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

EXPONENTIAL PREMIUM M
(109475492)

Created by: Options-Advisors Options-Advisors
Started: 02/2017
Options
Last trade: 2,232 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $69.00 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.

-5.0%
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.

(98.5%)
Max Drawdown
110
Num Trades
87.3%
Win Trades
0.8 : 1
Profit Factor
47.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017       (1.1%)+10.1%+6.2%+5.5%(1.4%)+4.2%(6.7%)+4.4%(26%)(16.4%)+5.0%(20.7%)
2018+3.9%(7.6%)(1.7%)+7.6%+0.2%(3%)(1.1%)(3.6%)(5.9%)(19.9%)(14.5%)(29.1%)(57.1%)
2019+35.7%(0.5%)(4.5%)+1.9%(5%)(7.3%)  -  (24.4%)+10.4%(5.2%)+17.6%+13.3%+22.1%
2020(18.3%)(30.7%)(86.7%)+149.0%+59.3%(9.8%)(1.7%)+17.4%(40.5%)(16.6%)+161.6%(2.8%)(60.6%)
2021+7.0%+41.2%(0.7%)+3.5%+25.2%+6.7%(15.5%)(7.3%)+18.3%+10.1%(15.5%)+0.6%+80.1%
2022+46.6%+2.0%+9.4%(6.1%)+26.8%(31.4%)+3.9%+4.1%(11.1%)+61.8%+5.7%+0.5%+120.8%
2023+9.6%(5.4%)(12.6%)+2.2%(12.5%)+10.8%+24.1%+3.1%(1.7%)(3.8%)(6.8%)(0.8%)+0.4%
2024(7.2%)(0.1%)+14.3%                                                      +6.0%

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.

