Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

Option Writer
(106939849)

Created by: TomWilliams2 TomWilliams2
Started: 11/2016
Options
Last trade: 2,203 days ago
Subscriptions not currently available.

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 $98.00 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.

16.9%
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.

(95.8%)
Max Drawdown
158
Num Trades
89.2%
Win Trades
32.2 : 1
Profit Factor
63.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +25.9%+2.0%+28.4%
2017+1.1%+4.2%+0.2%+2.3%+2.1%  -  +0.8%+0.4%(0.8%)+5.5%+5.5%+3.2%+27.2%
2018(9.2%)(7.2%)+11.5%+16.7%+4.9%+0.9%+1.5%(2.6%)+1.9%(16.8%)(4.1%)  -  0.0
2019+13.6%+14.8%(0.7%)(1.9%)+4.3%+32.4%
2020(9.3%)(1.9%)(81.8%)+132.1%+28.6%(15.3%)+7.4%(10.8%)(31%)(21.8%)+123.6%+1.7%(52%)
2021+8.7%+49.2%+10.0%(7.9%)+15.6%+11.7%(19.5%)(1.7%)+17.8%+15.6%(7.9%)+5.0%+120.8%
2022+27.8%+15.6%+9.0%(1.2%)+21.1%(21.7%)+0.9%+12.1%(10.2%)+26.4%+6.4%(5%)+95.8%
2023+3.9%(8.8%)+0.2%+3.4%(12.2%)+2.4%+14.2%+2.6%+3.9%(5.4%)(2.3%)+2.7%+2.1%
2024(2.2%)+2.6%+8.4%                                                      +8.7%

