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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/03/2018
Most recent certification approved 5/3/18 9:31 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 272
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 269
Percent signals followed since 05/03/2018 98.9%
This information was last updated 2/22/19 8:54 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/03/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how AutoTrade calculates the hypothetical results you see on this web site.

Swing Index Options I
(117723809)

Started: 04/2018
Options
Last trade: 18 days ago
Trading style: Options Directional Bets

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 $20.00 per month.

Trading Category: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
14.0%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(15.5%)
Max Drawdown
124
Num Trades
61.3%
Win Trades
1.2 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     (0.1%)+8.1%(3.6%)+5.5%+0.7%(0.1%)(3.2%)(7.5%)+11.4%+10.1%
2019+2.5%+1.1%                                                            +3.5%

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.

Trading Record

This strategy has placed 269 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/29/19 11:00 IWM1915C146 IWM Mar15'19 146 call LONG 1 4.31 1/31 9:33 4.97 0.13%
Trade id #122244484
Max drawdown($23)
Time1/30/19 10:01
Quant open1
Worst price4.08
Drawdown as % of equity-0.13%
$64
Includes Typical Broker Commissions trade costs of $2.00
1/29/19 10:58 SPY1915C263 SPY Mar15'19 263 call LONG 1 6.46 1/30 9:32 7.75 0.01%
Trade id #122244399
Max drawdown($2)
Time1/29/19 11:02
Quant open1
Worst price6.44
Drawdown as % of equity-0.01%
$127
Includes Typical Broker Commissions trade costs of $2.00
1/22/19 9:48 IWM1915C146 IWM Mar15'19 146 call LONG 2 4.55 1/23 9:33 4.29 0.93%
Trade id #122106143
Max drawdown($156)
Time1/22/19 14:58
Quant open2
Worst price3.77
Drawdown as % of equity-0.93%
($55)
Includes Typical Broker Commissions trade costs of $4.00
12/27/18 9:34 QQQ1915N150 QQQ Feb15'19 150 put LONG 1 6.85 1/15/19 9:40 1.38 3.24%
Trade id #121676141
Max drawdown($547)
Time1/15/19 9:37
Quant open1
Worst price1.38
Drawdown as % of equity-3.24%
($549)
Includes Typical Broker Commissions trade costs of $2.00
1/4/19 10:31 SPY1915N251 SPY Feb15'19 251 put LONG 1 6.65 1/7 9:31 5.80 0.5%
Trade id #121784823
Max drawdown($85)
Time1/7/19 9:31
Quant open0
Worst price5.80
Drawdown as % of equity-0.50%
($87)
Includes Typical Broker Commissions trade costs of $2.00
12/13/18 14:04 IWM1918A143 IWM Jan18'19 143 call LONG 1 3.89 1/2/19 9:36 0.25 2.38%
Trade id #121487445
Max drawdown($372)
Time12/26/18 10:16
Quant open1
Worst price0.17
Drawdown as % of equity-2.38%
($366)
Includes Typical Broker Commissions trade costs of $2.00
12/13/18 9:40 IWM1918M146 IWM Jan18'19 146 put LONG 1 4.42 1/2/19 9:32 13.89 n/a $945
Includes Typical Broker Commissions trade costs of $2.00
12/27/18 14:17 IWM1915B128 IWM Feb15'19 128 call LONG 1 5.94 1/2/19 9:31 7.95 n/a $199
Includes Typical Broker Commissions trade costs of $2.00
12/28/18 10:35 SPY1915B247 SPY Feb15'19 247 call LONG 1 10.01 12/31 9:31 10.28 0.39%
Trade id #121697828
Max drawdown($66)
Time12/28/18 15:50
Quant open1
Worst price9.35
Drawdown as % of equity-0.39%
$25
Includes Typical Broker Commissions trade costs of $2.00
12/24/18 13:14 QQQ1915B143 QQQ Feb15'19 143 call LONG 1 7.80 12/27 9:34 12.25 n/a $443
Includes Typical Broker Commissions trade costs of $2.00
12/17/18 14:34 QQQ1918A158 QQQ Jan18'19 158 call LONG 1 5.28 12/27 9:34 1.94 2.91%
Trade id #121533818
Max drawdown($454)
Time12/24/18 13:08
Quant open1
Worst price0.74
Drawdown as % of equity-2.91%
($336)
Includes Typical Broker Commissions trade costs of $2.00
12/21/18 12:07 QQQ1915B150 QQQ Feb15'19 150 call LONG 1 6.96 12/27 9:34 7.64 1.72%
Trade id #121621726
Max drawdown($267)
Time12/24/18 13:15
Quant open1
Worst price4.29
Drawdown as % of equity-1.72%
$66
Includes Typical Broker Commissions trade costs of $2.00
12/17/18 13:37 SPY1918A257 SPY Jan18'19 257 call LONG 1 5.90 12/27 9:32 1.86 3.4%
Trade id #121532117
