Credit Spread Master
- hypothetical · Annual Return (Compounded)
- -2.2%
- Max Drawdown
- 31.5%
- Trades
- 263
- Win Trades
- 48.7%
- Profit Factor
- 1.10
- Win Months
- 6.7%
About this strategy
I utilize short-term technical signals to trade a handful of options via credit spreads. I will always hold a position overnight to avoid the PDT Day Trading rule. In most situations, I will hold a position for 1-5 days but can be longer at times.
The strategy will work best when there's some level of volatility in the stock market. The strategy will not do as well during the extreme times in the stock market in terms of volatility (i.e. the VIX index is above 50 or below 15).
Goals for this strategy include:
1. 2-5% monthly return
2. Sharpe ratio above 1.5
3. Sortino ratio above 3
3. Max drawdown capped at 20%
These are of course goals of the strategy and are not guaranteed.
To minimize losses on losing trades, I also trade with a broad market hedge. I will also utilize gamma scalping to attempt to make money during down days. Due to the hedge and the limited number of positions I trade, my position size will typically be larger than most traders (~10-20% per trade).
The strategy will work best when there's some level of volatility in the stock market. The strategy will not do as well during the extreme times in the stock market in terms of volatility (i.e. the VIX index is above 50 or below 15).
Goals for this strategy include:
1. 2-5% monthly return
2. Sharpe ratio above 1.5
3. Sortino ratio above 3
3. Max drawdown capped at 20%
These are of course goals of the strategy and are not guaranteed.
To minimize losses on losing trades, I also trade with a broad market hedge. I will also utilize gamma scalping to attempt to make money during down days. Due to the hedge and the limited number of positions I trade, my position size will typically be larger than most traders (~10-20% per trade).
Premium Collecting Directional Bets
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | 9.3 | 8.5 | -10.0 | -19.7 | 29.9 | 5.9 | 17.9 | ||||||
| 2021 | 7.4 | -10.9 | -8.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -12.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 7/7/2020 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 75 months |
| What it trades | Options |
| # Trades | 263 |
| # Profitable | 128 |
| % Profitable | 48.7% |
| Avg trade duration | 4.4 days |
| Max peak-to-valley drawdown | 31.5% |
| drawdown period | March 05, 2021 - March 05, 2021 |
| Cumul. Return | -1.5% |
| Avg win | $226 |
| Avg loss | $201 |
Ratios
| W:L ratio | 1.07 |
|---|---|
| Sharpe Ratio | -0.02 |
| Sortino Ratio | -0.03 |
| Calmar Ratio | 0.59 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.20 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 141.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -22.8% |
Return Statistics
| Ann Return (w trading costs) | -2.2% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.7% |
Slump
| Current Slump as Pcnt Equity | 23.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.9% |
| Short Options - Percent Covered | 3.7% |
| Percent Trades Stocks | 0.1% |
Automation
| Percentage Signals Automated | 1.4% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 665 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $201 |
|---|---|
| Avg Win | $226 |
| # Winners | 128 |
| Sum Trade PL (losers) | $27,159 |
| Sum Trade PL (winners) | $28,934 |
| Num Months Winners | 5 |
| # Losers | 135 |
| % Winners | 48.7% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 75 |
|---|
Frequency
| Avg Position Time (mins) | 6281.05 |
|---|---|
| Avg Position Time (hrs) | 104.68 |
| Avg Trade Length | 4.40 |
| Last Trade Ago | 2011 |
Leverage
| Daily leverage (average) | 18 |
|---|---|
| Daily leverage (max) | 48.27 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0.16 |
| Treynor Index | -0.01 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.03 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -7.53 |
| MAE:PL (avg, all trades) | -0.07 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.16 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.15 |