Trading Record

This strategy has placed 208 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2269 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/2/18 10:48 CAT1816N140 CAT Feb16'18 140 put SHORT 2 1.10 2/17 9:35 0.00 2.91%
Trade id #115644769
Max drawdown($420)
Time2/9/18 13:25
Quant open-2
Worst price3.20
Drawdown as % of equity-2.91%
$219
Includes Typical Broker Commissions trade costs of $1.40
12/20/17 14:00 XLU1816N50 XLU Feb16'18 50 put SHORT 4 0.27 2/17/18 9:35 0.00 5.91%
Trade id #115449922
Max drawdown($972)
Time2/6/18 11:30
Quant open-4
Worst price2.70
Drawdown as % of equity-5.91%
$105
Includes Typical Broker Commissions trade costs of $2.80
12/27/17 9:51 CELG1816N95 CELG Feb16'18 95 put SHORT 2 1.29 2/17/18 9:35 0.00 6.75%
Trade id #115538066
Max drawdown($1,092)
Time2/9/18 12:46
Quant open-2
Worst price6.75
Drawdown as % of equity-6.75%
$257
Includes Typical Broker Commissions trade costs of $1.40
1/10/18 10:47 SLB1816N70 SLB Feb16'18 70 put SHORT 3 0.68 2/17 9:35 0.00 11.77%
Trade id #115801360
Max drawdown($1,698)
Time2/9/18 13:44
Quant open-3
Worst price6.34
Drawdown as % of equity-11.77%
$202
Includes Typical Broker Commissions trade costs of $2.10
1/2/18 10:38 MA1816N140 MA Feb16'18 140 put SHORT 2 1.00 2/9 12:58 0.46 n/a $105
Includes Typical Broker Commissions trade costs of $2.80
12/21/17 14:21 AXP1816N90 AXP Feb16'18 90 put SHORT 2 0.60 2/5/18 15:35 1.02 0.55%
Trade id #115470394
Max drawdown($100)
Time2/5/18 15:10
Quant open-2
Worst price1.10
Drawdown as % of equity-0.55%
($87)
Includes Typical Broker Commissions trade costs of $2.80
12/21/17 13:46 PCG1816N40 PCG Feb16'18 40 put SHORT 2 1.00 1/8/18 13:29 0.20 0.91%
Trade id #115469532
Max drawdown($160)
Time12/21/17 14:54
Quant open-2
Worst price1.80
Drawdown as % of equity-0.91%
$157
Includes Typical Broker Commissions trade costs of $2.80
12/15/17 15:37 RHT1819M115 RHT Jan19'18 115 put SHORT 1 1.50 1/4/18 9:31 0.25 0.06%
Trade id #115381162
Max drawdown($10)
Time12/20/17 10:25
Quant open-1
Worst price1.60
Drawdown as % of equity-0.06%
$123
Includes Typical Broker Commissions trade costs of $2.00
11/30/17 11:09 LRCX1819M170 LRCX Jan19'18 170 put SHORT 1 2.40 1/2/18 10:57 0.50 2.24%
Trade id #115121028
Max drawdown($377)
Time12/4/17 11:05
Quant open-1
Worst price6.17
Drawdown as % of equity-2.24%
$188
Includes Typical Broker Commissions trade costs of $2.00
11/30/17 10:57 AABA1819M62.5 AABA Jan19'18 62.5 put SHORT 2 0.75 12/22 9:36 0.15 0.98%
Trade id #115120664
Max drawdown($164)
Time12/5/17 9:31
Quant open-2
Worst price1.57
Drawdown as % of equity-0.98%
$117
Includes Typical Broker Commissions trade costs of $2.80
11/14/17 9:37 AAP1715X90 AAP Dec15'17 90 put SHORT 5 1.55 12/16 9:35 0.00 7.16%
Trade id #114843739
Max drawdown($1,100)
Time11/20/17 10:00
Quant open-5
Worst price3.75
Drawdown as % of equity-7.16%
$772
Includes Typical Broker Commissions trade costs of $3.50
11/30/17 10:52 VMW1819M105 VMW Jan19'18 105 put SHORT 1 1.35 12/13 10:35 0.25 0.39%
Trade id #115120614
Max drawdown($65)
Time12/5/17 9:31
Quant open-1
Worst price2.00
Drawdown as % of equity-0.39%
$108
Includes Typical Broker Commissions trade costs of $2.00
11/30/17 11:32 FIVE1819M50 FIVE Jan19'18 50 put SHORT 2 0.65 12/7 10:52 0.10 0%
Trade id #115121839
Max drawdown$0
Time11/30/17 12:39
Quant open-2
Worst price0.65
Drawdown as % of equity0.00%
$107
Includes Typical Broker Commissions trade costs of $2.80
11/14/17 9:38 AAP1715L100 AAP Dec15'17 100 call SHORT 5 2.48 11/17 15:23 0.40 9.74%
Trade id #114843776
Max drawdown($1,512)
Time11/14/17 10:03
Quant open-5
Worst price5.50
Drawdown as % of equity-9.74%
$1,031
Includes Typical Broker Commissions trade costs of $7.00
10/30/17 11:33 AAP1715L95 AAP Dec15'17 95 call SHORT 12 0.96 11/14 9:34 4.90 25.41%
Trade id #114595275
Max drawdown($4,848)
Time11/14/17 9:34
Quant open-12
Worst price5.00
Drawdown as % of equity-25.41%
($4,745)
Includes Typical Broker Commissions trade costs of $16.80
10/30/17 11:31 AAP1715L90 AAP Dec15'17 90 call SHORT 8 1.90 11/14 9:34 8.30 26.83%
Trade id #114595251
Max drawdown($5,120)
Time11/14/17 9:34
Quant open0
Worst price8.30
Drawdown as % of equity-26.83%
($5,131)
Includes Typical Broker Commissions trade costs of $11.20
8/16/17 9:31 AAP ADVANCE AUTO PARTS LONG 400 86.80 11/14 9:33 96.00 16.6%
Trade id #113171333
Max drawdown($3,196)
Time11/8/17 12:19
Quant open400
Worst price78.81
Drawdown as % of equity-16.60%
$3,672
Includes Typical Broker Commissions trade costs of $8.00
10/18/17 10:21 MAR1717W105 MAR Nov17'17 105 put SHORT 2 0.82 11/8 9:30 2.52 1.74%
Trade id #114348323
Max drawdown($340)
Time11/8/17 9:30
Quant open0
Worst price2.52
Drawdown as % of equity-1.74%
($343)
Includes Typical Broker Commissions trade costs of $2.80
10/18/17 10:12 BWLD1717W90 BWLD Nov17'17 90 put SHORT 2 1.09 11/6 9:30 0.05 1.06%
Trade id #114347973
