Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $145,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Vertical SandP
(106441266)

Created by: VerticalTraders VerticalTraders
Started: 10/2016
Options
Last trade: 2,099 days ago
Trading style: Options Premium Collecting

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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
3.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(21.1%)
Max Drawdown
56
Num Trades
44.6%
Win Trades
1.7 : 1
Profit Factor
17.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +2.0%+0.5%(1%)+1.5%
2017+2.8%+2.5%+1.0%+1.9%+1.0%+0.6%(0.1%)+3.0%+2.1%(2.2%)+0.2%+1.1%+14.8%
2018(6%)(5%)+7.5%+3.4%+0.6%+0.9%(0.2%)(0.2%)(0.2%)  -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 72 hours.

Trading Record

This strategy has placed 58 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2199 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/24/18 13:07 SPY1820G300 SPY Jul20'18 300 call LONG 18 0.09 7/21 9:37 0.00 0.26%
Trade id #117642887
Max drawdown($162)
Time7/21/18 9:37
Quant open0
Worst price0.00
Drawdown as % of equity-0.26%
 ($175)
Includes Typical Broker Commissions trade costs of $12.60
4/24/18 13:08 SPY1820G281 SPY Jul20'18 281 call SHORT 18 1.00 7/19 15:06 0.27 0.3%
Trade id #117642905
Max drawdown($180)
Time6/20/18 12:55
Quant open-18
Worst price1.10
Drawdown as % of equity-0.30%
 $1,289
Includes Typical Broker Commissions trade costs of $25.20
4/2/18 15:25 SPY1815F297 SPY Jun15'18 297 call LONG 18 0.13 4/24 13:05 0.05 0.23%
Trade id #117335009
Max drawdown($144)
Time4/24/18 12:59
Quant open18
Worst price0.05
Drawdown as % of equity-0.23%
 ($169)
Includes Typical Broker Commissions trade costs of $25.20
4/2/18 15:26 SPY1815F277 SPY Jun15'18 277 call SHORT 18 1.23 4/24 13:01 1.00 4.79%
Trade id #117335027
Max drawdown($2,880)
Time4/18/18 11:08
Quant open-18
Worst price2.83
Drawdown as % of equity-4.79%
 $389
Includes Typical Broker Commissions trade costs of $25.20
4/12/18 12:59 SPY1815R222 SPY Jun15'18 222 put LONG 18 0.69 4/24 13:00 0.51 1.01%
Trade id #117487532
Max drawdown($612)
Time4/17/18 14:57
Quant open18
Worst price0.35
Drawdown as % of equity-1.01%
 ($349)
Includes Typical Broker Commissions trade costs of $25.20
4/12/18 13:00 SPY1815R243 SPY Jun15'18 243 put SHORT 18 1.96 4/24 13:00 1.66 0.76%
Trade id #117487593
Max drawdown($450)
Time4/12/18 13:31
Quant open-18
Worst price2.21
Drawdown as % of equity-0.76%
 $515
Includes Typical Broker Commissions trade costs of $25.20
2/8/18 15:09 SPY1820D301 SPY Apr20'18 301 call LONG 18 0.18 4/21 9:35 0.00 0.53%
Trade id #116400210
Max drawdown($324)
Time4/21/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.53%
 ($337)
Includes Typical Broker Commissions trade costs of $12.60
3/22/18 14:04 SPY1818Q220 SPY May18'18 220 put LONG 15 0.71 4/12 12:55 0.22 1.24%
Trade id #117187916
Max drawdown($735)
Time4/12/18 12:55
Quant open0
Worst price0.22
Drawdown as % of equity-1.24%
 ($756)
Includes Typical Broker Commissions trade costs of $21.00
3/22/18 14:05 SPY1818Q245 SPY May18'18 245 put SHORT 15 1.97 4/12 12:55 0.96 6.06%
Trade id #117187935
Max drawdown($3,615)
Time4/2/18 14:07
Quant open-15
Worst price4.38
Drawdown as % of equity-6.06%
 $1,494
Includes Typical Broker Commissions trade costs of $21.00
2/8/18 15:10 SPY1820D281 SPY Apr20'18 281 call SHORT 18 1.19 4/2 15:23 0.06 8.24%
Trade id #116400231
Max drawdown($4,554)
Time3/13/18 9:49
Quant open-18
Worst price3.72
Drawdown as % of equity-8.24%
 $2,009
Includes Typical Broker Commissions trade costs of $25.20
1/3/18 15:45 SPY1816O254 SPY Mar16'18 254 put SHORT 18 1.25 3/17 9:35 0.00 2.39%
Trade id #115680493
Max drawdown($1,332)
