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OPTIONS INCOME PRO (107294590)

Started: 11/2016
Options
Last trade: 10 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 $199.00 per month.

251.3%
Cumul. Return
32.5%
Max Drawdown
111
Num Trades
87.4%
Win Trades
2.7 : 1
Profit Factor
90.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +15.9%+30.6%+46.7%
2017+34.5%+36.9%+7.2%+4.4%+4.5%+5.1%+5.5%(4.7%)+5.1%                  +139.4%

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.

Trading Record

This strategy has placed 170 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/5/17 9:22 @USZ7 US T-BOND SHORT 2 156 22/32 9/11 9:19 156 8/32 8.65%
Trade id #113534948
Max drawdown($3,156)
Time9/8/17 1:26
Quant open-2
Worst price158 9/32
Drawdown as % of equity-8.65%
$894
Includes Typical Broker Commissions trade costs of $12.00
8/15/17 9:41 VIX1716H12 VIX Aug16'17 12 call SHORT 10 0.40 8/15 16:15 0.95 1.45%
Trade id #113150242
Max drawdown($548)
Time8/15/17 16:15
Quant open0
Worst price0.95
Drawdown as % of equity-1.45%
($555)
Includes Typical Broker Commissions trade costs of $7.00
8/11/17 9:51 VIX1716T13 VIX Aug16'17 13 put SHORT 15 0.45 8/15 16:15 0.05 2.99%
Trade id #113105305
Max drawdown($1,125)
Time8/15/17 8:34
Quant open-15
Worst price1.20
Drawdown as % of equity-2.99%
$579
Includes Typical Broker Commissions trade costs of $21.00
8/7/17 10:21 VIX1716H13 VIX Aug16'17 13 call SHORT 10 0.30 8/15 16:15 0.00 8.63%
Trade id #113017095
Max drawdown($2,900)
Time8/11/17 15:20
Quant open-10
Worst price3.20
Drawdown as % of equity-8.63%
$293
Includes Typical Broker Commissions trade costs of $7.00
7/31/17 11:10 VIX1716H18 VIX Aug16'17 18 call SHORT 20 0.19 8/15 16:15 0.00 5.69%
Trade id #112896955
Max drawdown($1,911)
Time8/10/17 16:15
Quant open-20
Worst price1.15
Drawdown as % of equity-5.69%
$375
Includes Typical Broker Commissions trade costs of $14.00
7/17/17 10:42 VIX1716T11 VIX Aug16'17 11 put SHORT 20 0.40 8/15 16:15 0.00 1.5%
Trade id #112639808
Max drawdown($600)
Time7/25/17 9:56
Quant open-20
Worst price0.70
Drawdown as % of equity-1.50%
$786
Includes Typical Broker Commissions trade costs of $14.00
8/11/17 15:54 UVXY1711T44 UVXY Aug11'17 44 put SHORT 15 1.22 8/11 15:59 0.00 0.11%
Trade id #113112158
Max drawdown($36)
Time8/11/17 15:56
Quant open-10
Worst price1.36
Drawdown as % of equity-0.11%
$1,813
Includes Typical Broker Commissions trade costs of $10.50
8/11/17 14:17 UVXY1711T41 UVXY Aug11'17 41 put SHORT 5 1.44 8/11 14:17 0.00 n/a $717
Includes Typical Broker Commissions trade costs of $3.50
8/11/17 10:09 UVXY1711T40 UVXY Aug11'17 40 put SHORT 5 2.00 8/11 10:09 0.00 n/a $997
Includes Typical Broker Commissions trade costs of $3.50
8/10/17 16:15 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,000 44.00 8/10 16:15 39.50 13.39%
Trade id #113114773
Max drawdown($4,500)
Time8/10/17 16:15
Quant open500
Worst price40.00
Drawdown as % of equity-13.39%
($4,510)
Includes Typical Broker Commissions trade costs of $10.00
8/10/17 16:15 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 500 38.00 8/10 16:15 44.00 8.93%
Trade id #113114717
Max drawdown($3,000)
Time8/10/17 16:15
Quant open0
Worst price44.00
Drawdown as % of equity-8.93%
($3,005)
Includes Typical Broker Commissions trade costs of $5.00
8/2/17 10:44 UVXY1711H40 UVXY Aug11'17 40 call SHORT 5 0.48 8/10 16:15 0.00 5.6%
Trade id #112943641
Max drawdown($1,882)
Time8/10/17 16:14
Quant open-5
Worst price4.25
Drawdown as % of equity-5.60%
$239
Includes Typical Broker Commissions trade costs of $3.50
8/2/17 10:30 UVXY1711H39 UVXY Aug11'17 39 call SHORT 5 0.45 8/10 16:15 0.00 5.57%
Trade id #112943004
Max drawdown($1,873)
Time8/10/17 16:14
Quant open-5
Worst price4.20
Drawdown as % of equity-5.57%
$224
Includes Typical Broker Commissions trade costs of $3.50
8/2/17 10:23 UVXY1711H38 UVXY Aug11'17 38 call SHORT 5 0.47 8/10 16:15 0.00 7.33%