Max drawdown($211)
Time10/25/17 15:59
Quant open-2
Worst price2.15
Drawdown as % of equity-1.06%
$206
Includes Typical Broker Commissions trade costs of $2.80
10/18/17 9:54 AABA1717W60 AABA Nov17'17 60 put SHORT 2 0.53 10/31 11:58 0.10 0.17%
Trade id #114347466
Max drawdown($35)
Time10/25/17 11:55
Quant open-2
Worst price0.70
Drawdown as % of equity-0.17%
$82
Includes Typical Broker Commissions trade costs of $2.80
10/16/17 10:58 PCG1717W45 PCG Nov17'17 45 put SHORT 2 1.57 10/17 9:30 0.40 n/a $232
Includes Typical Broker Commissions trade costs of $2.80
9/27/17 13:23 PYPL1717W57.5 PYPL Nov17'17 57.5 put SHORT 2 0.80 10/16 9:31 0.17 0.01%
Trade id #113895110
Max drawdown($3)
Time9/28/17 9:46
Quant open-2
Worst price0.81
Drawdown as % of equity-0.01%
$123
Includes Typical Broker Commissions trade costs of $2.80
9/21/17 9:44 JNJ1720V128 JNJ Oct20'17 128 put SHORT 2 0.68 10/11 9:37 0.14 0.46%
Trade id #113785020
Max drawdown($120)
Time9/27/17 15:53
Quant open-2
Worst price1.28
Drawdown as % of equity-0.46%
$106
Includes Typical Broker Commissions trade costs of $2.80
9/25/17 13:31 CCL1717W57.5 CCL Nov17'17 57.5 put SHORT 2 0.70 10/6 9:51 0.16 0%
Trade id #113844576
Max drawdown$0
Time9/25/17 14:37
Quant open-2
Worst price0.70
Drawdown as % of equity0.00%
$105
Includes Typical Broker Commissions trade costs of $2.80
9/13/17 11:39 RHT1720V95 RHT Oct20'17 95 put SHORT 2 0.88 9/26 9:30 0.28 0.15%
Trade id #113662921
Max drawdown($38)
Time9/25/17 15:13
Quant open-2
Worst price1.07
Drawdown as % of equity-0.15%
$118
Includes Typical Broker Commissions trade costs of $2.80
8/30/17 10:27 FDX1720V195 FDX Oct20'17 195 put SHORT 2 1.90 9/20 9:30 0.39 0.11%
Trade id #113445118
Max drawdown($27)
Time8/30/17 11:34
Quant open-2
Worst price2.04
Drawdown as % of equity-0.11%
$299
Includes Typical Broker Commissions trade costs of $2.80
8/30/17 10:32 DG1720V67.5 DG Oct20'17 67.5 put SHORT 2 0.80 9/13 9:54 0.15 0.58%
Trade id #113445308
Max drawdown($140)
Time8/31/17 10:45
Quant open-2
Worst price1.50
Drawdown as % of equity-0.58%
$127
Includes Typical Broker Commissions trade costs of $2.80
8/21/17 9:56 BBY1715U52.5 BBY Sep15'17 52.5 put SHORT 2 0.77 9/6 15:34 0.15 0.17%
Trade id #113254586
Max drawdown($40)
Time8/30/17 10:47
Quant open-2
Worst price0.97
Drawdown as % of equity-0.17%
$121
Includes Typical Broker Commissions trade costs of $2.80
8/17/17 9:57 AMAT1715U41 AMAT Sep15'17 41 put SHORT 2 0.66 8/30 9:56 0.12 0.3%
Trade id #113196125
Max drawdown($68)
Time8/17/17 15:50
Quant open-2
Worst price1.00
Drawdown as % of equity-0.30%
$104
Includes Typical Broker Commissions trade costs of $2.80
8/21/17 10:12 SIG1715U45 SIG Sep15'17 45 put SHORT 2 1.23 8/24 9:35 0.14 0.31%
Trade id #113255550
Max drawdown($73)
Time8/23/17 9:32
Quant open-2
Worst price1.60
Drawdown as % of equity-0.31%
$216
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    2/11/2017
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    2594.7
  • Age
    87 months ago
  • What it trades
    Options
  • # Trades
    110
  • # Profitable
    96
  • % Profitable
    87.30%
  • Avg trade duration
    40.9 days
  • Max peak-to-valley drawdown
    98.52%
  • drawdown period
    Aug 01, 2017 - April 01, 2020
  • Annual Return (Compounded)
    -5.0%
  • Avg win
    $197.18
  • Avg loss
    $1,769
  • Model Account Values (Raw)
  • Cash
    $10,241
  • Margin Used
    $0
  • Buying Power
    $5,627
  • Ratios
  • W:L ratio
    0.84:1
  • Sharpe Ratio
    0.28
  • Sortino Ratio
    0.77
  • Calmar Ratio
    -0.094
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -157.59%
  • Correlation to SP500
    0.39640
  • Return Percent SP500 (cumu) during strategy life
    126.86%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.0%
  • Slump
  • Current Slump as Pcnt Equity
    83.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.050%
  • Instruments
  • Percent Trades Options
    0.98%
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    94.50%
  • Chance of 20% account loss
    71.00%
  • Chance of 30% account loss
    40.00%
  • Chance of 40% account loss
    11.00%
  • 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
    2.50%
  • 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
    $1,770
  • Avg Win
    $197
  • Sum Trade PL (losers)
    $24,779.000
  • Age
  • Num Months filled monthly returns table
    86
  • Win / Loss
  • Sum Trade PL (winners)
    $18,929.000
  • # Winners
    96
  • Num Months Winners
    41
  • Dividends
  • Dividends Received in Model Acct
    1982
  • Win / Loss
  • # Losers
    14
  • % Winners
    87.3%
  • Frequency
  • Avg Position Time (mins)
    58833.40
  • Avg Position Time (hrs)
    980.56
  • Avg Trade Length
    40.9 days
  • Last Trade Ago
    2224
  • Regression
  • Alpha
    0.04
  • Beta
    3.22
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.15