Time3/2/18 10:22
Quant open-18
Worst price1.99
Drawdown as % of equity-2.39%
 $2,237
Includes Typical Broker Commissions trade costs of $12.60
1/3/18 15:44 SPY1816O234 SPY Mar16'18 234 put LONG 18 0.43 3/17 9:35 0.00 1.32%
Trade id #115680332
Max drawdown($774)
Time3/17/18 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-1.32%
 ($787)
Includes Typical Broker Commissions trade costs of $12.60
11/16/17 13:26 SPY1819A285 SPY Jan19'18 285 call LONG 18 0.04 1/20/18 9:36 0.00 0.12%
Trade id #114899167
Max drawdown($72)
Time1/20/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.12%
 ($85)
Includes Typical Broker Commissions trade costs of $12.60
12/1/17 13:25 SPY1819M244 SPY Jan19'18 244 put LONG 18 0.85 1/3/18 15:42 0.05 2.44%
Trade id #115148283
Max drawdown($1,440)
Time1/3/18 12:34
Quant open18
Worst price0.05
Drawdown as % of equity-2.44%
 ($1,465)
Includes Typical Broker Commissions trade costs of $25.20
12/1/17 13:26 SPY1819M254 SPY Jan19'18 254 put SHORT 18 1.26 1/3/18 15:42 0.11 0%
Trade id #115148358
Max drawdown$0
Time12/1/17 15:02
Quant open-9
Worst price1.73
Drawdown as % of equity0.00%
 $2,054
Includes Typical Broker Commissions trade costs of $25.20
11/16/17 13:28 SPY1819A267 SPY Jan19'18 267 call SHORT 18 0.57 1/3/18 15:41 4.27 11.46%
Trade id #114899210
Max drawdown($6,660)
Time1/3/18 15:41
Quant open0
Worst price4.27
Drawdown as % of equity-11.46%
 ($6,685)
Includes Typical Broker Commissions trade costs of $25.20
11/17/17 15:53 SPY1819M223 SPY Jan19'18 223 put LONG 18 0.42 12/8 12:28 0.11 0.91%
Trade id #114923479
Max drawdown($558)
Time12/8/17 12:28
Quant open0
Worst price0.11
Drawdown as % of equity-0.91%
 ($583)
Includes Typical Broker Commissions trade costs of $25.20
11/17/17 15:53 SPY1819M243 SPY Jan19'18 243 put SHORT 18 1.38 12/8 12:28 0.36 0.03%
Trade id #114923501
Max drawdown($18)
Time11/17/17 15:59
Quant open-18
Worst price1.39
Drawdown as % of equity-0.03%
 $1,811
Includes Typical Broker Commissions trade costs of $25.20
9/11/17 15:32 SPY1717K276 SPY Nov17'17 276 call LONG 20 0.04 11/18 9:35 0.00 0.13%
Trade id #113630515
Max drawdown($80)
Time11/18/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.13%
 ($94)
Includes Typical Broker Commissions trade costs of $14.00
9/11/17 15:33 SPY1717K258 SPY Nov17'17 258 call SHORT 20 0.38 11/15 9:34 0.37 5.82%
Trade id #113630527
Max drawdown($3,460)
Time11/7/17 9:54
Quant open-20
Worst price2.11
Drawdown as % of equity-5.82%
 ($8)
Includes Typical Broker Commissions trade costs of $28.00
9/11/17 15:30 SPY1717W216 SPY Nov17'17 216 put LONG 20 0.51 11/1 13:18 0.02 1.62%
Trade id #113630465
Max drawdown($980)
Time11/1/17 13:18
Quant open0
Worst price0.02
Drawdown as % of equity-1.62%
 ($1,008)
Includes Typical Broker Commissions trade costs of $28.00
9/11/17 15:31 SPY1717W234 SPY Nov17'17 234 put SHORT 20 1.47 11/1 13:18 0.09 n/a $2,732
Includes Typical Broker Commissions trade costs of $28.00
6/27/17 15:08 SPY1715I270 SPY Sep15'17 270 call LONG 20 0.04 9/14 16:15 0.00 0.13%
Trade id #112242103
Max drawdown($80)
Time9/14/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-0.13%
 ($94)
Includes Typical Broker Commissions trade costs of $14.00
8/22/17 15:35 SPY1720V218 SPY Oct20'17 218 put LONG 21 0.49 9/11 15:29 0.22 0.93%
Trade id #113282169
Max drawdown($567)
Time9/11/17 12:55
Quant open21
Worst price0.22
Drawdown as % of equity-0.93%
 ($596)
Includes Typical Broker Commissions trade costs of $29.40
8/22/17 15:36 SPY1720V233 SPY Oct20'17 233 put SHORT 21 1.43 9/11 15:28 0.63 1.58%
Trade id #113282217
Max drawdown($945)
Time8/29/17 9:35
Quant open-21
Worst price1.88
Drawdown as % of equity-1.58%
 $1,651
Includes Typical Broker Commissions trade costs of $29.40