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 265 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2255 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/23/18 15:04 XBI1816O85 XBI Mar16'18 85 put SHORT 10 0.69 3/17 9:35 1.56 2.48%
Trade id #116054759
Max drawdown($1,716)
Time2/6/18 9:31
Quant open-6
Worst price3.55
Drawdown as % of equity-2.48%
($879)
Includes Typical Broker Commissions trade costs of $12.60
1/22/18 11:30 XLE1816O72 XLE Mar16'18 72 put SHORT 20 0.41 3/17 9:35 0.00 17.23%
Trade id #116025639
Max drawdown($12,280)
Time3/2/18 9:50
Quant open-20
Worst price6.55
Drawdown as % of equity-17.23%
$806
Includes Typical Broker Commissions trade costs of $14.00
1/22/18 11:28 WYNN1816O165 WYNN Mar16'18 165 put SHORT 10 1.24 3/17 9:35 0.00 12.5%
Trade id #116025575
Max drawdown($8,910)
Time3/2/18 10:23
Quant open-10
Worst price10.15
Drawdown as % of equity-12.50%
$1,233
Includes Typical Broker Commissions trade costs of $7.00
1/23/18 15:01 NFLX1816O210 NFLX Mar16'18 210 put SHORT 10 0.92 3/17 9:35 0.00 n/a $914
Includes Typical Broker Commissions trade costs of $7.00
1/3/18 10:12 TIF1816N97.5 TIF Feb16'18 97.5 put SHORT 5 0.96 1/22 11:26 0.17 0.07%
Trade id #115666669
Max drawdown($60)
Time1/4/18 10:19
Quant open-5
Worst price1.08
Drawdown as % of equity-0.07%
$388
Includes Typical Broker Commissions trade costs of $7.00
1/3/18 10:13 LULU1816N70 LULU Feb16'18 70 put SHORT 7 0.58 1/22 11:26 0.26 0.1%
Trade id #115666696
Max drawdown($84)
Time1/3/18 15:42
Quant open-7
Worst price0.70
Drawdown as % of equity-0.10%
$214
Includes Typical Broker Commissions trade costs of $9.80
1/3/18 10:20 GLD1816N121 GLD Feb16'18 121 put SHORT 10 0.41 1/22 11:26 0.12 0.24%
Trade id #115667050
Max drawdown($200)
Time1/3/18 14:17
Quant open-10
Worst price0.61
Drawdown as % of equity-0.24%
$276
Includes Typical Broker Commissions trade costs of $14.00
1/11/18 14:49 ADBE1816N165 ADBE Feb16'18 165 put SHORT 10 0.47 1/22 11:26 0.23 0.08%
Trade id #115839709
Max drawdown($65)
Time1/12/18 9:31
Quant open-10
Worst price0.54
Drawdown as % of equity-0.08%
$231
Includes Typical Broker Commissions trade costs of $14.00
12/21/17 10:45 IYT1816N174 IYT Feb16'18 174 put SHORT 3 0.81 1/5/18 9:32 0.40 0.01%
Trade id #115463804
Max drawdown($11)
Time12/22/17 10:59
Quant open-3
Worst price0.85
Drawdown as % of equity-0.01%
$120
Includes Typical Broker Commissions trade costs of $4.20
12/21/17 11:33 GLD1816N117 GLD Feb16'18 117 put SHORT 3 0.55 1/3/18 10:07 0.20 1.38%
Trade id #115465381
Max drawdown($1,161)
Time12/28/17 9:31
Quant open-3
Worst price4.42
Drawdown as % of equity-1.38%
$100
Includes Typical Broker Commissions trade costs of $5.20
11/29/17 10:51 QQQ1819M147 QQQ Jan19'18 147 put SHORT 20 1.11 1/3/18 10:00 0.14 1.92%
Trade id #115098601
Max drawdown($1,420)
Time12/5/17 9:32
Quant open-20
Worst price1.82
Drawdown as % of equity-1.92%
$1,912
Includes Typical Broker Commissions trade costs of $28.00
11/29/17 10:47 NVDA1819M175 NVDA Jan19'18 175 put SHORT 20 2.09 1/3/18 10:00 1.44 9.15%
Trade id #115098436
Max drawdown($7,424)
Time12/4/17 10:14
Quant open-20
Worst price5.80
Drawdown as % of equity-9.15%
$1,268
Includes Typical Broker Commissions trade costs of $28.00
11/14/17 11:18 SPY1715X251 SPY Dec15'17 251 put SHORT 3 1.42 11/29 10:45 0.23 0.31%
Trade id #114847310
Max drawdown($246)
Time11/15/17 9:45
Quant open-3
Worst price2.24
Drawdown as % of equity-0.31%
$353
Includes Typical Broker Commissions trade costs of $4.20
11/14/17 11:16 QQQ1715X148 QQQ Dec15'17 148 put SHORT 25 1.00 11/29 10:45 0.34 1.02%
Trade id #114847284
Max drawdown($800)
Time11/15/17 9:45
Quant open-25
Worst price1.32
Drawdown as % of equity-1.02%
$1,615
Includes Typical Broker Commissions trade costs of $35.00
11/22/17 14:11 IWM1819M142 IWM Jan19'18 142 put SHORT 5 0.99 11/29 10:45 0.70 0.04%
Trade id #114988538
Max drawdown($30)
Time11/22/17 16:12
Quant open-5
Worst price1.05
Drawdown as % of equity-0.04%
$138
