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

OPTIONS INCOME PRO

Started:   11/2016
Options
Last trade:   12 days ago

Subscription terms. Subscriptions to this system cost $199.00 per month.

202.8%
Cumul. Return
6.7%
Max Drawdown
67
Num Trades
88.1%
Win Trades
6.6 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +16.0%+30.3%+45.7%
2017+34.4%+37.0%+7.0%+6.3%                                                +109.5%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Open positions are hidden from non-subscribers.

This strategy has placed 57 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/7/17 12:03 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 500 17.30 4/8 9:35 17.00 0.9%
Trade id #110818549
Max drawdown($300)
Time4/7/17 14:08
Quant open500
Worst price16.70
Drawdown as % of equity-0.90%
($155)
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
4/4/17 14:46 UVXY1707D17 UVXY Apr7'17 17 call SHORT 5 0.24 4/8 9:35 0.00 2.17%
Trade id #110696442
Max drawdown($729)
Time4/7/17 10:14
Quant open-5
Worst price1.70
Drawdown as % of equity-2.17%
$117
Includes Typical Commission and AutoTrade Fees trade costs of $3.50
4/3/17 15:14 UVXY1707P15.5 UVXY Apr7'17 15.5 put SHORT 10 0.25 4/8 9:35 0.00 4.95%
Trade id #110659162
Max drawdown($1,659)
Time4/5/17 12:22
Quant open-10
Worst price1.91
Drawdown as % of equity-4.95%
$244
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
4/4/17 10:11 UVXY1707D19 UVXY Apr7'17 19 call SHORT 10 0.20 4/8 9:35 0.00 0.59%
Trade id #110685935
Max drawdown($193)
Time4/5/17 16:10
Quant open-10
Worst price0.39
Drawdown as % of equity-0.59%
$190
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
4/1/17 9:35 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 1,000 15.50 4/1 9:35 16.50 3.02%
Trade id #110605982
Max drawdown($1,000)
Time4/1/17 9:35
Quant open0
Worst price16.50
Drawdown as % of equity-3.02%
($1,010)
Includes Typical Commission and AutoTrade Fees trade costs of $10.00
3/27/17 12:06 UVXY1731O16.5 UVXY Mar31'17 16.5 put SHORT 15 0.24 4/1 9:35 0.20 5.55%
Trade id #110447894
Max drawdown($1,761)
Time3/29/17 15:13
Quant open-15
Worst price1.41
Drawdown as % of equity-5.55%
$40
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
3/28/17 10:23 UVXY1731C19 UVXY Mar31'17 19 call SHORT 10 0.20 4/1 9:35 0.00 0.02%
Trade id #110479427
Max drawdown($6)
Time3/28/17 10:26
Quant open-10
Worst price0.21
Drawdown as % of equity-0.02%
$196
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
3/29/17 13:13 UVXY1731C15.5 UVXY Mar31'17 15.5 call SHORT 10 0.34 4/1 9:35 0.00 1.1%
Trade id #110521565
Max drawdown($363)
Time3/31/17 16:02
Quant open-10
Worst price0.70
Drawdown as % of equity-1.10%
$329
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
3/28/17 15:59 UVXY1731C16 UVXY Mar31'17 16 call SHORT 15 0.28 3/31 15:45 0.05 0.17%