Max drawdown($542)
Time12/24/18 10:07
Quant open1
Worst price0.48
Drawdown as % of equity-3.40%
($406)
Includes Typical Broker Commissions trade costs of $2.00
12/14/18 14:38 SPY1918A261 SPY Jan18'19 261 call LONG 1 5.75 12/27 9:31 1.08 3.47%
Trade id #121507371
Max drawdown($542)
Time12/26/18 11:09
Quant open1
Worst price0.33
Drawdown as % of equity-3.47%
($469)
Includes Typical Broker Commissions trade costs of $2.00
12/11/18 12:06 SPY1918A265 SPY Jan18'19 265 call LONG 1 6.34 12/27 9:31 0.58 3.96%
Trade id #121446293
Max drawdown($619)
Time12/26/18 10:55
Quant open1
Worst price0.15
Drawdown as % of equity-3.96%
($578)
Includes Typical Broker Commissions trade costs of $2.00
12/21/18 15:12 SPY1915B242 SPY Feb15'19 242 call LONG 1 9.66 12/27 9:31 10.60 2.17%
Trade id #121628165
Max drawdown($340)
Time12/26/18 10:58
Quant open1
Worst price6.26
Drawdown as % of equity-2.17%
$92
Includes Typical Broker Commissions trade costs of $2.00
12/13/18 9:31 IWM1918M145 IWM Jan18'19 145 put LONG 1 4.13 12/26 9:34 17.96 0.01%
Trade id #121478143
Max drawdown($1)
Time12/13/18 9:33
Quant open1
Worst price4.12
Drawdown as % of equity-0.01%
$1,381
Includes Typical Broker Commissions trade costs of $2.00
12/20/18 10:08 SPY1915N252 SPY Feb15'19 252 put LONG 1 9.07 12/21 9:31 11.30 0.02%
Trade id #121593580
Max drawdown($3)
Time12/20/18 10:10
Quant open1
Worst price9.04
Drawdown as % of equity-0.02%
$221
Includes Typical Broker Commissions trade costs of $2.00
12/10/18 10:40 SPY1918A261 SPY Jan18'19 261 call LONG 1 7.16 12/12 9:32 10.17 0.59%
Trade id #121423787
Max drawdown($92)
Time12/10/18 11:05
Quant open1
Worst price6.24
Drawdown as % of equity-0.59%
$299
Includes Typical Broker Commissions trade costs of $2.00
12/10/18 9:53 SPY1918A262 SPY Jan18'19 262 call LONG 1 6.80 12/12 9:32 9.41 0.7%
Trade id #121422653
Max drawdown($109)
Time12/10/18 11:18
Quant open1
Worst price5.71
Drawdown as % of equity-0.70%
$259
Includes Typical Broker Commissions trade costs of $2.00
12/11/18 12:07 QQQ1918A164 QQQ Jan18'19 164 call LONG 1 5.23 12/12 9:31 6.20 0.33%
Trade id #121446321
Max drawdown($53)
Time12/11/18 13:57
Quant open1
Worst price4.70
Drawdown as % of equity-0.33%
$95
Includes Typical Broker Commissions trade costs of $2.00
11/21/18 9:32 IWM1821X147 IWM Dec21'18 147 put LONG 2 4.00 12/10 9:35 4.78 4.36%
Trade id #121094432
Max drawdown($663)
Time12/3/18 9:31
Quant open2
Worst price0.69
Drawdown as % of equity-4.36%
$151
Includes Typical Broker Commissions trade costs of $4.00
12/6/18 11:12 SPY1918A264 SPY Jan18'19 264 call LONG 1 7.30 12/7 9:31 10.10 0.27%
Trade id #121378404
Max drawdown($41)
Time12/6/18 11:29
Quant open1
Worst price6.89
Drawdown as % of equity-0.27%
$278
Includes Typical Broker Commissions trade costs of $2.00
12/4/18 10:19 IWM1918A153 IWM Jan18'19 153 call LONG 1 3.63 12/6 9:34 1.34 1.51%
Trade id #121331884
Max drawdown($230)
Time12/6/18 9:34
Quant open1
Worst price1.33
Drawdown as % of equity-1.51%
($231)
Includes Typical Broker Commissions trade costs of $2.00
12/3/18 11:00 IWM1918A153 IWM Jan18'19 153 call LONG 1 3.91 12/4 9:31 4.28 0.24%
Trade id #121311033
Max drawdown($37)
Time12/3/18 12:03
Quant open1
Worst price3.54
Drawdown as % of equity-0.24%
$35
Includes Typical Broker Commissions trade costs of $2.00
10/24/18 15:51 QQQ1918M154 QQQ Jan18'19 154 put LONG 1 3.88 12/3 10:56 0.91 2.05%
Trade id #120521532
Max drawdown($311)
Time12/3/18 9:31
Quant open1
Worst price0.77
Drawdown as % of equity-2.05%
($299)
Includes Typical Broker Commissions trade costs of $2.00
10/24/18 15:47 QQQ1918M160 QQQ Jan18'19 160 put LONG 1 5.31 12/3 10:56 1.65 2.66%
Trade id #120521407
Max drawdown($405)
Time12/3/18 9:31
Quant open1
Worst price1.26
Drawdown as % of equity-2.66%
($368)
Includes Typical Broker Commissions trade costs of $2.00
11/1/18 12:15 ZIV VELOCITYSHARES DAILY INVERSE V LONG 100 66.81 12/3 10:55 70.29 2.45%
Trade id #120671754
Max drawdown($378)
Time11/20/18 15:08
Quant open100
Worst price63.03
Drawdown as % of equity-2.45%
$346
Includes Typical Broker Commissions trade costs of $2.00
11/20/18 10:15 QQQ1830W157 QQQ Nov30'18 157 put LONG 2 3.08 12/1 9:36 0.00 4.04%
Trade id #121072737