Trade id #112942707
Max drawdown($2,464)
Time8/10/17 16:14
Quant open-5
Worst price5.40
Drawdown as % of equity-7.33%
$233
Includes Typical Broker Commissions trade costs of $3.50
7/24/17 13:15 UVXY1704H37 UVXY Aug4'17 37 call SHORT 5 0.49 8/3 16:15 0.00 1.26%
Trade id #112751040
Max drawdown($504)
Time7/27/17 13:39
Quant open-5
Worst price1.50
Drawdown as % of equity-1.26%
$243
Includes Typical Broker Commissions trade costs of $3.50
7/25/17 14:32 UVXY1728G32 UVXY Jul28'17 32 call SHORT 5 0.30 7/27 16:15 0.00 1.88%
Trade id #112774995
Max drawdown($750)
Time7/27/17 13:41
Quant open-5
Worst price1.80
Drawdown as % of equity-1.88%
$147
Includes Typical Broker Commissions trade costs of $3.50
7/14/17 11:01 VIX1719G12 VIX Jul19'17 12 call SHORT 20 0.20 7/18 16:15 0.00 0.13%
Trade id #112610206
Max drawdown($50)
Time7/14/17 11:03
Quant open-10
Worst price0.25
Drawdown as % of equity-0.13%
$386
Includes Typical Broker Commissions trade costs of $14.00
6/27/17 15:35 VIX1719G18 VIX Jul19'17 18 call SHORT 30 0.25 7/18 16:15 0.00 2.27%
Trade id #112242997
Max drawdown($860)
Time6/29/17 13:30
Quant open-20
Worst price0.68
Drawdown as % of equity-2.27%
$729
Includes Typical Broker Commissions trade costs of $21.00
6/27/17 15:30 VIX1719G17 VIX Jul19'17 17 call SHORT 20 0.33 7/18 16:15 0.00 1.19%
Trade id #112242824
Max drawdown($450)
Time6/29/17 13:28
Quant open-10
Worst price0.75
Drawdown as % of equity-1.19%
$636
Includes Typical Broker Commissions trade costs of $14.00
6/30/17 13:59 UVXY1707G14 UVXY Jul7'17 14 call SHORT 10 0.20 7/6 16:15 0.00 0.02%
Trade id #112308638
Max drawdown($7)
Time6/30/17 14:01
Quant open-10
Worst price0.21
Drawdown as % of equity-0.02%
$196
Includes Typical Broker Commissions trade costs of $7.00
6/20/17 10:24 VIX1721F11 VIX Jun21'17 11 call SHORT 10 0.30 6/20 16:15 0.00 0.45%
Trade id #112134999
Max drawdown($170)
Time6/20/17 15:51
Quant open-10
Worst price0.47
Drawdown as % of equity-0.45%
$293
Includes Typical Broker Commissions trade costs of $7.00
6/8/17 12:46 VIX1721F17 VIX Jun21'17 17 call SHORT 30 0.18 6/20 16:15 0.00 0.36%
Trade id #111973116
Max drawdown($130)
Time6/9/17 14:51
Quant open-10
Worst price0.28
Drawdown as % of equity-0.36%
$529
Includes Typical Broker Commissions trade costs of $21.00
6/5/17 10:11 VIX1721R11 VIX Jun21'17 11 put SHORT 10 0.37 6/20 16:15 0.29 0.75%
Trade id #111914376
Max drawdown($279)
Time6/19/17 10:32
Quant open-10
Worst price0.65
Drawdown as % of equity-0.75%
$66
Includes Typical Broker Commissions trade costs of $14.00
6/5/17 10:00 VIX1721F15 VIX Jun21'17 15 call SHORT 30 0.30 6/20 16:15 0.00 1.27%
Trade id #111913965
Max drawdown($450)
Time6/7/17 12:51
Quant open-30
Worst price0.45
Drawdown as % of equity-1.27%
$879
Includes Typical Broker Commissions trade costs of $21.00
6/5/17 9:55 VIX1721F13 VIX Jun21'17 13 call SHORT 10 0.40 6/20 16:15 0.00 0.28%
Trade id #111913817
Max drawdown($100)
Time6/7/17 12:52
Quant open-5
Worst price0.70
Drawdown as % of equity-0.28%
$393
Includes Typical Broker Commissions trade costs of $7.00
5/30/17 9:15 @USM7 US T-BOND SHORT 1 154 16/32 6/8 10:07 155 10/32 6.17%
Trade id #111828130
Max drawdown($2,156)
Time6/6/17 7:29
Quant open-1
Worst price156 21/32
Drawdown as % of equity-6.17%
($819)
Includes Typical Broker Commissions trade costs of $6.00
5/31/17 12:58 UVXY1702F13 UVXY Jun2'17 13 call SHORT 15 0.12 6/1 16:15 0.00 0.06%
Trade id #111854329
Max drawdown($23)
Time5/31/17 14:14
Quant open-15
Worst price0.14
Drawdown as % of equity-0.06%
$177
Includes Typical Broker Commissions trade costs of $10.50
5/17/17 10:49 UVXY1726E24 UVXY May26'17 24 call SHORT 10 0.21 5/25 16:15 0.00 0.66%
Trade id #111642440
Max drawdown($229)
Time5/18/17 9:33
Quant open-10
Worst price0.44
Drawdown as % of equity-0.66%
$204
Includes Typical Broker Commissions trade costs of $7.00
5/17/17 10:23 UVXY1726E22 UVXY May26'17 22 call SHORT 10 0.21 5/25 16:15 0.00 1.14%