Trade id #110493432
Max drawdown($52)
Time3/28/17 16:10
Quant open-5
Worst price0.50
Drawdown as % of equity-0.17%
$331
Includes Typical Commission and AutoTrade Fees trade costs of $21.00
3/27/17 12:54 VIX1719P12 VIX Apr19'17 12 put LONG 10 0.20 3/29 13:15 0.30 0.15%
Trade id #110448997
Max drawdown($50)
Time3/27/17 13:39
Quant open10
Worst price0.15
Drawdown as % of equity-0.15%
$86
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
3/28/17 15:56 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 500 15.69 3/29 9:30 15.48 0.39%
Trade id #110493246
Max drawdown($125)
Time3/28/17 16:10
Quant open-500
Worst price15.94
Drawdown as % of equity-0.39%
$100
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
3/21/17 14:59 VIX1722O13 VIX Mar22'17 13 put SHORT 10 1.00 3/22 11:59 0.35 0.31%
Trade id #110362078
Max drawdown($100)
Time3/21/17 15:12
Quant open-10
Worst price1.10
Drawdown as % of equity-0.31%
$636
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
3/21/17 10:23 VIX1722C11.5 VIX Mar22'17 11.5 call SHORT 10 0.30 3/22 11:59 1.15 2.64%
Trade id #110352977
Max drawdown($850)
Time3/22/17 11:59
Quant open0
Worst price1.15
Drawdown as % of equity-2.64%
($864)
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
3/16/17 10:08 VIX1722C13 VIX Mar22'17 13 call SHORT 10 0.25 3/22 11:59 0.00 0.16%
Trade id #110274284
Max drawdown($50)
Time3/16/17 10:14
Quant open-10
Worst price0.30
Drawdown as % of equity-0.16%
$243
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
3/14/17 14:02 VIX1722C20 VIX Mar22'17 20 call SHORT 20 0.10 3/22 11:59 0.00 0%
Trade id #110226033
Max drawdown$0
Time3/14/17 14:05
Quant open-20
Worst price0.10
Drawdown as % of equity0.00%
$186
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
3/14/17 12:53 VIX1722O12 VIX Mar22'17 12 put SHORT 10 0.30 3/22 11:59 0.00 1.86%
Trade id #110224533
Max drawdown($600)
Time3/21/17 9:40
Quant open-10
Worst price0.90
Drawdown as % of equity-1.86%
$293
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
3/14/17 12:22 VIX1722C19 VIX Mar22'17 19 call SHORT 20 0.10 3/22 11:59 0.00 0.32%
Trade id #110224066
Max drawdown($100)
Time3/15/17 9:31
Quant open-20
Worst price0.15
Drawdown as % of equity-0.32%
$186
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
3/7/17 15:31 VIX1722C15 VIX Mar22'17 15 call SHORT 30 0.25 3/22 11:59 0.00 0.83%
Trade id #110088014
Max drawdown($260)
Time3/9/17 14:18
Quant open-20
Worst price0.38
Drawdown as % of equity-0.83%
$729
Includes Typical Commission and AutoTrade Fees trade costs of $21.00
3/2/17 14:49 UVXY1710O18.5 UVXY Mar10'17 18.5 put SHORT 10 0.26 3/11 9:35 0.00 2.07%
Trade id #109996453
Max drawdown($640)
Time3/3/17 9:31
Quant open-5
Worst price1.53
Drawdown as % of equity-2.07%
$248
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
3/2/17 15:14 UVXY1703C22 UVXY Mar3'17 22 call SHORT 10 0.19 3/4 9:35 0.00 1.01%