8/18/17 12:59 SPY1720J270 SPY Oct20'17 270 call LONG 21 0.02 9/11 15:28 0.02 0.04%
Trade id #113228006
Max drawdown($21)
Time8/22/17 12:30
Quant open21
Worst price0.01
Drawdown as % of equity-0.04%
 ($29)
Includes Typical Broker Commissions trade costs of $29.40
8/18/17 13:00 SPY1720J254 SPY Oct20'17 254 call SHORT 21 0.27 9/11 15:28 0.39 0.91%
Trade id #113228037
Max drawdown($546)
Time9/1/17 13:03
Quant open-21
Worst price0.53
Drawdown as % of equity-0.91%
 ($281)
Includes Typical Broker Commissions trade costs of $29.40
8/18/17 12:57 SPY1720V211 SPY Oct20'17 211 put LONG 21 0.56 8/22 15:34 0.31 0.88%
Trade id #113227972
Max drawdown($525)
Time8/22/17 15:34
Quant open0
Worst price0.31
Drawdown as % of equity-0.88%
 ($554)
Includes Typical Broker Commissions trade costs of $29.40
8/18/17 12:58 SPY1720V228 SPY Oct20'17 228 put SHORT 21 1.52 8/22 15:34 0.97 1%
Trade id #113227998
Max drawdown($588)
Time8/18/17 15:59
Quant open-21
Worst price1.80
Drawdown as % of equity-1.00%
 $1,126
Includes Typical Broker Commissions trade costs of $29.40
7/14/17 14:05 SPY1715U213 SPY Sep15'17 213 put LONG 20 0.34 8/18 12:54 0.17 0.72%
Trade id #112615273
Max drawdown($420)
Time8/8/17 12:37
Quant open20
Worst price0.13
Drawdown as % of equity-0.72%
 ($368)
Includes Typical Broker Commissions trade costs of $28.00
Next

Statistics

  • Strategy began
    10/13/2016
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2739.56
  • Age
    92 months ago
  • What it trades
    Options
  • # Trades
    56
  • # Profitable
    25
  • % Profitable
    44.60%
  • Avg trade duration
    36.7 days
  • Max peak-to-valley drawdown
    21.11%
  • drawdown period
    Aug 27, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    3.4%
  • Avg win
    $1,311
  • Avg loss
    $634.65
  • Model Account Values (Raw)
  • Cash
    $63,118
  • Margin Used
    $0
  • Buying Power
    $63,118
  • Ratios
  • W:L ratio
    1.67:1
  • Sharpe Ratio
    0.04
  • Sortino Ratio
    0.06
  • Calmar Ratio
    0.585
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -79.49%
  • Correlation to SP500
    -0.03140
  • Return Percent SP500 (cumu) during strategy life
    133.69%
  • Return Statistics
  • Ann Return (w trading costs)
    3.4%
  • Slump
  • Current Slump as Pcnt Equity
    3.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.034%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $635
  • Avg Win
    $1,312
  • Sum Trade PL (losers)
    $19,674.000
  • Age
  • Num Months filled monthly returns table
    91
  • Win / Loss
  • Sum Trade PL (winners)
    $32,792.000
  • # Winners
    25
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    31
  • % Winners
    44.6%
  • Frequency
  • Avg Position Time (mins)
    52919.40
  • Avg Position Time (hrs)
    881.99
  • Avg Trade Length
    36.8 days
  • Last Trade Ago
    2094
  • Regression
  • Alpha
    0.00
  • Beta
    -0.01
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    90.37
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.39
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.07
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.764
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.929
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.278
  • Hold-and-Hope Ratio
    0.148
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09077
  • SD
    0.11227
  • Sharpe ratio (Glass type estimate)
    0.80856
  • Sharpe ratio (Hedges UMVUE)
    0.78298
  • df
    24.00000
  • t
    1.16706
  • p
    0.12733
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57639
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17726
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15883