Includes Typical Broker Commissions trade costs of $7.00
10/31/17 9:49 AMZN1715X1010 AMZN Dec15'17 1010 put SHORT 2 5.50 11/14 11:12 2.29 0.57%
Trade id #114608706
Max drawdown($446)
Time11/3/17 10:34
Quant open-2
Worst price7.73
Drawdown as % of equity-0.57%
$639
Includes Typical Broker Commissions trade costs of $2.80
10/31/17 9:51 AAPL1715X150 AAPL Dec15'17 150 put SHORT 20 1.08 11/8 14:24 0.22 0.86%
Trade id #114608754
Max drawdown($660)
Time11/2/17 12:34
Quant open-20
Worst price1.41
Drawdown as % of equity-0.86%
$1,692
Includes Typical Broker Commissions trade costs of $28.00
10/2/17 10:00 AAPL1717W145 AAPL Nov17'17 145 put SHORT 40 2.12 10/25 11:19 1.10 1.79%
Trade id #113971805
Max drawdown($1,296)
Time10/2/17 12:18
Quant open-36
Worst price2.48
Drawdown as % of equity-1.79%
$4,004
Includes Typical Broker Commissions trade costs of $56.00
9/5/17 9:53 AAPL1720V150 AAPL Oct20'17 150 put SHORT 3 1.21 10/2 9:59 1.14 1.04%
Trade id #113536552
Max drawdown($759)
Time9/25/17 9:31
Quant open-3
Worst price3.74
Drawdown as % of equity-1.04%
$17
Includes Typical Broker Commissions trade costs of $4.20
9/21/17 15:55 TSLA1720V315 TSLA Oct20'17 315 put SHORT 3 1.41 10/2 9:58 4.45 1.8%
Trade id #113796287
Max drawdown($1,287)
Time9/28/17 9:46
Quant open-3
Worst price5.70
Drawdown as % of equity-1.80%
($916)
Includes Typical Broker Commissions trade costs of $4.20
9/5/17 9:52 GLD1720V121 GLD Oct20'17 121 put SHORT 3 0.36 10/2 9:58 1.07 0.34%
Trade id #113536520
Max drawdown($252)
Time10/2/17 9:31
Quant open-3
Worst price1.20
Drawdown as % of equity-0.34%
($217)
Includes Typical Broker Commissions trade costs of $4.20
9/18/17 10:48 NVDA1727V165 NVDA Oct27'17 165 put SHORT 3 1.33 10/2 9:58 1.48 1.41%
Trade id #113724668
Max drawdown($996)
Time9/25/17 14:50
Quant open-3
Worst price4.65
Drawdown as % of equity-1.41%
($49)
Includes Typical Broker Commissions trade costs of $4.20
9/21/17 10:18 ADBE1727V143 ADBE Oct27'17 143 put SHORT 4 1.42 10/2 9:58 1.08 0.83%
Trade id #113786470
Max drawdown($592)
Time9/25/17 14:32
Quant open-4
Worst price2.90
Drawdown as % of equity-0.83%
$129
Includes Typical Broker Commissions trade costs of $5.60
9/18/17 10:50 QQQ1727V140.5 QQQ Oct27'17 140.5 put SHORT 3 0.91 10/2 9:58 0.56 0.39%
Trade id #113724739
Max drawdown($276)
Time9/25/17 14:48
Quant open-3
Worst price1.83
Drawdown as % of equity-0.39%
$101
Includes Typical Broker Commissions trade costs of $4.20
9/5/17 9:51 TLT1720V124 TLT Oct20'17 124 put SHORT 3 0.50 10/2 9:57 0.74 0.32%
Trade id #113536496
Max drawdown($228)
Time9/28/17 10:54
Quant open-3
Worst price1.26
Drawdown as % of equity-0.32%
($76)
Includes Typical Broker Commissions trade costs of $4.20
9/14/17 10:43 XLE1727V63.5 XLE Oct27'17 63.5 put SHORT 3 0.50 9/22 10:19 0.20 0.04%
Trade id #113682729
Max drawdown($27)
Time9/14/17 13:07
Quant open-3
Worst price0.59
Drawdown as % of equity-0.04%
$86
Includes Typical Broker Commissions trade costs of $4.20
9/13/17 15:19 SWK1720V140 SWK Oct20'17 140 put SHORT 3 0.94 9/21 10:40 0.42 0%
Trade id #113669134
Max drawdown($3)
Time9/13/17 15:33
Quant open-3
Worst price0.95
Drawdown as % of equity-0.00%
$152
Includes Typical Broker Commissions trade costs of $4.20
9/1/17 10:33 QQQ1720V138 QQQ Oct20'17 138 put SHORT 1 0.93 9/18 9:36 0.45 0.09%
Trade id #113492756
Max drawdown($65)
Time9/5/17 13:05
Quant open-1
Worst price1.58
Drawdown as % of equity-0.09%
$46
Includes Typical Broker Commissions trade costs of $2.00
9/6/17 13:25 OLED1720V110 OLED Oct20'17 110 put SHORT 3 1.15 9/15 10:39 0.55 0.14%
Trade id #113563620
Max drawdown($106)
Time9/8/17 15:41
Quant open-3
Worst price1.50
Drawdown as % of equity-0.14%
$175
Includes Typical Broker Commissions trade costs of $4.20
9/13/17 15:13 FB1720V160 FB Oct20'17 160 put SHORT 3 0.76 9/14 9:53 0.92 0.11%
Trade id #113668977
Max drawdown($81)
Time9/14/17 9:41
Quant open-3
Worst price1.03
Drawdown as % of equity-0.11%
($52)
Includes Typical Broker Commissions trade costs of $4.20