Trade id #109997275
Max drawdown($314)
Time3/2/17 15:45
Quant open-10
Worst price0.50
Drawdown as % of equity-1.01%
$179
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
2/24/17 12:47 UVXY1703O19.5 UVXY Mar3'17 19.5 put SHORT 10 0.29 3/4 9:35 0.00 0.62%
Trade id #109839401
Max drawdown($190)
Time2/27/17 13:38
Quant open-10
Worst price0.48
Drawdown as % of equity-0.62%
$282
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
2/23/17 11:10 UVXY1703C30 UVXY Mar3'17 30 call SHORT 10 0.32 3/4 9:35 0.00 7.2%
Trade id #109788247
Max drawdown($2,180)
Time2/24/17 12:19
Quant open-10
Worst price2.50
Drawdown as % of equity-7.20%
$313
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
2/22/17 10:23 UVXY1724N20 UVXY Feb24'17 20 put LONG 10 0.26 2/25 9:35 0.00 0.85%
Trade id #109746392
Max drawdown($260)
Time2/25/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.85%
($267)
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
2/22/17 9:43 UVXY1724B25.5 UVXY Feb24'17 25.5 call SHORT 10 0.20 2/25 9:35 0.00 2.69%
Trade id #109743567
Max drawdown($810)
Time2/22/17 14:11
Quant open-10
Worst price1.01
Drawdown as % of equity-2.69%
$193
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
2/21/17 11:37 UVXY1724B24 UVXY Feb24'17 24 call SHORT 10 0.25 2/25 9:35 0.00 2.31%
Trade id #109712283
Max drawdown($700)
Time2/24/17 9:44
Quant open-10
Worst price0.95
Drawdown as % of equity-2.31%
$243
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
2/21/17 10:06 UVXY1724N19 UVXY Feb24'17 19 put SHORT 10 0.46 2/25 9:35 0.00 0.02%
Trade id #109707985
Max drawdown($6)
Time2/21/17 10:08
Quant open-10
Worst price0.47
Drawdown as % of equity-0.02%
$456
Includes Typical Commission and AutoTrade Fees trade costs of $7.00
2/22/17 13:47 UVXY1724N19.5 UVXY Feb24'17 19.5 put SHORT 20 0.18 2/25 9:35 0.00 0.79%
Trade id #109754775
Max drawdown($240)
Time2/24/17 9:31
Quant open-20
Worst price0.30
Drawdown as % of equity-0.79%
$346
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
2/15/17 11:12 UVXY1717B22 UVXY Feb17'17 22 call SHORT 20 0.13 2/18 9:35 0.00 5.41%
Trade id #109563264
Max drawdown($1,480)
Time2/16/17 11:13
Quant open-20
Worst price0.87
Drawdown as % of equity-5.41%
$246
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
2/16/17 12:52 UVXY1717N19.5 UVXY Feb17'17 19.5 put SHORT 20 0.16 2/18 9:35 0.00 0.63%
Trade id #109604979
Max drawdown($180)
Time2/16/17 15:35
Quant open-20
Worst price0.25
Drawdown as % of equity-0.63%
$306
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
2/15/17 10:28 UVXY1717N18 UVXY Feb17'17 18 put SHORT 20 0.14 2/18 9:35 0.00 0.14%
Trade id #109561423
Max drawdown($40)
Time2/15/17 10:36
Quant open-20
Worst price0.16
Drawdown as % of equity-0.14%
$266
Includes Typical Commission and AutoTrade Fees trade costs of $14.00