Trade id #111641068
Max drawdown($394)
Time5/17/17 16:12
Quant open-10
Worst price0.60
Drawdown as % of equity-1.14%
$199
Includes Typical Broker Commissions trade costs of $7.00
5/17/17 10:21 UVXY1726E20 UVXY May26'17 20 call SHORT 10 0.28 5/25 16:15 0.00 1.45%
Trade id #111640996
Max drawdown($500)
Time5/17/17 16:12
Quant open-10
Worst price0.78
Drawdown as % of equity-1.45%
$272
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    11/23/2016
  • Starting Unit Size
    $10,000
  • Strategy Age (days)
    305.51
  • Age
    10 months ago
  • What it trades
    Options
  • # Trades
    111
  • # Profitable
    97
  • % Profitable
    87.40%
  • Avg trade duration
    5.2 days
  • Max peak-to-valley drawdown
    32.46%
  • drawdown period
    Aug 08, 2017 - Aug 11, 2017
  • Cumul. Return
    240.9%
  • Avg win
    $503.70
  • Avg loss
    $1,272
  • Model Account Values (Raw)
  • Cash
    $41,492
  • Margin Used
    $3,477
  • Buying Power
    $38,015
  • Ratios
  • W:L ratio
    2.74:1
  • Sharpe Ratio
    5.437
  • Sortino Ratio
    10.46
  • Calmar Ratio
    22.724
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27000
  • Return Statistics
  • Ann Return (w trading costs)
    326.5%
  • Ann Return (Compnd, No Fees)
    437.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    915
  • Popularity (Last 6 weeks)
    995
  • C2 Score
    98.5
  • 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
    $1,273
  • Avg Win
    $504
  • # Winners
    97
  • # Losers
    14
  • % Winners
    87.4%
  • Frequency
  • Avg Position Time (mins)
    7519.83
  • Avg Position Time (hrs)
    125.33
  • Avg Trade Length
    5.2 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.96104
  • SD
    0.67452
  • Sharpe ratio (Glass type estimate)
    2.90733
  • Sharpe ratio (Hedges UMVUE)
    2.62446
  • df
    8.00000
  • t
    2.51782
  • p
    0.01797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.50492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.22746
  • Statistics related to Sortino ratio
  • Sortino ratio
    68.23410
  • Upside Potential Ratio
    69.38880
  • Upside part of mean
    1.99423
  • Downside part of mean
    -0.03319
  • Upside SD
    0.85092
  • Downside SD
    0.02874
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.11104
  • Mean of criterion
    1.96104
  • SD of predictor
    0.05498
  • SD of criterion
    0.67452
  • Covariance
    0.02620
  • r
    0.70641
  • b (slope, estimate of beta)
    8.66653
  • a (intercept, estimate of alpha)
    0.99874
  • Mean Square Error
    0.26049
  • DF error
    7.00000
  • t(b)
    2.64057
  • p(b)
    0.01670
  • t(a)
    1.44135
  • p(a)
    0.09634
  • Lowerbound of 95% confidence interval for beta
    0.90563
  • Upperbound of 95% confidence interval for beta
    16.42740
  • Lowerbound of 95% confidence interval for alpha
    -0.63976
  • Upperbound of 95% confidence interval for alpha
    2.63723
  • Treynor index (mean / b)
    0.22628
  • Jensen alpha (a)
    0.99874
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.67434
  • SD
    0.54705
  • Sharpe ratio (Glass type estimate)
    3.06070
  • Sharpe ratio (Hedges UMVUE)
    2.76291
  • df
    8.00000
  • t
    2.65065
  • p
    0.01461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.69655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.40009
  • Statistics related to Sortino ratio
  • Sortino ratio
    57.66610
  • Upside Potential Ratio
    58.82080
  • Upside part of mean
    1.70787
  • Downside part of mean
    -0.03353
  • Upside SD
    0.70625
  • Downside SD
    0.02904
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.10895
  • Mean of criterion
    1.67434
  • SD of predictor
    0.05443
  • SD of criterion
    0.54705
  • Covariance
    0.02080
  • r
    0.69849
  • b (slope, estimate of beta)
    7.02039
  • a (intercept, estimate of alpha)
    0.90943