Max drawdown($615)
Time12/1/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-4.04%
($617)
Includes Typical Broker Commissions trade costs of $2.00
10/31/18 9:45 SPY1821X262 SPY Dec21'18 262 put LONG 2 4.61 11/29 10:40 2.14 3.81%
Trade id #120640190
Max drawdown($631)
Time11/8/18 12:07
Quant open2
Worst price1.45
Drawdown as % of equity-3.81%
($496)
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    4/30/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    297.77
  • Age
    10 months ago
  • What it trades
    Options
  • # Trades
    124
  • # Profitable
    76
  • % Profitable
    61.30%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    15.53%
  • drawdown period
    June 20, 2018 - Nov 27, 2018
  • Cumul. Return
    14.0%
  • Avg win
    $174.39
  • Avg loss
    $223.25
  • Model Account Values (Raw)
  • Cash
    $10,245
  • Margin Used
    $0
  • Buying Power
    $9,750
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.859
  • Sortino Ratio
    1.281
  • Calmar Ratio
    1.599
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.41500
  • Return Statistics
  • Ann Return (w trading costs)
    17.3%
  • Ann Return (Compnd, No Fees)
    21.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    736
  • C2 Score
    41.1
  • Trades-Own-System Certification
  • Trades Own System?
    184387
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $223
  • Avg Win
    $174
  • # Winners
    76
  • # Losers
    48
  • % Winners
    61.3%
  • Frequency
  • Avg Position Time (mins)
    12715.80
  • Avg Position Time (hrs)
    211.93
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18842
  • SD
    0.21171
  • Sharpe ratio (Glass type estimate)
    0.89003
  • Sharpe ratio (Hedges UMVUE)
    0.80343
  • df
    8.00000
  • t
    0.77079
  • p
    0.23149
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43976
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10059
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93295
  • Upside Potential Ratio
    3.90879
  • Upside part of mean
    0.38103
  • Downside part of mean
    -0.19260
  • Upside SD
    0.18247
  • Downside SD
    0.09748
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.01685
  • Mean of criterion
    0.18842
  • SD of predictor
    0.18566
  • SD of criterion
    0.21171
  • Covariance
    -0.00171
  • r
    -0.04360
  • b (slope, estimate of beta)
    -0.04971
  • a (intercept, estimate of alpha)
    0.18926
  • Mean Square Error
    0.05112
  • DF error
    7.00000
  • t(b)
    -0.11546
  • p(b)
    0.54434
  • t(a)
    0.72462
  • p(a)
    0.24610
  • Lowerbound of 95% confidence interval for beta
    -1.06786
  • Upperbound of 95% confidence interval for beta
    0.96843
  • Lowerbound of 95% confidence interval for alpha
    -0.42835
  • Upperbound of 95% confidence interval for alpha
    0.80687
  • Treynor index (mean / b)
    -3.79020
  • Jensen alpha (a)
    0.18926
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16755
  • SD
    0.20598
  • Sharpe ratio (Glass type estimate)
    0.81346
  • Sharpe ratio (Hedges UMVUE)
    0.73431
  • df
    8.00000
  • t
    0.70448
  • p
    0.25056
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50754
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08618
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55728
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02591
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67868
  • Upside Potential Ratio
    3.65289
  • Upside part of mean
    0.36461
  • Downside part of mean
    -0.19705
  • Upside SD
    0.17346
  • Downside SD
    0.09981
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.00122
  • Mean of criterion
    0.16755
  • SD of predictor
    0.18835
  • SD of criterion
    0.20598
  • Covariance
    -0.00115
  • r
    -0.02959
  • b (slope, estimate of beta)
    -0.03236
  • a (intercept, estimate of alpha)
    0.16759
  • Mean Square Error
    0.04845
  • DF error
    7.00000
  • t(b)
    -0.07832
  • p(b)
    0.53012
  • t(a)
    0.65942
  • p(a)
    0.26536
  • Lowerbound of 95% confidence interval for beta
    -1.00932
  • Upperbound of 95% confidence interval for beta