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41847
  • Upside Potential Ratio
    2.95241
  • Upside part of mean
    0.18894
  • Downside part of mean
    -0.09816
  • Upside SD
    0.09323
  • Downside SD
    0.06399
  • N nonnegative terms
    15.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.28783
  • Mean of criterion
    0.09077
  • SD of predictor
    0.19472
  • SD of criterion
    0.11227
  • Covariance
    -0.00489
  • r
    -0.22374
  • b (slope, estimate of beta)
    -0.12900
  • a (intercept, estimate of alpha)
    0.12790
  • Mean Square Error
    0.01249
  • DF error
    23.00000
  • t(b)
    -1.10093
  • p(b)
    0.85884
  • t(a)
    1.51429
  • p(a)
    0.07179
  • Lowerbound of 95% confidence interval for beta
    -0.37139
  • Upperbound of 95% confidence interval for beta
    0.11339
  • Lowerbound of 95% confidence interval for alpha
    -0.04682
  • Upperbound of 95% confidence interval for alpha
    0.30263
  • Treynor index (mean / b)
    -0.70370
  • Jensen alpha (a)
    0.12790
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08430
  • SD
    0.11110
  • Sharpe ratio (Glass type estimate)
    0.75875
  • Sharpe ratio (Hedges UMVUE)
    0.73474
  • df
    24.00000
  • t
    1.09516
  • p
    0.14216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62348
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12570
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10846
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28834
  • Upside Potential Ratio
    2.81731
  • Upside part of mean
    0.18434
  • Downside part of mean
    -0.10004
  • Upside SD
    0.09034
  • Downside SD
    0.06543
  • N nonnegative terms
    15.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.26715
  • Mean of criterion
    0.08430
  • SD of predictor
    0.18447
  • SD of criterion
    0.11110
  • Covariance
    -0.00453
  • r
    -0.22122
  • b (slope, estimate of beta)
    -0.13323
  • a (intercept, estimate of alpha)
    0.11989
  • Mean Square Error
    0.01225
  • DF error
    23.00000
  • t(b)
    -1.08787
  • p(b)
    0.85604
  • t(a)
    1.43808
  • p(a)
    0.08194
  • Lowerbound of 95% confidence interval for beta
    -0.38659
  • Upperbound of 95% confidence interval for beta
    0.12012
  • Lowerbound of 95% confidence interval for alpha
    -0.05257
  • Upperbound of 95% confidence interval for alpha
    0.29235
  • Treynor index (mean / b)
    -0.63271
  • Jensen alpha (a)
    0.11989
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04470
  • Expected Shortfall on VaR
    0.05735
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01608
  • Expected Shortfall on VaR
    0.03404
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.94313
  • Quartile 1
    1.00000
  • Median
    1.00451
  • Quartile 3
    1.02656
  • Maximum
    1.08376
  • Mean of quarter 1
    0.97411
  • Mean of quarter 2
    1.00187
  • Mean of quarter 3
    1.02002
  • Mean of quarter 4
    1.04953
  • Inter Quartile Range
    0.02656
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08000
  • Mean of outliers low
    0.94948
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    1.07893
  • 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)
    -0.43744
  • VaR(95%) (regression method)
    0.03581
  • Expected Shortfall (regression method)
    0.04582
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00482
  • Quartile 1
    0.00616
  • Median
    0.03174
  • Quartile 3
    0.06984
  • Maximum
    0.10877
  • Mean of quarter 1
    0.00482
  • Mean of quarter 2
    0.00660
  • Mean of quarter 3
    0.05687
  • Mean of quarter 4
    0.10877
  • Inter Quartile Range