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    21.91
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    25.29
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.80
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    1.10
  • Avg(MAE) / Avg(PL) - All trades
    -7.893
  • 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
    1.193
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.539
  • Hold-and-Hope Ratio
    -0.064
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22799
  • SD
    0.81430
  • Sharpe ratio (Glass type estimate)
    0.27999
  • Sharpe ratio (Hedges UMVUE)
    0.27241
  • df
    28.00000
  • t
    0.43526
  • p
    0.33336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54045
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53521
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41534
  • Upside Potential Ratio
    2.02441
  • Upside part of mean
    1.11126
  • Downside part of mean
    -0.88327
  • Upside SD
    0.58586
  • Downside SD
    0.54893
  • N nonnegative terms
    17.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.28846
  • Mean of criterion
    0.22799
  • SD of predictor
    0.29526
  • SD of criterion
    0.81430
  • Covariance
    0.10108
  • r
    0.42039
  • b (slope, estimate of beta)
    1.15941
  • a (intercept, estimate of alpha)
    -0.10645
  • Mean Square Error
    0.56612
  • DF error
    27.00000
  • t(b)
    2.40751
  • p(b)
    0.01158
  • t(a)
    -0.21141
  • p(a)
    0.58292
  • Lowerbound of 95% confidence interval for beta
    0.17129
  • Upperbound of 95% confidence interval for beta
    2.14753
  • Lowerbound of 95% confidence interval for alpha
    -1.13963
  • Upperbound of 95% confidence interval for alpha
    0.92673
  • Treynor index (mean / b)
    0.19665
  • Jensen alpha (a)
    -0.10645
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13878
  • SD
    0.92092
  • Sharpe ratio (Glass type estimate)
    -0.15070
  • Sharpe ratio (Hedges UMVUE)
    -0.14662
  • df
    28.00000
  • t
    -0.23427
  • p
    0.59176
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11475
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.18263
  • Upside Potential Ratio
    1.28020
  • Upside part of mean
    0.97280
  • Downside part of mean
    -1.11158
  • Upside SD
    0.49298
  • Downside SD
    0.75988
  • N nonnegative terms
    17.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.24552
  • Mean of criterion
    -0.13878
  • SD of predictor
    0.28246
  • SD of criterion
    0.92092
  • Covariance
    0.12159
  • r
    0.46744
  • b (slope, estimate of beta)
    1.52403
  • a (intercept, estimate of alpha)
    -0.51297
  • Mean Square Error
    0.68732
  • DF error
    27.00000
  • t(b)
    2.74756
  • p(b)
    0.00528
  • t(a)
    -0.93196
  • p(a)
    0.82019
  • Lowerbound of 95% confidence interval for beta
    0.38591
  • Upperbound of 95% confidence interval for beta
    2.66214
  • Lowerbound of 95% confidence interval for alpha
    -1.64232
  • Upperbound of 95% confidence interval for alpha
    0.61639
  • Treynor index (mean / b)
    -0.09106
  • Jensen alpha (a)
    -0.51297
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.36163
  • Expected Shortfall on VaR
    0.42608
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14904
  • Expected Shortfall on VaR
    0.30737
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.39769
  • Quartile 1
    0.91273
  • Median
    1.02061
  • Quartile 3
    1.11435
  • Maximum
    1.59418
  • Mean of quarter 1
    0.76125
  • Mean of quarter 2
    0.97766
  • Mean of quarter 3
    1.07409
  • Mean of quarter 4
    1.30947
  • Inter Quartile Range
    0.20163
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06897
  • Mean of outliers low
    0.48171
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03448
  • Mean of outliers high
    1.59418
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52073
  • VaR(95%) (moments method)
    0.27183
  • Expected Shortfall (moments method)
    0.63024
  • Extreme Value Index (regression method)
    0.72474
  • VaR(95%) (regression method)
    0.32104
  • Expected Shortfall (regression method)
    1.19686
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.85228
  • Quartile 1
    0.85228
  • Median
    0.85228
  • Quartile 3
    0.85228
  • Maximum
    0.85228
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09726
  • Compounded annual return (geometric extrapolation)
    -0.10495
  • Calmar ratio (compounded annual return / max draw down)
    -0.12314
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.24631
  • 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
    0.35513
  • SD
    0.93096
  • Sharpe ratio (Glass type estimate)
    0.38147
  • Sharpe ratio (Hedges UMVUE)
    0.38103
  • df
    642.00000
  • t
    0.59761