    0.94460
  • Lowerbound of 95% confidence interval for alpha
    -0.43339
  • Upperbound of 95% confidence interval for alpha
    0.76857
  • Treynor index (mean / b)
    -5.17822
  • Jensen alpha (a)
    0.16759
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08042
  • Expected Shortfall on VaR
    0.10277
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03494
  • Expected Shortfall on VaR
    0.06320
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.94742
  • Quartile 1
    0.96703
  • Median
    1.00908
  • Quartile 3
    1.05498
  • Maximum
    1.12448
  • Mean of quarter 1
    0.95442
  • Mean of quarter 2
    1.00535
  • Mean of quarter 3
    1.03970
  • Mean of quarter 4
    1.10447
  • Inter Quartile Range
    0.08796
  • 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)
    -584.14400
  • VaR(95%) (moments method)
    0.04795
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.72853
  • VaR(95%) (regression method)
    0.08540
  • Expected Shortfall (regression method)
    0.08541
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03298
  • Quartile 1
    0.05000
  • Median
    0.06703
  • Quartile 3
    0.08406
  • Maximum
    0.10108
  • Mean of quarter 1
    0.03298
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10108
  • Inter Quartile Range
    0.03406
  • 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)
    0.21051
  • Compounded annual return (geometric extrapolation)
    0.21587
  • Calmar ratio (compounded annual return / max draw down)
    2.13554
  • Compounded annual return / average of 25% largest draw downs
    2.13554
  • Compounded annual return / Expected Shortfall lognormal
    2.10048
  • 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
    0.19294
  • SD
    0.22379
  • Sharpe ratio (Glass type estimate)
    0.86214
  • Sharpe ratio (Hedges UMVUE)
    0.85907
  • df
    211.00000
  • t
    0.77552
  • p
    0.21945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31925
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04159
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03948
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28068
  • Upside Potential Ratio
    7.34301
  • Upside part of mean
    1.10627
  • Downside part of mean
    -0.91333
  • Upside SD
    0.16520
  • Downside SD
    0.15066
  • N nonnegative terms
    103.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    212.00000
  • Mean of predictor
    0.04264
  • Mean of criterion
    0.19294
  • SD of predictor
    0.15987
  • SD of criterion
    0.22379
  • Covariance
    0.01482
  • r
    0.41428
  • b (slope, estimate of beta)
    0.57992
  • a (intercept, estimate of alpha)
    0.16800
  • Mean Square Error
    0.04169
  • DF error
    210.00000
  • t(b)
    6.59621
  • p(b)
    0.00000
  • t(a)
    0.74103
  • p(a)
    0.22975
  • Lowerbound of 95% confidence interval for beta
    0.40660
  • Upperbound of 95% confidence interval for beta
    0.75323
  • Lowerbound of 95% confidence interval for alpha
    -0.27928
  • Upperbound of 95% confidence interval for alpha
    0.61572
  • Treynor index (mean / b)
    0.33271
  • Jensen alpha (a)
    0.16822
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16796
  • SD
    0.22372
  • Sharpe ratio (Glass type estimate)
    0.75073
  • Sharpe ratio (Hedges UMVUE)
    0.74806
  • df
    211.00000
  • t
    0.67531
  • p
    0.25011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43014
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92995
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43198
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92809
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09365
  • Upside Potential Ratio
    7.11597
  • Upside part of mean
    1.09283
  • Downside part of mean
    -0.92487
  • Upside SD
    0.16229
  • Downside SD
    0.15357
  • N nonnegative terms
    103.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    212.00000
  • Mean of predictor
    0.02991
  • Mean of criterion
    0.16796
  • SD of predictor
    0.15988
  • SD of criterion
    0.22372
  • Covariance
    0.01484
  • r
    0.41491
  • b (slope, estimate of beta)