  • Mean Square Error
    0.17515
  • DF error
    7.00000
  • t(b)
    2.58240
  • p(b)
    0.01817
  • t(a)
    1.60450
  • p(a)
    0.07632
  • Lowerbound of 95% confidence interval for beta
    0.59201
  • Upperbound of 95% confidence interval for beta
    13.44880
  • Lowerbound of 95% confidence interval for alpha
    -0.43085
  • Upperbound of 95% confidence interval for alpha
    2.24972
  • Treynor index (mean / b)
    0.23850
  • Jensen alpha (a)
    0.90943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11328
  • Expected Shortfall on VaR
    0.16851
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00149
  • Expected Shortfall on VaR
    0.00541
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.97744
  • Quartile 1
    1.04472
  • Median
    1.05672
  • Quartile 3
    1.29230
  • Maximum
    1.52852
  • Mean of quarter 1
    1.02121
  • Mean of quarter 2
    1.05379
  • Mean of quarter 3
    1.19130
  • Mean of quarter 4
    1.46896
  • Inter Quartile Range
    0.24758
  • 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
    1.00000
  • Minimum
    0.02256
  • Quartile 1
    0.02256
  • Median
    0.02256
  • Quartile 3
    0.02256
  • Maximum
    0.02256
  • 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)
    3.44633
  • Compounded annual return (geometric extrapolation)
    4.48628
  • Calmar ratio (compounded annual return / max draw down)
    198.84900
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    26.62300
  • 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
    1.61674
  • SD
    0.29631
  • Sharpe ratio (Glass type estimate)
    5.45627
  • Sharpe ratio (Hedges UMVUE)
    5.43739
  • df
    217.00000
  • t
    4.97707
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.24124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.65945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22866
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.64612
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.45990
  • Upside Potential Ratio
    14.56180
  • Upside part of mean
    2.25076
  • Downside part of mean
    -0.63401
  • Upside SD
    0.27108
  • Downside SD
    0.15457
  • N nonnegative terms
    138.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    218.00000
  • Mean of predictor
    0.12679
  • Mean of criterion
    1.61674
  • SD of predictor
    0.07128
  • SD of criterion
    0.29631
  • Covariance
    0.00619
  • r
    0.29301
  • b (slope, estimate of beta)
    1.21804
  • a (intercept, estimate of alpha)
    1.46200
  • Mean Square Error
    0.08063
  • DF error
    216.00000
  • t(b)
    4.50408
  • p(b)
    0.00001
  • t(a)
    4.66919
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.68502
  • Upperbound of 95% confidence interval for beta
    1.75106
  • Lowerbound of 95% confidence interval for alpha
    0.84502
  • Upperbound of 95% confidence interval for alpha
    2.07959
  • Treynor index (mean / b)
    1.32734
  • Jensen alpha (a)
    1.46231
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.56854
  • SD
    0.29412
  • Sharpe ratio (Glass type estimate)
    5.33294
  • Sharpe ratio (Hedges UMVUE)
    5.31449
  • df
    217.00000
  • t
    4.86457
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.12073
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.53353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10841
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.52056
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.77821
  • Upside Potential Ratio
    13.80840
  • Upside part of mean
    2.21503
  • Downside part of mean
    -0.64649
  • Upside SD
    0.26414
  • Downside SD
    0.16041
  • N nonnegative terms
    138.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    218.00000
  • Mean of predictor
    0.12422
  • Mean of criterion
    1.56854
  • SD of predictor
    0.07131
  • SD of criterion