Statistics

  • Strategy began
    11/5/2016
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2691.29
  • Age
    90 months ago
  • What it trades
    Options
  • # Trades
    158
  • # Profitable
    141
  • % Profitable
    89.20%
  • Avg trade duration
    29.4 days
  • Max peak-to-valley drawdown
    95.77%
  • drawdown period
    May 22, 2018 - March 19, 2020
  • Annual Return (Compounded)
    16.9%
  • Avg win
    $589.52
  • Avg loss
    $276.24
  • Model Account Values (Raw)
  • Cash
    $50,305
  • Margin Used
    $0
  • Buying Power
    $90,405
  • Ratios
  • W:L ratio
    32.17:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.9
  • Calmar Ratio
    0.672
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    69.18%
  • Correlation to SP500
    0.45030
  • Return Percent SP500 (cumu) during strategy life
    151.70%
  • Return Statistics
  • Ann Return (w trading costs)
    16.9%
  • 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
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.169%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • 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
    $276
  • Avg Win
    $590
  • Sum Trade PL (losers)
    $4,696.000
  • Age
  • Num Months filled monthly returns table
    82
  • Win / Loss
  • Sum Trade PL (winners)
    $83,182.000
  • # Winners
    141
  • Num Months Winners
    53
  • Dividends
  • Dividends Received in Model Acct
    32512
  • Win / Loss
  • # Losers
    17
  • % Winners
    89.2%
  • Frequency
  • Avg Position Time (mins)
    42362.40
  • Avg Position Time (hrs)
    706.04
  • Avg Trade Length
    29.4 days
  • Last Trade Ago
    2194
  • Regression
  • Alpha
    0.07
  • Beta
    2.18
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    68.85
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    69.96
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.24
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.217
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.951
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.191
  • Hold-and-Hope Ratio
    0.559
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.98833
  • SD
    1.16425
  • Sharpe ratio (Glass type estimate)
    0.84890
  • Sharpe ratio (Hedges UMVUE)
    0.82506
  • df
    27.00000
  • t
    1.29672
  • p
    0.10285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46141
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47677
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12689
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03250
  • Upside Potential Ratio
    3.28565
  • Upside part of mean
    1.59769
  • Downside part of mean
    -0.60936
  • Upside SD
    1.07332
  • Downside SD
    0.48626
  • N nonnegative terms
    22.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.32472
  • Mean of criterion
    0.98833
  • SD of predictor
    0.23870
  • SD of criterion
    1.16425
  • Covariance
    0.02688
  • r
    0.09671
  • b (slope, estimate of beta)
    0.47169
  • a (intercept, estimate of alpha)
    0.83516
  • Mean Square Error
    1.39444
  • DF error
    26.00000
  • t(b)
    0.49544
  • p(b)
    0.31223
  • t(a)
    1.00310
  • p(a)
    0.16253
  • Lowerbound of 95% confidence interval for beta
    -1.48533
  • Upperbound of 95% confidence interval for beta
    2.42871
  • Lowerbound of 95% confidence interval for alpha
    -0.87624
  • Upperbound of 95% confidence interval for alpha
    2.54656
  • Treynor index (mean / b)
    2.09528
  • Jensen alpha (a)
    0.83516
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47311
  • SD
    0.98807
  • Sharpe ratio (Glass type estimate)
    0.47883
  • Sharpe ratio (Hedges UMVUE)
    0.46538
  • df
    27.00000
  • t
    0.73142
  • p
    0.23541
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75447
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71578
  • Upside Potential Ratio
    1.90288
  • Upside part of mean
    1.25775
  • Downside part of mean
    -0.78464
  • Upside SD
    0.72332
  • Downside SD
    0.66097
  • N nonnegative terms
    22.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.29283
  • Mean of criterion
    0.47311
  • SD of predictor
    0.23850
  • SD of criterion
    0.98807
  • Covariance
    0.00914
  • r
    0.03878
  • b (slope, estimate of beta)
    0.16066
  • a (intercept, estimate of alpha)
    0.42607
  • Mean Square Error
    1.01231