    0.06368
  • 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)
    0.12640
  • Compounded annual return (geometric extrapolation)
    0.11874
  • Calmar ratio (compounded annual return / max draw down)
    1.09165
  • Compounded annual return / average of 25% largest draw downs
    1.09165
  • Compounded annual return / Expected Shortfall lognormal
    2.07047
  • 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
    0.08984
  • SD
    0.11963
  • Sharpe ratio (Glass type estimate)
    0.75098
  • Sharpe ratio (Hedges UMVUE)
    0.74996
  • df
    553.00000
  • t
    1.09203
  • p
    0.13765
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09854
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01687
  • Upside Potential Ratio
    6.43239
  • Upside part of mean
    0.56830
  • Downside part of mean
    -0.47846
  • Upside SD
    0.08069
  • Downside SD
    0.08835
  • N nonnegative terms
    271.00000
  • N negative terms
    283.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    554.00000
  • Mean of predictor
    0.32153
  • Mean of criterion
    0.08984
  • SD of predictor
    0.25011
  • SD of criterion
    0.11963
  • Covariance
    -0.00129
  • r
    -0.04300
  • b (slope, estimate of beta)
    -0.02057
  • a (intercept, estimate of alpha)
    0.07700
  • Mean Square Error
    0.01431
  • DF error
    552.00000
  • t(b)
    -1.01110
  • p(b)
    0.84379
  • t(a)
    1.16874
  • p(a)
    0.12151
  • Lowerbound of 95% confidence interval for beta
    -0.06052
  • Upperbound of 95% confidence interval for beta
    0.01939
  • Lowerbound of 95% confidence interval for alpha
    -0.06565
  • Upperbound of 95% confidence interval for alpha
    0.25856
  • Treynor index (mean / b)
    -4.36859
  • Jensen alpha (a)
    0.09645
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08264
  • SD
    0.12002
  • Sharpe ratio (Glass type estimate)
    0.68858
  • Sharpe ratio (Hedges UMVUE)
    0.68764
  • df
    553.00000
  • t
    1.00128
  • p
    0.15856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03676
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03611
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92299
  • Upside Potential Ratio
    6.31035
  • Upside part of mean
    0.56503
  • Downside part of mean
    -0.48238
  • Upside SD
    0.07992
  • Downside SD
    0.08954
  • N nonnegative terms
    271.00000
  • N negative terms
    283.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    554.00000
  • Mean of predictor
    0.28962
  • Mean of criterion
    0.08264
  • SD of predictor
    0.25329
  • SD of criterion
    0.12002
  • Covariance
    -0.00124
  • r
    -0.04069
  • b (slope, estimate of beta)
    -0.01928
  • a (intercept, estimate of alpha)
    0.08823
  • Mean Square Error
    0.01441
  • DF error
    552.00000
  • t(b)
    -0.95688
  • p(b)
    0.83048
  • t(a)
    1.06620
  • p(a)
    0.14340
  • Lowerbound of 95% confidence interval for beta
    -0.05887
  • Upperbound of 95% confidence interval for beta
    0.02030
  • Lowerbound of 95% confidence interval for alpha
    -0.07432
  • Upperbound of 95% confidence interval for alpha
    0.25077
  • Treynor index (mean / b)
    -4.28589
  • Jensen alpha (a)
    0.08823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01181
  • Expected Shortfall on VaR
    0.01486
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00414
  • Expected Shortfall on VaR
    0.00919
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    554.00000
  • Minimum
    0.95296
  • Quartile 1
    0.99933
  • Median
    1.00000
  • Quartile 3
    1.00242
  • Maximum
    1.03551
  • Mean of quarter 1
    0.99303