    0.29412
  • Covariance
    0.00617
  • r
    0.29424
  • b (slope, estimate of beta)
    1.21362
  • a (intercept, estimate of alpha)
    1.41778
  • Mean Square Error
    0.07938
  • DF error
    216.00000
  • t(b)
    4.52482
  • p(b)
    0.00000
  • t(a)
    4.56361
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.68497
  • Upperbound of 95% confidence interval for beta
    1.74227
  • Lowerbound of 95% confidence interval for alpha
    0.80545
  • Upperbound of 95% confidence interval for alpha
    2.03012
  • Treynor index (mean / b)
    1.29245
  • Jensen alpha (a)
    1.41778
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02362
  • Expected Shortfall on VaR
    0.03098
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00425
  • Expected Shortfall on VaR
    0.01037
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    218.00000
  • Minimum
    0.90055
  • Quartile 1
    1.00000
  • Median
    1.00364
  • Quartile 3
    1.01069
  • Maximum
    1.10294
  • Mean of quarter 1
    0.99056
  • Mean of quarter 2
    1.00082
  • Mean of quarter 3
    1.00630
  • Mean of quarter 4
    1.02732
  • Inter Quartile Range
    0.01069
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03670
  • Mean of outliers low
    0.96207
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.08716
  • Mean of outliers high
    1.04629
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75538
  • VaR(95%) (moments method)
    0.00388
  • Expected Shortfall (moments method)
    0.01967
  • Extreme Value Index (regression method)
    0.48276
  • VaR(95%) (regression method)
    0.00675
  • Expected Shortfall (regression method)
    0.01852
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00104
  • Quartile 1
    0.00468
  • Median
    0.00785
  • Quartile 3
    0.01561
  • Maximum
    0.17319
  • Mean of quarter 1
    0.00225
  • Mean of quarter 2
    0.00618
  • Mean of quarter 3
    0.01115
  • Mean of quarter 4
    0.06176
  • Inter Quartile Range
    0.01093
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    0.08546
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49104
  • VaR(95%) (moments method)
    0.06136
  • Expected Shortfall (moments method)
    0.13955
  • Extreme Value Index (regression method)
    1.18598
  • VaR(95%) (regression method)
    0.08089
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.33481
  • Compounded annual return (geometric extrapolation)
    3.93545
  • Calmar ratio (compounded annual return / max draw down)
    22.72370
  • Compounded annual return / average of 25% largest draw downs
    63.71900
  • Compounded annual return / Expected Shortfall lognormal
    127.02400
  • 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
    0.44878
  • SD
    0.28434
  • Sharpe ratio (Glass type estimate)
    1.57833
  • Sharpe ratio (Hedges UMVUE)
    1.56921
  • df
    130.00000
  • t
    1.11605
  • p
    0.45129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35375
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20915
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34757
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27039
  • Upside Potential Ratio
    7.19205
  • Upside part of mean
    1.42163
  • Downside part of mean
    -0.97285
  • Upside SD
    0.20476
  • Downside SD
    0.19767
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10539
  • Mean of criterion
    0.44878
  • SD of predictor
    0.07250
  • SD of criterion
    0.28434
  • Covariance
    0.00733
  • r
    0.35535
  • b (slope, estimate of beta)
    1.39358
  • a (intercept, estimate of alpha)
    0.30190
  • Mean Square Error
    0.07119
  • DF error
    129.00000
  • t(b)
    4.31784
  • p(b)
    0.27863
  • t(a)
    0.79689
  • p(a)
    0.45548
  • Lowerbound of 95% confidence interval for beta
    0.75501
  • Upperbound of 95% confidence interval for beta
    2.03215