  • DF error
    26.00000
  • t(b)
    0.19789
  • p(b)
    0.42233
  • t(a)
    0.60844
  • p(a)
    0.27409
  • Lowerbound of 95% confidence interval for beta
    -1.50813
  • Upperbound of 95% confidence interval for beta
    1.82945
  • Lowerbound of 95% confidence interval for alpha
    -1.01334
  • Upperbound of 95% confidence interval for alpha
    1.86547
  • Treynor index (mean / b)
    2.94480
  • Jensen alpha (a)
    0.42607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.34932
  • Expected Shortfall on VaR
    0.41934
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05883
  • Expected Shortfall on VaR
    0.15305
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.43189
  • Quartile 1
    1.00572
  • Median
    1.02841
  • Quartile 3
    1.17047
  • Maximum
    2.47254
  • Mean of quarter 1
    0.79923
  • Mean of quarter 2
    1.01702
  • Mean of quarter 3
    1.08303
  • Mean of quarter 4
    1.43948
  • Inter Quartile Range
    0.16475
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.10714
  • Mean of outliers low
    0.61444
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.95067
  • 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)
    -0.33525
  • VaR(95%) (regression method)
    0.31304
  • Expected Shortfall (regression method)
    0.44265
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.21767
  • Quartile 1
    0.36140
  • Median
    0.50514
  • Quartile 3
    0.64887
  • Maximum
    0.79261
  • Mean of quarter 1
    0.21767
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.79261
  • Inter Quartile Range
    0.28747
  • 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)
    0.95097
  • Compounded annual return (geometric extrapolation)
    0.65040
  • Calmar ratio (compounded annual return / max draw down)
    0.82059
  • Compounded annual return / average of 25% largest draw downs
    0.82059
  • Compounded annual return / Expected Shortfall lognormal
    1.55103
  • 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
    1.33774
  • SD
    1.24819
  • Sharpe ratio (Glass type estimate)
    1.07174
  • Sharpe ratio (Hedges UMVUE)
    1.07046
  • df
    628.00000
  • t
    1.66059
  • p
    0.04865
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19500
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33767
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33679
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69184
  • Upside Potential Ratio
    5.74743
  • Upside part of mean
    4.54450
  • Downside part of mean
    -3.20676
  • Upside SD
    0.96806
  • Downside SD
    0.79070
  • N nonnegative terms
    390.00000
  • N negative terms
    239.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    629.00000
  • Mean of predictor
    0.39166
  • Mean of criterion
    1.33774
  • SD of predictor
    0.31591
  • SD of criterion
    1.24819
  • Covariance
    0.20374
  • r
    0.51670
  • b (slope, estimate of beta)
    2.04157
  • a (intercept, estimate of alpha)
    0.53800
  • Mean Square Error
    1.14385
  • DF error
    627.00000
  • t(b)
    15.11190
  • p(b)
    -0.00000
  • t(a)
    0.77734
  • p(a)
    0.21863
  • Lowerbound of 95% confidence interval for beta
    1.77628
  • Upperbound of 95% confidence interval for beta
    2.30687
  • Lowerbound of 95% confidence interval for alpha
    -0.82133
  • Upperbound of 95% confidence interval for alpha
    1.89761
  • Treynor index (mean / b)
    0.65525
  • Jensen alpha (a)
    0.53814
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45917
  • SD
    1.41664
  • Sharpe ratio (Glass type estimate)
    0.32413
  • Sharpe ratio (Hedges UMVUE)
    0.32374
  • df
    628.00000
  • t
    0.50222
  • p
    0.30784
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94133
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58882
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39372
  • Upside Potential Ratio
    3.58507
  • Upside part of mean
    4.18112
  • Downside part of mean
    -3.72195
  • Upside SD
    0.80269
  • Downside SD
    1.16626
  • N nonnegative terms
    390.00000
  • N negative terms
    239.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    629.00000
  • Mean of predictor
    0.34098
  • Mean of criterion
    0.45917
  • SD of predictor
    0.31905
  • SD of criterion
    1.41664
  • Covariance
    0.26812
  • r
    0.59323
  • b (slope, estimate of beta)
    2.63404