Statistics

  • Strategy began
    11/23/2016
  • Starting Unit Size
    $10,000
  • Strategy Age (days)
    151.01
  • Age
    151 days ago
  • What it trades
    Options
  • # Trades
    67
  • # Profitable
    59
  • % Profitable
    88.10%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    6.65%
  • drawdown period
    April 07, 2017 - April 11, 2017
  • Cumul. Return
    196.6%
  • Avg win
    $500.41
  • Avg loss
    $562.25
  • Model Account Values (Raw)
  • Cash
    $35,350
  • Margin Used
    $699
  • Buying Power
    $34,651
  • Ratios
  • W:L ratio
    6.56:1
  • Sharpe Ratio
    8.973
  • Sortino Ratio
    41.746
  • Calmar Ratio
    493.179
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.20800
  • Return Statistics
  • Ann Return (w trading costs)
    1200.8%
  • Ann Return (Compnd, No Fees)
    1928.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    995
  • Popularity (Last 6 weeks)
    997
  • C2 Score
    99.6
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $562
  • Avg Win
    $500
  • # Winners
    59
  • # Losers
    8
  • % Winners
    88.1%
  • Frequency
  • Avg Position Time (mins)
    4236.65
  • Avg Position Time (hrs)
    70.61
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.50717
  • SD
    0.76315
  • Sharpe ratio (Glass type estimate)
    4.59563
  • Sharpe ratio (Hedges UMVUE)
    3.66678
  • df
    4.00000
  • t
    2.96647
  • p
    0.02064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.79057
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.62604
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    3.50717
  • Downside part of mean
    0.00000
  • Upside SD
    1.22104
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.14434
  • Mean of criterion
    3.50717
  • SD of predictor
    0.06169
  • SD of criterion
    0.76315
  • Covariance
    0.04211
  • r
    0.89440
  • b (slope, estimate of beta)
    11.06380
  • a (intercept, estimate of alpha)
    1.91019
  • Mean Square Error
    0.15535
  • DF error
    3.00000
  • t(b)
    3.46355
  • p(b)
    0.02027
  • t(a)
    2.49656
  • p(a)
    0.04399
  • Lowerbound of 95% confidence interval for beta
    0.89794
  • Upperbound of 95% confidence interval for beta
    21.22960
  • Lowerbound of 95% confidence interval for alpha
    -0.52480
  • Upperbound of 95% confidence interval for alpha
    4.34518
  • Treynor index (mean / b)
    0.31700
  • Jensen alpha (a)
    1.91019
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.93367
  • SD
    0.59470
  • Sharpe ratio (Glass type estimate)
    4.93302
  • Sharpe ratio (Hedges UMVUE)
    3.93598
  • df
    4.00000
  • t
    3.18425
  • p
    0.01670
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33871
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.29275
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.01745
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.93367
  • Downside part of mean
    0.00000
  • Upside SD
    1.00007
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.14188
  • Mean of criterion
    2.93367
  • SD of predictor
    0.06091
  • SD of criterion
    0.59470
  • Covariance
    0.03211
  • r
    0.88650
  • b (slope, estimate of beta)
    8.65529
  • a (intercept, estimate of alpha)
    1.70566
  • Mean Square Error
    0.10097
  • DF error
    3.00000
  • t(b)
    3.31827
  • p(b)
    0.02256
  • t(a)
    2.76957
  • p(a)
    0.03480
  • Lowerbound of 95% confidence interval for beta
    0.35427
  • Upperbound of 95% confidence interval for beta
    16.95630
  • Lowerbound of 95% confidence interval for alpha
    -0.25427
  • Upperbound of 95% confidence interval for alpha
    3.66560
  • Treynor index (mean / b)
    0.33894
  • Jensen alpha (a)
    1.70566
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03720
  • Expected Shortfall on VaR
    0.10208
  • 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
    5.00000
  • Minimum
    1.06034
  • Quartile 1
    1.09215
  • Median
    1.28143
  • Quartile 3
    1.50410
  • Maximum
    1.52745
  • Mean of quarter 1
    1.07625
  • Mean of quarter 2
    1.28143
  • Mean of quarter 3
    1.50410
  • Mean of quarter 4
    1.52745
  • Inter Quartile Range
    0.41195
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    5.78232
  • Compounded annual return (geometric extrapolation)
    17.98440
  • 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
    176.18400
  • 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
    2.94826
  • SD
    0.33003
  • Sharpe ratio (Glass type estimate)
    8.93327
  • Sharpe ratio (Hedges UMVUE)
    8.88792
  • df
    148.00000
  • t
    5.87928
  • p
    0.28244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    5.77288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.06670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.74244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    12.03340
  • Statistics related to Sortino ratio
  • Sortino ratio
    43.16000
  • Upside Potential Ratio
    47.55550
  • Upside part of mean
    3.24851
  • Downside part of mean
    -0.30025
  • Upside SD
    0.35887
  • Downside SD