    0.58061
  • a (intercept, estimate of alpha)
    0.15059
  • Mean Square Error
    0.04163
  • DF error
    210.00000
  • t(b)
    6.60833
  • p(b)
    0.00000
  • t(a)
    0.66384
  • p(a)
    0.25376
  • Lowerbound of 95% confidence interval for beta
    0.40741
  • Upperbound of 95% confidence interval for beta
    0.75381
  • Lowerbound of 95% confidence interval for alpha
    -0.29660
  • Upperbound of 95% confidence interval for alpha
    0.59777
  • Treynor index (mean / b)
    0.28928
  • Jensen alpha (a)
    0.15059
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02185
  • Expected Shortfall on VaR
    0.02747
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00800
  • Expected Shortfall on VaR
    0.01725
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    212.00000
  • Minimum
    0.93992
  • Quartile 1
    0.99689
  • Median
    1.00000
  • Quartile 3
    1.00356
  • Maximum
    1.05772
  • Mean of quarter 1
    0.98691
  • Mean of quarter 2
    0.99936
  • Mean of quarter 3
    1.00142
  • Mean of quarter 4
    1.01567
  • Inter Quartile Range
    0.00666
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.08962
  • Mean of outliers low
    0.97328
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.10377
  • Mean of outliers high
    1.02771
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77735
  • VaR(95%) (moments method)
    0.01352
  • Expected Shortfall (moments method)
    0.06467
  • Extreme Value Index (regression method)
    0.58284
  • VaR(95%) (regression method)
    0.01109
  • Expected Shortfall (regression method)
    0.02939
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00190
  • Median
    0.00611
  • Quartile 3
    0.01273
  • Maximum
    0.13530
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00475
  • Mean of quarter 3
    0.01116
  • Mean of quarter 4
    0.08039
  • Inter Quartile Range
    0.01084
  • 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
    0.11111
  • Mean of outliers high
    0.13530
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35182
  • VaR(95%) (moments method)
    0.05091
  • Expected Shortfall (moments method)
    0.10167
  • Extreme Value Index (regression method)
    2.10636
  • VaR(95%) (regression method)
    0.23207
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21224
  • Compounded annual return (geometric extrapolation)
    0.21636
  • Calmar ratio (compounded annual return / max draw down)
    1.59913
  • Compounded annual return / average of 25% largest draw downs
    2.69132
  • Compounded annual return / Expected Shortfall lognormal
    7.87578
  • 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
    0.08744
  • SD
    0.20776
  • Sharpe ratio (Glass type estimate)
    0.42088
  • Sharpe ratio (Hedges UMVUE)
    0.41845
  • df
    130.00000
  • t
    0.29761
  • p
    0.48695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19072
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63614
  • Upside Potential Ratio
    7.26114
  • Upside part of mean
    0.99810
  • Downside part of mean
    -0.91066
  • Upside SD
    0.15482
  • Downside SD
    0.13746
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07233
  • Mean of criterion
    0.08744
  • SD of predictor
    0.19087
  • SD of criterion
    0.20776
  • Covariance
    0.01826
  • r
    0.46044
  • b (slope, estimate of beta)
    0.50118
  • a (intercept, estimate of alpha)
    0.12369
  • Mean Square Error
    0.03428
  • DF error
    129.00000
  • t(b)
    5.89128
  • p(b)
    0.21759
  • t(a)
    0.47228
  • p(a)
    0.47356
  • Lowerbound of 95% confidence interval for beta
    0.33287
  • Upperbound of 95% confidence interval for beta
    0.66950
  • Lowerbound of 95% confidence interval for alpha
    -0.39449
  • Upperbound of 95% confidence interval for alpha
    0.64187
  • Treynor index (mean / b)
    0.17447
  • Jensen alpha (a)
    0.12369
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06610
  • SD
    0.20712
  • Sharpe ratio (Glass type estimate)
    0.31912
  • Sharpe ratio (Hedges UMVUE)
    0.31728
  • df
    130.00000
  • t
    0.22565
  • p
    0.49011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09060