  • a (intercept, estimate of alpha)
    -0.43897
  • Mean Square Error
    1.30269
  • DF error
    627.00000
  • t(b)
    18.45180
  • p(b)
    -0.00000
  • t(a)
    -0.59462
  • p(a)
    0.72384
  • Lowerbound of 95% confidence interval for beta
    2.35371
  • Upperbound of 95% confidence interval for beta
    2.91437
  • Lowerbound of 95% confidence interval for alpha
    -1.88867
  • Upperbound of 95% confidence interval for alpha
    1.01073
  • Treynor index (mean / b)
    0.17432
  • Jensen alpha (a)
    -0.43897
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13256
  • Expected Shortfall on VaR
    0.16327
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02205
  • Expected Shortfall on VaR
    0.05358
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    629.00000
  • Minimum
    0.30753
  • Quartile 1
    0.99730
  • Median
    1.00098
  • Quartile 3
    1.00996
  • Maximum
    1.90085
  • Mean of quarter 1
    0.95185
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00363
  • Mean of quarter 4
    1.06587
  • Inter Quartile Range
    0.01266
  • Number outliers low
    80.00000
  • Percentage of outliers low
    0.12719
  • Mean of outliers low
    0.91494
  • Number of outliers high
    98.00000
  • Percentage of outliers high
    0.15580
  • Mean of outliers high
    1.09477
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.03657
  • VaR(95%) (moments method)
    0.02688
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.44944
  • VaR(95%) (regression method)
    0.03079
  • Expected Shortfall (regression method)
    0.07526
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    52.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00060
  • Median
    0.00344
  • Quartile 3
    0.01693
  • Maximum
    0.93396
  • Mean of quarter 1
    0.00021
  • Mean of quarter 2
    0.00146
  • Mean of quarter 3
    0.00821
  • Mean of quarter 4
    0.16794
  • Inter Quartile Range
    0.01632
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.17308
  • Mean of outliers high
    0.23083
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.00338
  • VaR(95%) (moments method)
    0.13211
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.96121
  • VaR(95%) (regression method)
    0.17099
  • Expected Shortfall (regression method)
    4.96068
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.92469
  • Compounded annual return (geometric extrapolation)
    0.62756
  • Calmar ratio (compounded annual return / max draw down)
    0.67194
  • Compounded annual return / average of 25% largest draw downs
    3.73678
  • Compounded annual return / Expected Shortfall lognormal
    3.84365
  • 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
    3.05218
  • SD
    1.01408
  • Sharpe ratio (Glass type estimate)
    3.00981
  • Sharpe ratio (Hedges UMVUE)
    2.99242
  • df
    130.00000
  • t
    2.12826
  • p
    0.40825
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.79994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.78798
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.78612
  • Upside Potential Ratio
    11.93900
  • Upside part of mean
    7.61367
  • Downside part of mean
    -4.56149
  • Upside SD
    0.80584
  • Downside SD
    0.63772
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.62403
  • Mean of criterion
    3.05218
  • SD of predictor
    0.40564
  • SD of criterion
    1.01408
  • Covariance
    0.05129
  • r
    0.12468
  • b (slope, estimate of beta)
    0.31170
  • a (intercept, estimate of alpha)
    2.85767
  • Mean Square Error
    1.02021
  • DF error
    129.00000
  • t(b)
    1.42724
  • p(b)
    0.42083
  • t(a)
    1.99152
  • p(a)
    0.39060
  • Lowerbound of 95% confidence interval for beta
    -0.12040
  • Upperbound of 95% confidence interval for beta
    0.74379
  • Lowerbound of 95% confidence interval for alpha
    0.01864
  • Upperbound of 95% confidence interval for alpha
    5.69670
  • Treynor index (mean / b)
    9.79210
  • Jensen alpha (a)
    2.85767
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.52713
  • SD
    1.01691
  • Sharpe ratio (Glass type estimate)
    2.48511
  • Sharpe ratio (Hedges UMVUE)
    2.47075
  • df
    130.00000
  • t
    1.75724
  • p
    0.42384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26860
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31728
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.25878