  • p
    0.27516
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86995
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87025
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63230
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56875
  • Upside Potential Ratio
    6.24844
  • Upside part of mean
    3.90159
  • Downside part of mean
    -3.54646
  • Upside SD
    0.68988
  • Downside SD
    0.62441
  • N nonnegative terms
    338.00000
  • N negative terms
    305.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    643.00000
  • Mean of predictor
    0.35827
  • Mean of criterion
    0.35513
  • SD of predictor
    0.31704
  • SD of criterion
    0.93096
  • Covariance
    0.16130
  • r
    0.54652
  • b (slope, estimate of beta)
    1.60482
  • a (intercept, estimate of alpha)
    -0.22000
  • Mean Square Error
    0.60877
  • DF error
    641.00000
  • t(b)
    16.52250
  • p(b)
    -0.00000
  • t(a)
    -0.44030
  • p(a)
    0.67007
  • Lowerbound of 95% confidence interval for beta
    1.41409
  • Upperbound of 95% confidence interval for beta
    1.79555
  • Lowerbound of 95% confidence interval for alpha
    -1.20021
  • Upperbound of 95% confidence interval for alpha
    0.76056
  • Treynor index (mean / b)
    0.22129
  • Jensen alpha (a)
    -0.21983
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11561
  • SD
    1.01083
  • Sharpe ratio (Glass type estimate)
    -0.11437
  • Sharpe ratio (Hedges UMVUE)
    -0.11424
  • df
    642.00000
  • t
    -0.17917
  • p
    0.57107
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36549
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13675
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13688
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14403
  • Upside Potential Ratio
    4.60757
  • Upside part of mean
    3.69837
  • Downside part of mean
    -3.81398
  • Upside SD
    0.61315
  • Downside SD
    0.80267
  • N nonnegative terms
    338.00000
  • N negative terms
    305.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    643.00000
  • Mean of predictor
    0.30393
  • Mean of criterion
    -0.11561
  • SD of predictor
    0.33626
  • SD of criterion
    1.01083
  • Covariance
    0.21300
  • r
    0.62665
  • b (slope, estimate of beta)
    1.88377
  • a (intercept, estimate of alpha)
    -0.68814
  • Mean Square Error
    0.62151
  • DF error
    641.00000
  • t(b)
    20.35850
  • p(b)
    -0.00000
  • t(a)
    -1.36531
  • p(a)
    0.91368
  • Lowerbound of 95% confidence interval for beta
    1.70208
  • Upperbound of 95% confidence interval for beta
    2.06547
  • Lowerbound of 95% confidence interval for alpha
    -1.67786
  • Upperbound of 95% confidence interval for alpha
    0.30158
  • Treynor index (mean / b)
    -0.06137
  • Jensen alpha (a)
    -0.68814
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09802
  • Expected Shortfall on VaR
    0.12102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02927
  • Expected Shortfall on VaR
    0.06487
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    643.00000
  • Minimum
    0.38080
  • Quartile 1
    0.98619
  • Median
    1.00164
  • Quartile 3
    1.01235
  • Maximum
    1.56466
  • Mean of quarter 1
    0.95070
  • Mean of quarter 2
    0.99554
  • Mean of quarter 3
    1.00644
  • Mean of quarter 4
    1.05320
  • Inter Quartile Range
    0.02616
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.06998
  • Mean of outliers low
    0.89363
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.07621
  • Mean of outliers high
    1.11739
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53835
  • VaR(95%) (moments method)
    0.04790
  • Expected Shortfall (moments method)
    0.11658
  • Extreme Value Index (regression method)
    0.38145
  • VaR(95%) (regression method)
    0.04452
  • Expected Shortfall (regression method)
    0.08578
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00183
  • Quartile 1
    0.00511
  • Median
    0.01003
  • Quartile 3
    0.02159
  • Maximum
    0.89636
  • Mean of quarter 1
    0.00357
  • Mean of quarter 2
    0.00635
  • Mean of quarter 3
    0.01623
  • Mean of quarter 4
    0.28440
  • Inter Quartile Range
    0.01648
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.53731
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.29348
  • VaR(95%) (moments method)
    0.19777
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.47811
  • VaR(95%) (regression method)
    0.54753
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07891
  • Compounded annual return (geometric extrapolation)
    -0.08397
  • Calmar ratio (compounded annual return / max draw down)
    -0.09367
  • Compounded annual return / average of 25% largest draw downs
    -0.29524
  • Compounded annual return / Expected Shortfall lognormal