    0.06831
  • N nonnegative terms
    85.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    0.13833
  • Mean of criterion
    2.94826
  • SD of predictor
    0.06646
  • SD of criterion
    0.33003
  • Covariance
    0.00393
  • r
    0.17897
  • b (slope, estimate of beta)
    0.88880
  • a (intercept, estimate of alpha)
    2.82500
  • Mean Square Error
    0.10615
  • DF error
    147.00000
  • t(b)
    2.20547
  • p(b)
    0.38668
  • t(a)
    5.67135
  • p(a)
    0.23857
  • Lowerbound of 95% confidence interval for beta
    0.09238
  • Upperbound of 95% confidence interval for beta
    1.68521
  • Lowerbound of 95% confidence interval for alpha
    1.84081
  • Upperbound of 95% confidence interval for alpha
    3.80982
  • Treynor index (mean / b)
    3.31714
  • Jensen alpha (a)
    2.82531
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.88405
  • SD
    0.31978
  • Sharpe ratio (Glass type estimate)
    9.01893
  • Sharpe ratio (Hedges UMVUE)
    8.97315
  • df
    148.00000
  • t
    5.93566
  • p
    0.28075
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    5.85524
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.15540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.82453
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    12.12180
  • Statistics related to Sortino ratio
  • Sortino ratio
    41.74650
  • Upside Potential Ratio
    46.12680
  • Upside part of mean
    3.18666
  • Downside part of mean
    -0.30261
  • Upside SD
    0.34782
  • Downside SD
    0.06908
  • N nonnegative terms
    85.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    0.13611
  • Mean of criterion
    2.88405
  • SD of predictor
    0.06636
  • SD of criterion
    0.31978
  • Covariance
    0.00382
  • r
    0.17989
  • b (slope, estimate of beta)
    0.86683
  • a (intercept, estimate of alpha)
    2.76607
  • Mean Square Error
    0.09962
  • DF error
    147.00000
  • t(b)
    2.21729
  • p(b)
    0.38610
  • t(a)
    5.73250
  • p(a)
    0.23641
  • Lowerbound of 95% confidence interval for beta
    0.09424
  • Upperbound of 95% confidence interval for beta
    1.63943
  • Lowerbound of 95% confidence interval for alpha
    1.81249
  • Upperbound of 95% confidence interval for alpha
    3.71965
  • Treynor index (mean / b)
    3.32711
  • Jensen alpha (a)
    2.76607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01978
  • Expected Shortfall on VaR
    0.02679
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00172
  • Expected Shortfall on VaR
    0.00412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    149.00000
  • Minimum
    0.97089
  • Quartile 1
    1.00000
  • Median
    1.00167
  • Quartile 3
    1.01123
  • Maximum
    1.12000
  • Mean of quarter 1
    0.99663
  • Mean of quarter 2
    1.00024
  • Mean of quarter 3
    1.00634
  • Mean of quarter 4
    1.03152
  • Inter Quartile Range
    0.01123
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01342
  • Mean of outliers low
    0.97314
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.10067
  • Mean of outliers high
    1.05032
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89752
  • VaR(95%) (moments method)
    0.00240
  • Expected Shortfall (moments method)
    0.02911
  • Extreme Value Index (regression method)
    0.64637
  • VaR(95%) (regression method)
    0.00224
  • Expected Shortfall (regression method)
    0.00834
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00146
  • Median
    0.00426
  • Quartile 3
    0.00990
  • Maximum
    0.03460
  • Mean of quarter 1
    0.00090
  • Mean of quarter 2
    0.00359
  • Mean of quarter 3
    0.00848
  • Mean of quarter 4
    0.02650
  • Inter Quartile Range
    0.00844
  • 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
    0.15385
  • Mean of outliers high
    0.03288
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.00301
  • VaR(95%) (moments method)
    0.02398
  • Expected Shortfall (moments method)
    0.02592
  • Extreme Value Index (regression method)
    -1.33757
  • VaR(95%) (regression method)
    0.03147
  • Expected Shortfall (regression method)
    0.03280
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    5.77781
  • Compounded annual return (geometric extrapolation)
    17.06540
  • Calmar ratio (compounded annual return / max draw down)
    493.17900
  • Compounded annual return / average of 25% largest draw downs
    644.08900
  • Compounded annual return / Expected Shortfall lognormal
    636.91400

Strategy Description

This system is aggressive and targets on 100% annual return, this translates to 8%/mon. It tries to limit the max draw down to less than 15% in normal trading situation. In case of a disaster such as 9-11, we try our best to protect the capital and limit the DD to 30%.

Subscriptions not available

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

Statistics

Strategy began
2016-11-23
Minimum Capital Required
$10,000
# Trades
67
# Profitable
59
% Profitable
88.1%
Correlation S&P500
0.208
Sharpe Ratio
8.973

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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