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.66788
  • Upside Potential Ratio
    10.61460
  • Upside part of mean
    7.31335
  • Downside part of mean
    -4.78622
  • Upside SD
    0.75887
  • Downside SD
    0.68899
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54178
  • Mean of criterion
    2.52713
  • SD of predictor
    0.40548
  • SD of criterion
    1.01691
  • Covariance
    0.05646
  • r
    0.13692
  • b (slope, estimate of beta)
    0.34338
  • a (intercept, estimate of alpha)
    2.34110
  • Mean Square Error
    1.02258
  • DF error
    129.00000
  • t(b)
    1.56986
  • p(b)
    0.41311
  • t(a)
    1.63143
  • p(a)
    0.40979
  • VAR (95 Confidence Intrvl)
    0.13300
  • Lowerbound of 95% confidence interval for beta
    -0.08939
  • Upperbound of 95% confidence interval for beta
    0.77615
  • Lowerbound of 95% confidence interval for alpha
    -0.49807
  • Upperbound of 95% confidence interval for alpha
    5.18027
  • Treynor index (mean / b)
    7.35959
  • Jensen alpha (a)
    2.34110
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08944
  • Expected Shortfall on VaR
    0.11279
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03449
  • Expected Shortfall on VaR
    0.07291
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.75622
  • Quartile 1
    0.98024
  • Median
    1.01301
  • Quartile 3
    1.04122
  • Maximum
    1.26855
  • Mean of quarter 1
    0.93696
  • Mean of quarter 2
    0.99712
  • Mean of quarter 3
    1.02879
  • Mean of quarter 4
    1.08467
  • Inter Quartile Range
    0.06097
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.84722
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.19300
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03559
  • VaR(95%) (moments method)
    0.05190
  • Expected Shortfall (moments method)
    0.07350
  • Extreme Value Index (regression method)
    0.06208
  • VaR(95%) (regression method)
    0.06540
  • Expected Shortfall (regression method)
    0.09716
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.02649
  • Quartile 1
    0.05670
  • Median
    0.14755
  • Quartile 3
    0.18782
  • Maximum
    0.26332
  • Mean of quarter 1
    0.04380
  • Mean of quarter 2
    0.09275
  • Mean of quarter 3
    0.16795
  • Mean of quarter 4
    0.23687
  • Inter Quartile Range
    0.13112
  • 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)
    -54.86050
  • VaR(95%) (moments method)
    0.25013
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.04872
  • VaR(95%) (regression method)
    0.31682
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.31749
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -380549000
  • Max Equity Drawdown (num days)
    667
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    5.17545
  • Compounded annual return (geometric extrapolation)
    11.87180
  • Calmar ratio (compounded annual return / max draw down)
    45.08440
  • Compounded annual return / average of 25% largest draw downs
    50.12000
  • Compounded annual return / Expected Shortfall lognormal
    105.25500

Strategy Description

This strategy is based on the probability of option-selling. I sell options at the first standard deviation. That means the chance for winning trades is about 85 till 90 percent. Another important thing I analyze before opening a trade is the implied volatility rank. Selling high volatility ranked options is a very profitable way trading options.
The instruments traded are most of time stocks and sometimes also ETFs. I analyze the markets with the Dow Theory, seasonal patterns, Commitment of Traders Report in index futures, self-made money flow indicators and of course by studying fundamentals of companies.
The position size depends on volatility, so sometimes it is more useful to trade more aggressive than most of time.
After entering a trade I place a buy-back-limit order in the market to take profit. So every option will be bought back. I never want to buy a stock or an ETF at the strike price.
Be not afraid to write a message and ask questions.

Best regards,
Tom Williams




Summary Statistics

Strategy began
2016-11-05
Suggested Minimum Capital
$90,000
# Trades
158
# Profitable
141
% Profitable
89.2%
Net Dividends
Correlation S&P500
0.450
Sharpe Ratio
0.50
Sortino Ratio
0.90
Beta
2.18
Alpha
0.07

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.