| Hold-and-Hope Ratio | -0.13 |
RATIO STATISTICS
| Mean | 0.58 |
|---|---|
| SD | 0.17 |
| Sharpe ratio (Glass type estimate) | 3.44 |
| Sharpe ratio (Hedges UMVUE) | 2.99 |
| df | 6 |
| t | 2.63 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 6.55 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 6.07 |
| Sortino ratio | 16.04 |
| Upside Potential Ratio | 17.35 |
| Upside part of mean | 0.62 |
| Downside part of mean | -0.05 |
| Upside SD | 0.23 |
| Downside SD | 0.04 |
| N nonnegative terms | 6 |
| N negative terms | 1 |
| N of observations | 7 |
| Mean of predictor | 0.35 |
| Mean of criterion | 0.58 |
| SD of predictor | 0.08 |
| SD of criterion | 0.17 |
| Covariance | 0.01 |
| r | 0.68 |
| b (slope, estimate of beta) | 1.52 |
| a (intercept, estimate of alpha) | 0.04 |
| Mean Square Error | 0.02 |
| DF error | 5 |
| t(b) | 2.08 |
| p(b) | 0.05 |
| t(a) | 0.13 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | -0.35 |
| Upperbound of 95% confidence interval for beta | 3.39 |
| Lowerbound of 95% confidence interval for alpha | -0.76 |
| Upperbound of 95% confidence interval for alpha | 0.84 |
| Treynor index (mean / b) | 0.38 |
| Jensen alpha (a) | 0.04 |
| Mean | 0.55 |
| SD | 0.16 |
| Sharpe ratio (Glass type estimate) | 3.45 |
| Sharpe ratio (Hedges UMVUE) | 3.00 |
| df | 6 |
| t | 2.63 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 6.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 6.07 |
| Sortino ratio | 15.15 |
| Upside Potential Ratio | 16.46 |
| Upside part of mean | 0.60 |
| Downside part of mean | -0.05 |
| Upside SD | 0.21 |
| Downside SD | 0.04 |
| N nonnegative terms | 6 |
| N negative terms | 1 |
| N of observations | 7 |
| Mean of predictor | 0.35 |
| Mean of criterion | 0.55 |
| SD of predictor | 0.07 |
| SD of criterion | 0.16 |
| Covariance | 0.01 |
| r | 0.69 |
| b (slope, estimate of beta) | 1.50 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.02 |
| DF error | 5 |
| t(b) | 2.10 |
| p(b) | 0.04 |
| t(a) | 0.11 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | -0.33 |
| Upperbound of 95% confidence interval for beta | 3.34 |
| Lowerbound of 95% confidence interval for alpha | -0.73 |
| Upperbound of 95% confidence interval for alpha | 0.80 |
| Treynor index (mean / b) | 0.37 |
| Jensen alpha (a) | 0.03 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.28 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | 0.80 |
| Sharpe ratio (Hedges UMVUE) | 0.80 |
| df | 170 |
| t | 0.65 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.63 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.63 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.23 |
| Sortino ratio | 1.13 |
| Upside Potential Ratio | 7.02 |
| Upside part of mean | 1.76 |
| Downside part of mean | -1.48 |
| Upside SD | 0.25 |
| Downside SD | 0.25 |
| N nonnegative terms | 83 |
| N negative terms | 88 |
| N of observations | 171 |
| Mean of predictor | 0.28 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.17 |
| SD of criterion | 0.35 |
| Covariance | 0.03 |
| r | 0.59 |
| b (slope, estimate of beta) | 1.24 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.08 |
| DF error | 169 |
| t(b) | 9.40 |
| p(b) | 0.15 |
| t(a) | -0.18 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | 0.98 |
| Upperbound of 95% confidence interval for beta | 1.50 |
| Lowerbound of 95% confidence interval for alpha | -0.77 |
| Upperbound of 95% confidence interval for alpha | 0.64 |
| Treynor index (mean / b) | 0.23 |
| Jensen alpha (a) | -0.06 |
| Mean | 0.22 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | 0.62 |
| Sharpe ratio (Hedges UMVUE) | 0.62 |
| df | 170 |
| t | 0.50 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.80 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.05 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.81 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.05 |
| Sortino ratio | 0.86 |
| Upside Potential Ratio | 6.69 |
| Upside part of mean | 1.73 |
| Downside part of mean | -1.51 |