    -0.69383
  • 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
    2.17797
  • SD
    0.98489
  • Sharpe ratio (Glass type estimate)
    2.21139
  • Sharpe ratio (Hedges UMVUE)
    2.19861
  • df
    130.00000
  • t
    1.56369
  • p
    0.43206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57754
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98327
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.92627
  • Upside Potential Ratio
    12.07180
  • Upside part of mean
    6.69645
  • Downside part of mean
    -4.51848
  • Upside SD
    0.82036
  • Downside SD
    0.55472
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53112
  • Mean of criterion
    2.17797
  • SD of predictor
    0.39596
  • SD of criterion
    0.98489
  • Covariance
    0.05737
  • r
    0.14712
  • b (slope, estimate of beta)
    0.36594
  • a (intercept, estimate of alpha)
    1.98361
  • Mean Square Error
    0.95636
  • DF error
    129.00000
  • t(b)
    1.68935
  • p(b)
    0.40668
  • t(a)
    1.42933
  • p(a)
    0.42072
  • Lowerbound of 95% confidence interval for beta
    -0.06264
  • Upperbound of 95% confidence interval for beta
    0.79452
  • Lowerbound of 95% confidence interval for alpha
    -0.76216
  • Upperbound of 95% confidence interval for alpha
    4.72939
  • Treynor index (mean / b)
    5.95169
  • Jensen alpha (a)
    1.98361
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.70439
  • SD
    0.96357
  • Sharpe ratio (Glass type estimate)
    1.76883
  • Sharpe ratio (Hedges UMVUE)
    1.75861
  • df
    130.00000
  • t
    1.25075
  • p
    0.44548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01457
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53864
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92200
  • Upside Potential Ratio
    10.94960
  • Upside part of mean
    6.38685
  • Downside part of mean
    -4.68246
  • Upside SD
    0.76957
  • Downside SD
    0.58330
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45214
  • Mean of criterion
    1.70439
  • SD of predictor
    0.39872
  • SD of criterion
    0.96357
  • Covariance
    0.05659
  • r
    0.14729
  • b (slope, estimate of beta)
    0.35596
  • a (intercept, estimate of alpha)
    1.54345
  • Mean Square Error
    0.91536
  • DF error
    129.00000
  • t(b)
    1.69139
  • p(b)
    0.40657
  • t(a)
    1.13791
  • p(a)
    0.43664
  • VAR (95 Confidence Intrvl)
    0.09800
  • Lowerbound of 95% confidence interval for beta
    -0.06043
  • Upperbound of 95% confidence interval for beta
    0.77235
  • Lowerbound of 95% confidence interval for alpha
    -1.14020
  • Upperbound of 95% confidence interval for alpha
    4.22709
  • Treynor index (mean / b)
    4.78814
  • Jensen alpha (a)
    1.54345
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08736
  • Expected Shortfall on VaR
    0.10956
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04003
  • Expected Shortfall on VaR
    0.07703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.83631
  • Quartile 1
    0.97291
  • Median
    1.00000
  • Quartile 3
    1.03462
  • Maximum
    1.21472
  • Mean of quarter 1
    0.94092
  • Mean of quarter 2
    0.99083
  • Mean of quarter 3
    1.01572
  • Mean of quarter 4
    1.08643
  • Inter Quartile Range
    0.06172
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.84920
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.17194
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25033
  • VaR(95%) (moments method)
    0.06361
  • Expected Shortfall (moments method)
    0.09864
  • Extreme Value Index (regression method)
    0.37028
  • VaR(95%) (regression method)
    0.05794
  • Expected Shortfall (regression method)
    0.09552
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00036
  • Quartile 1
    0.01405
  • Median
    0.05581
  • Quartile 3
    0.21908
  • Maximum
    0.36459
  • Mean of quarter 1
    0.00696
  • Mean of quarter 2
    0.03284
  • Mean of quarter 3
    0.11732
  • Mean of quarter 4
    0.29278
  • Inter Quartile Range
    0.20502
  • 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)
    -0.66623
  • VaR(95%) (moments method)
    0.32868
  • Expected Shortfall (moments method)
    0.35631
  • Extreme Value Index (regression method)
    0.84193
  • VaR(95%) (regression method)
    0.36053
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    1.21999
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -348405000
  • Max Equity Drawdown (num days)
    974
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.75547
  • Compounded annual return (geometric extrapolation)
    4.65363
  • Calmar ratio (compounded annual return / max draw down)
    12.76410
  • Compounded annual return / average of 25% largest draw downs
    15.89470
  • Compounded annual return / Expected Shortfall lognormal
    42.47380