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45480
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08935
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47360
  • Upside Potential Ratio
    7.06704
  • Upside part of mean
    0.98630
  • Downside part of mean
    -0.92020
  • Upside SD
    0.15202
  • Downside SD
    0.13956
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09040
  • Mean of criterion
    0.06610
  • SD of predictor
    0.19086
  • SD of criterion
    0.20712
  • Covariance
    0.01826
  • r
    0.46203
  • b (slope, estimate of beta)
    0.50141
  • a (intercept, estimate of alpha)
    0.11143
  • Mean Square Error
    0.03400
  • DF error
    129.00000
  • t(b)
    5.91717
  • p(b)
    0.21669
  • t(a)
    0.42710
  • p(a)
    0.47608
  • Lowerbound of 95% confidence interval for beta
    0.33376
  • Upperbound of 95% confidence interval for beta
    0.66907
  • Lowerbound of 95% confidence interval for alpha
    -0.40476
  • Upperbound of 95% confidence interval for alpha
    0.62762
  • Treynor index (mean / b)
    0.13182
  • Jensen alpha (a)
    0.11143
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02058
  • Expected Shortfall on VaR
    0.02579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00768
  • Expected Shortfall on VaR
    0.01627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95419
  • Quartile 1
    0.99687
  • Median
    1.00013
  • Quartile 3
    1.00341
  • Maximum
    1.05772
  • Mean of quarter 1
    0.98739
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00143
  • Mean of quarter 4
    1.01394
  • Inter Quartile Range
    0.00655
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.97728
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02724
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70148
  • VaR(95%) (moments method)
    0.01298
  • Expected Shortfall (moments method)
    0.04743
  • Extreme Value Index (regression method)
    0.49154
  • VaR(95%) (regression method)
    0.01058
  • Expected Shortfall (regression method)
    0.02373
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00138
  • Median
    0.00958
  • Quartile 3
    0.01213
  • Maximum
    0.13274
  • Mean of quarter 1
    0.00070
  • Mean of quarter 2
    0.00574
  • Mean of quarter 3
    0.01153
  • Mean of quarter 4
    0.07273
  • Inter Quartile Range
    0.01075
  • 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
    0.14286
  • Mean of outliers high
    0.13274
  • 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)
    0.09625
  • Compounded annual return (geometric extrapolation)
    0.09856
  • Calmar ratio (compounded annual return / max draw down)
    0.74256
  • Compounded annual return / average of 25% largest draw downs
    1.35512
  • Compounded annual return / Expected Shortfall lognormal
    3.82141

Strategy Description

Swing trades high liquidity index options on the S&P500, Russell 2000 and the Nasdaq 100. Trades are automated and executed via a portfolio of trading strategies. The strategies utilize a variety of individual signal combinations that were down selected by a proprietary optimizer from a pool of potential signals to produce a robust mix of out-of-sample results over a six year walk-forward optimization process.

I have traded the systems in personal accounts over the past year with favorable results. Individual trades vary in duration from 1-60 days with an average duration between 2-10 days depending upon the strategy.

Individual trade sizes are tuned to commit no more than 3% of the account or a minimum of one option to any individual trade.

To supplement account returns, hedged equity positions will be held with cash that is not required for the directional option positions.

Summary Statistics

Includes fees & commissions
Strategy began
2018-04-30
Suggested Minimum Capital
$35,000
# Trades
124
# Profitable
76
% Profitable
61.3%
Net Dividends
Correlation S&P500
0.415
Sharpe Ratio
0.859

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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

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