| Upside SD | 0.24 |
| Downside SD | 0.26 |
| N nonnegative terms | 83 |
| N negative terms | 88 |
| N of observations | 171 |
| Mean of predictor | 0.27 |
| Mean of criterion | 0.22 |
| SD of predictor | 0.17 |
| SD of criterion | 0.35 |
| Covariance | 0.03 |
| r | 0.59 |
| b (slope, estimate of beta) | 1.24 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.08 |
| DF error | 169 |
| t(b) | 9.41 |
| p(b) | 0.15 |
| t(a) | -0.31 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | 0.98 |
| Upperbound of 95% confidence interval for beta | 1.50 |
| Lowerbound of 95% confidence interval for alpha | -0.82 |
| Upperbound of 95% confidence interval for alpha | 0.60 |
| Treynor index (mean / b) | 0.18 |
| Jensen alpha (a) | -0.11 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | -0.04 |
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | -0.11 |
| Sharpe ratio (Hedges UMVUE) | -0.11 |
| df | 130 |
| t | -0.08 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.88 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.66 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.88 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.67 |
| Sortino ratio | -0.15 |
| Upside Potential Ratio | 6.29 |
| Upside part of mean | 1.79 |
| Downside part of mean | -1.83 |
| Upside SD | 0.26 |
| Downside SD | 0.28 |
| N nonnegative terms | 60 |
| N negative terms | 71 |
| N of observations | 131 |
| Mean of predictor | 0.15 |
| Mean of criterion | -0.04 |
| SD of predictor | 0.18 |
| SD of criterion | 0.39 |
| Covariance | 0.04 |
| r | 0.60 |
| b (slope, estimate of beta) | 1.29 |
| a (intercept, estimate of alpha) | -0.23 |
| Mean Square Error | 0.10 |
| DF error | 129 |
| t(b) | 8.52 |
| p(b) | 0.14 |
| t(a) | -0.52 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | 0.99 |
| Upperbound of 95% confidence interval for beta | 1.59 |
| Lowerbound of 95% confidence interval for alpha | -1.11 |
| Upperbound of 95% confidence interval for alpha | 0.65 |
| Treynor index (mean / b) | -0.03 |
| Jensen alpha (a) | -0.23 |
| Mean | -0.12 |
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | -0.30 |
| Sharpe ratio (Hedges UMVUE) | -0.30 |
| df | 130 |
| t | -0.21 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.07 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.47 |
| Sortino ratio | -0.40 |
| Upside Potential Ratio | 5.98 |
| Upside part of mean | 1.75 |
| Downside part of mean | -1.87 |
| Upside SD | 0.26 |
| Downside SD | 0.29 |
| N nonnegative terms | 60 |
| N negative terms | 71 |
| N of observations | 131 |
| Mean of predictor | 0.13 |
| Mean of criterion | -0.12 |
| SD of predictor | 0.18 |
| SD of criterion | 0.39 |
| Covariance | 0.04 |
| r | 0.60 |
| b (slope, estimate of beta) | 1.29 |
| a (intercept, estimate of alpha) | -0.28 |
| Mean Square Error | 0.10 |
| DF error | 129 |
| t(b) | 8.52 |
| p(b) | 0.14 |
| t(a) | -0.64 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | 0.99 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 1.59 |
| Lowerbound of 95% confidence interval for alpha | -1.16 |
| Upperbound of 95% confidence interval for alpha | 0.60 |
| Treynor index (mean / b) | -0.09 |
| Jensen alpha (a) | -0.28 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
ORDER STATISTICS
| Number of observations | 7 |
|---|---|
| Minimum | 0.97 |
| Quartile 1 | 1.03 |
| Median | 1.04 |
| Quartile 3 | 1.08 |
| Maximum | 1.12 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1.04 |
| Mean of quarter 3 | 1.07 |
| Mean of quarter 4 | 1.11 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 171 |
| Minimum | 0.92 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 14 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 12 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.77 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | -0.09 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.92 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 11 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 9 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.71 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | -0.23 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.03 |