  • Lowerbound of 95% confidence interval for alpha
    -0.44767
  • Upperbound of 95% confidence interval for alpha
    1.05148
  • Treynor index (mean / b)
    0.32203
  • Jensen alpha (a)
    0.30190
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40809
  • SD
    0.28550
  • Sharpe ratio (Glass type estimate)
    1.42938
  • Sharpe ratio (Hedges UMVUE)
    1.42112
  • df
    130.00000
  • t
    1.01072
  • p
    0.45585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35053
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20397
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19830
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98822
  • Upside Potential Ratio
    6.82753
  • Upside part of mean
    1.40137
  • Downside part of mean
    -0.99328
  • Upside SD
    0.19848
  • Downside SD
    0.20525
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10275
  • Mean of criterion
    0.40809
  • SD of predictor
    0.07261
  • SD of criterion
    0.28550
  • Covariance
    0.00736
  • r
    0.35526
  • b (slope, estimate of beta)
    1.39693
  • a (intercept, estimate of alpha)
    0.26455
  • Mean Square Error
    0.07178
  • DF error
    129.00000
  • t(b)
    4.31660
  • p(b)
    0.27869
  • t(a)
    0.69558
  • p(a)
    0.46111
  • Lowerbound of 95% confidence interval for beta
    0.75664
  • Upperbound of 95% confidence interval for beta
    2.03722
  • Lowerbound of 95% confidence interval for alpha
    -0.48795
  • Upperbound of 95% confidence interval for alpha
    1.01706
  • Treynor index (mean / b)
    0.29213
  • Jensen alpha (a)
    0.26455
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02708
  • Expected Shortfall on VaR
    0.03420
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00719
  • Expected Shortfall on VaR
    0.01677
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90055
  • Quartile 1
    0.99890
  • Median
    1.00123
  • Quartile 3
    1.00653
  • Maximum
    1.10294
  • Mean of quarter 1
    0.98556
  • Mean of quarter 2
    1.00015
  • Mean of quarter 3
    1.00406
  • Mean of quarter 4
    1.01758
  • Inter Quartile Range
    0.00762
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.96701
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.03632
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55958
  • VaR(95%) (moments method)
    0.00691
  • Expected Shortfall (moments method)
    0.01944
  • Extreme Value Index (regression method)
    0.46625
  • VaR(95%) (regression method)
    0.01047
  • Expected Shortfall (regression method)
    0.02596
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00104
  • Quartile 1
    0.00544
  • Median
    0.01103
  • Quartile 3
    0.02866
  • Maximum
    0.17319
  • Mean of quarter 1
    0.00301
  • Mean of quarter 2
    0.00812
  • Mean of quarter 3
    0.01484
  • Mean of quarter 4
    0.07187
  • Inter Quartile Range
    0.02322
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    0.17319
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.66062
  • VaR(95%) (moments method)
    0.08864
  • Expected Shortfall (moments method)
    0.27000
  • Extreme Value Index (regression method)
    2.23712
  • VaR(95%) (regression method)
    0.13614
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48717
  • Compounded annual return (geometric extrapolation)
    0.54650
  • Calmar ratio (compounded annual return / max draw down)
    3.15556
  • Compounded annual return / average of 25% largest draw downs
    7.60419
  • Compounded annual return / Expected Shortfall lognormal
    15.97720

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%.

Summary Statistics

Strategy began
2016-11-23
Minimum Capital Required
$10,000
# Trades
111
# Profitable
97
% Profitable
87.4%
Correlation S&P500
0.270
Sharpe Ratio
5.437

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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