Strategy Description

Options Advisors offers you three individual option strategies for different account sizes.

Most of premium income is generated by the sale of naked short puts from underlying instruments with high implied volatility compared to historical values. When an underlying is suitable for a short strangle or a bull put spread, such positions can also be included in the portfolio. Underlyings may be liquid equities or ETFs/ETNs on indices and commodities.

The main goal of our strategies is a constant performance of 2 - 5% each month with lowest possible drawdowns regardless of market situation. However, trading options involves significant risk and the actual performance can be different. At any time the three strategy managers, Schultz, Saugy and Skrobala, choose the suitable options for the respective portfolio size in order to generate maximum profit with strict risk and money management. Our objective is to trade small, but often with a good relation of premium income to margin requirements.

If you consider to follow our strategy 'Exponential Premium M' by using Autotrade with the minimum required capital of USD 20,000 we recommend to use a scaling of 50%, since our IB account for this strategy has a current capitalisation of USD 40,000. It is also possible to scale up with larger accounts. If you have any questions (e.g. recommended scaling) feel free to contact us.

Summary Statistics

Strategy began
2017-02-11
Suggested Minimum Capital
$25,000
# Trades
110
# Profitable
96
% Profitable
87.3%
Net Dividends
Correlation S&P500
0.396
Sharpe Ratio
0.28
Sortino Ratio
0.77
Beta
3.22
Alpha
0.04

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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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.