| Quartile 1 | 0.03 |
| Median | 0.03 |
| Quartile 3 | 0.03 |
| Maximum | 0.03 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 18 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.01 |
| Maximum | 0.23 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.16 |
| Extreme Value Index (moments method) | 0.87 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.61 |
| Extreme Value Index (regression method) | -0.01 |
| VaR(95%) (regression method) | 0.11 |
| Expected Shortfall (regression method) | 0.18 |
| Number of observations | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.01 |
| Maximum | 0.23 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.15 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.22 |
| Extreme Value Index (moments method) | -760.92 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -3.74 |
| VaR(95%) (regression method) | 0.47 |
| Expected Shortfall (regression method) | 0.47 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -282623744 |
| Max Equity Drawdown (num days) | 59 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.69 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.79 |
| Calmar ratio (compounded annual return / max draw down) | 31.22 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 16.38 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.27 |
| Compounded annual return (geometric extrapolation) | 0.28 |
| Calmar ratio (compounded annual return / max draw down) | 1.23 |
| Compounded annual return / average of 25% largest draw downs | 2.84 |
| Compounded annual return / Expected Shortfall lognormal | 6.53 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.09 |
| Compounded annual return (geometric extrapolation) | -0.09 |
| Calmar ratio (compounded annual return / max draw down) | -0.37 |
| Compounded annual return / average of 25% largest draw downs | -0.57 |
| Compounded annual return / Expected Shortfall lognormal | -1.75 |
Trading record
Placed 249 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QQQ2117U316 | long | 1 | Feb 25, 2021 | Mar 5, 2021 | $452 |
| QQQ2117I310 | long | 1 | Feb 25, 2021 | Mar 5, 2021 | ($640) |
| QQQ2119O308 | short | 4 | Feb 19, 2021 | Mar 5, 2021 | ($2,394) |
| QQQ2119O295 | long | 4 | Feb 19, 2021 | Mar 5, 2021 | $1,086 |
| SPY2119O369 | short | 3 | Feb 19, 2021 | Mar 5, 2021 | ($214) |
| SPY2119O356 | long | 3 | Feb 19, 2021 | Mar 5, 2021 | $35 |
| SPY2116G377 | long | 1 | Feb 2, 2021 | Mar 5, 2021 | ($393) |
| SPY2116S385 | long | 1 | Feb 2, 2021 | Mar 5, 2021 | ($265) |
| SPY2130F367 | long | 1 | Jan 29, 2021 | Feb 1, 2021 | $101 |
| SPY2130R375 | long | 1 | Jan 29, 2021 | Feb 1, 2021 | ($217) |
| SPY2119N337 | long | 4 | Jan 29, 2021 | Feb 1, 2021 | ($422) |
| SPY2119N349 | short | 4 | Jan 29, 2021 | Feb 1, 2021 | $570 |
| QQQ2119N280 | long | 3 | Jan 29, 2021 | Feb 1, 2021 | ($406) |
| QQQ2119N292 | short | 3 | Jan 29, 2021 | Feb 1, 2021 | $587 |
| QQQ2119N278 | long | 4 | Jan 29, 2021 | Jan 29, 2021 | ($38) |
| SPY2130R378 | long | 1 | Jan 27, 2021 | Jan 28, 2021 | ($443) |
| SPY2130F370 | long | 1 | Jan 27, 2021 | Jan 28, 2021 | $266 |
| QQQ2119N282 | long | 3 | Jan 27, 2021 | Jan 28, 2021 | ($370) |
| QQQ2119N294 | short | 3 | Jan 27, 2021 | Jan 28, 2021 | $527 |
| DIA2119N274 | long | 2 | Jan 27, 2021 | Jan 28, 2021 | ($155) |
| DIA2119N286 | short | 2 | Jan 27, 2021 | Jan 28, 2021 | $227 |
| SPY2119N335 | long | 3 | Jan 27, 2021 | Jan 28, 2021 | ($292) |
| SPY2119N347 | short | 3 | Jan 27, 2021 | Jan 28, 2021 | $419 |
| QQQ2130F325 | long | 1 | Jan 25, 2021 | Jan 27, 2021 | ($190) |
| QQQ2130R331 | long | 1 | Jan 25, 2021 | Jan 27, 2021 | $353 |
| QQQ2130R330 | long | 1 | Jan 21, 2021 | Jan 25, 2021 | $9 |
| QQQ2130F324 | long | 1 | Jan 21, 2021 | Jan 25, 2021 | $42 |
| SPY2130R379 | long | 1 | Jan 15, 2021 | Jan 20, 2021 | ($294) |
| SPY2130F371 | long | 1 | Jan 15, 2021 | Jan 20, 2021 | $301 |
| SPY2119N351 | short | 3 | Jan 15, 2021 | Jan 20, 2021 | $344 |
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.