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.00777
  • Inter Quartile Range
    0.00309
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.10289
  • Mean of outliers low
    0.98630
  • Number of outliers high
    58.00000
  • Percentage of outliers high
    0.10469
  • Mean of outliers high
    1.01307
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67946
  • VaR(95%) (moments method)
    0.00504
  • Expected Shortfall (moments method)
    0.01852
  • Extreme Value Index (regression method)
    0.21547
  • VaR(95%) (regression method)
    0.00581
  • Expected Shortfall (regression method)
    0.01060
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00078
  • Median
    0.00153
  • Quartile 3
    0.00804
  • Maximum
    0.16899
  • Mean of quarter 1
    0.00046
  • Mean of quarter 2
    0.00117
  • Mean of quarter 3
    0.00339
  • Mean of quarter 4
    0.03865
  • Inter Quartile Range
    0.00727
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13158
  • Mean of outliers high
    0.06393
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.68705
  • VaR(95%) (moments method)
    0.03567
  • Expected Shortfall (moments method)
    0.12724
  • Extreme Value Index (regression method)
    1.02101
  • VaR(95%) (regression method)
    0.04393
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12454
  • Compounded annual return (geometric extrapolation)
    0.11689
  • Calmar ratio (compounded annual return / max draw down)
    0.69173
  • Compounded annual return / average of 25% largest draw downs
    3.02435
  • Compounded annual return / Expected Shortfall lognormal
    7.86415
  • 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
    0.01597
  • SD
    0.06049
  • Sharpe ratio (Glass type estimate)
    0.26402
  • Sharpe ratio (Hedges UMVUE)
    0.26249
  • df
    130.00000
  • t
    0.18669
  • p
    0.49181
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50846
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03553
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50950
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03448
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51364
  • Upside Potential Ratio
    5.60990
  • Upside part of mean
    0.17442
  • Downside part of mean
    -0.15845
  • Upside SD
    0.05162
  • Downside SD
    0.03109
  • N nonnegative terms
    11.00000
  • N negative terms
    120.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92431
  • Mean of criterion
    0.01597
  • SD of predictor
    0.47829
  • SD of criterion
    0.06049
  • Covariance
    -0.00182
  • r
    -0.06288
  • b (slope, estimate of beta)
    -0.00795
  • a (intercept, estimate of alpha)
    0.02332
  • Mean Square Error
    0.00367
  • DF error
    129.00000
  • t(b)
    -0.71564
  • p(b)
    0.54001
  • t(a)
    0.27018
  • p(a)
    0.48486
  • Lowerbound of 95% confidence interval for beta
    -0.02994
  • Upperbound of 95% confidence interval for beta
    0.01403
  • Lowerbound of 95% confidence interval for alpha
    -0.14746
  • Upperbound of 95% confidence interval for alpha
    0.19410
  • Treynor index (mean / b)
    -2.00810
  • Jensen alpha (a)
    0.02332
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01417
  • SD
    0.06008
  • Sharpe ratio (Glass type estimate)
    0.23583
  • Sharpe ratio (Hedges UMVUE)
    0.23447
  • df
    130.00000
  • t
    0.16676
  • p
    0.49269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53749
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00642
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45398
  • Upside Potential Ratio
    5.54595
  • Upside part of mean
    0.17309
  • Downside part of mean
    -0.15892
  • Upside SD
