    0.25322
  • SD of criterion
    0.70384
  • Covariance
    0.00394
  • r
    0.02208
  • b (slope, estimate of beta)
    0.06138
  • a (intercept, estimate of alpha)
    0.98609
  • Mean Square Error
    0.49619
  • DF error
    472.00000
  • t(b)
    0.47990
  • p(b)
    0.31576
  • t(a)
    1.88183
  • p(a)
    0.03024
  • Lowerbound of 95% confidence interval for beta
    -0.18996
  • Upperbound of 95% confidence interval for beta
    0.31272
  • Lowerbound of 95% confidence interval for alpha
    -0.04358
  • Upperbound of 95% confidence interval for alpha
    2.01577
  • Treynor index (mean / b)
    16.20340
  • Jensen alpha (a)
    0.98609
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06548
  • Expected Shortfall on VaR
    0.08219
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01528
  • Expected Shortfall on VaR
    0.03441
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    474.00000
  • Minimum
    0.81163
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00357
  • Maximum
    1.41009
  • Mean of quarter 1
    0.97775
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00062
  • Mean of quarter 4
    1.04111
  • Inter Quartile Range
    0.00357
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.12447
  • Mean of outliers low
    0.95625
  • Number of outliers high
    80.00000
  • Percentage of outliers high
    0.16878
  • Mean of outliers high
    1.05799
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.25582
  • VaR(95%) (moments method)
    0.00681
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.47085
  • VaR(95%) (regression method)
    0.01526
  • Expected Shortfall (regression method)
    0.04436
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00509
  • Median
    0.02408
  • Quartile 3
    0.26812
  • Maximum
    0.49886
  • Mean of quarter 1
    0.00164
  • Mean of quarter 2
    0.00665
  • Mean of quarter 3
    0.13824
  • Mean of quarter 4
    0.43296
  • Inter Quartile Range
    0.26304
  • 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)
    -3.31698
  • VaR(95%) (moments method)
    0.47510
  • Expected Shortfall (moments method)
    0.47659
  • Extreme Value Index (regression method)
    -0.66802
  • VaR(95%) (regression method)
    0.51311
  • Expected Shortfall (regression method)
    0.54492
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.96225
  • Compounded annual return (geometric extrapolation)
    1.78019
  • Calmar ratio (compounded annual return / max draw down)
    3.56852
  • Compounded annual return / average of 25% largest draw downs
    4.11171
  • Compounded annual return / Expected Shortfall lognormal
    21.65880
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24752
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40861
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16017
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42509
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6864740000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.06500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    186070000000000002272854011805696.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -306347000
  • Max Equity Drawdown (num days)
    109
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

I like trading and mostly I believe in day trading systems, and using big stocks move with weeklys options (like AAPL, PCLN, NFLX, BIDU, AMZN ans so on)

Timming is everything and i like to spot stocks that move lower too much (or get lower after big gap up). yes i prefer Long with naked options (calls mostly)

Summary Statistics

Strategy began
2015-09-22
Suggested Minimum Capital
$10,000
# Trades
305
# Profitable
223
% Profitable
73.1%
Correlation S&P500
0.020
Sharpe Ratio
0.48
Sortino Ratio
0.77
Beta
0.07
Alpha
0.09

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

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