    0.05108
  • Downside SD
    0.03121
  • N nonnegative terms
    11.00000
  • N negative terms
    120.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.80724
  • Mean of criterion
    0.01417
  • SD of predictor
    0.48564
  • SD of criterion
    0.06008
  • Covariance
    -0.00179
  • r
    -0.06133
  • b (slope, estimate of beta)
    -0.00759
  • a (intercept, estimate of alpha)
    0.02029
  • Mean Square Error
    0.00362
  • DF error
    129.00000
  • t(b)
    -0.69787
  • p(b)
    0.53902
  • t(a)
    0.23711
  • p(a)
    0.48671
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.02910
  • Upperbound of 95% confidence interval for beta
    0.01392
  • Lowerbound of 95% confidence interval for alpha
    -0.14904
  • Upperbound of 95% confidence interval for alpha
    0.18963
  • Treynor index (mean / b)
    -1.86744
  • Jensen alpha (a)
    0.02029
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00603
  • Expected Shortfall on VaR
    0.00757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00200
  • Expected Shortfall on VaR
    0.00420
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99053
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02869
  • Mean of quarter 1
    0.99799
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00268
  • Inter Quartile Range
    0.00000
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99525
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.00737
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.03077
  • VaR(95%) (moments method)
    0.00196
  • Expected Shortfall (moments method)
    0.00243
  • Extreme Value Index (regression method)
    -1.23992
  • VaR(95%) (regression method)
    0.00489
  • Expected Shortfall (regression method)
    0.00702
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00105
  • Quartile 1
    0.00176
  • Median
    0.01050
  • Quartile 3
    0.02060
  • Maximum
    0.02534
  • Mean of quarter 1
    0.00105
  • Mean of quarter 2
    0.00199
  • Mean of quarter 3
    0.01901
  • Mean of quarter 4
    0.02534
  • Inter Quartile Range
    0.01884
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -301685000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04252
  • Compounded annual return (geometric extrapolation)
    0.04297
  • Calmar ratio (compounded annual return / max draw down)
    1.69600
  • Compounded annual return / average of 25% largest draw downs
    1.69600
  • Compounded annual return / Expected Shortfall lognormal
    5.67490

Strategy Description

The goal of VS&P is to provide a relatively steady income stream via capturing time premium and in some cases over-priced volatility premium on S&P 500 Index stock options.

We short a slightly out of the money option, and then purchase a further out of the money option in order to hedge tail-risk, collecting an up-front premium. Many times we are neutral (having sold both put and call verticals at the same time, known as an "Iron Condor" in many circles), although we will also make directional positions when the market decides to trend.

We make mechanical (systematic) timing, direction, and rolling actions in order to optimize the yield curve of the strategy. The goal is to make steady returns regardless of if the market is up/down/sideways.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-10-13
Suggested Minimum Capital
$60,000
# Trades
56
# Profitable
25
% Profitable
44.6%
Correlation S&P500
-0.031
Sharpe Ratio
0.04
Sortino Ratio
0.06
Beta
-0.01
Alpha
0.00

Latest Activity

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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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