This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
11/23/2016
Most recent certification approved
11/23/16 10:35 ET
Trades at broker
Interactive Brokers (Direct Connection nonUS)
Scaling percentage used
100%
# trading signals issued by system since certification
572
# trading signals executed in manager's Interactive Brokers (Direct Connection nonUS) account
566
Percent signals followed since 11/23/2016
99%
This information was last updated
3/18/18 16:54 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 11/23/2016,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations.
Unlike the results shown in an actual performance record, these results do not represent actual trading.
Also, because these trades have not actually been executed, these results may have
underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity.
Simulated or hypothetical trading programs in general are
also subject to the fact that they are designed with the benefit of hindsight. No representation is being
made that any account will or is likely to achieve
profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely
account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere
to a particular trading program in spite of trading losses are material points which can also adversely affect
actual trading results. There are numerous other factors related to the markets in general or to the implementation
of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance
results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
R Option
(102125034)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  11/23/2016 
Most recent certification approved  11/23/16 10:35 ET 
Trades at broker  Interactive Brokers (Direct Connection nonUS) 
Scaling percentage used  100% 
# trading signals issued by system since certification  572 
# trading signals executed in manager's Interactive Brokers (Direct Connection nonUS) account  566 
Percent signals followed since 11/23/2016  99% 
This information was last updated  3/18/18 16:54 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/23/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $199.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2013  +0.2%  +2.6%  +3.2%  +8.9%  +3.4%  +6.3%  +5.4%  +11.6%  +13.0%  +8.1%  +4.2%  +12.9%  +114.7% 
2014  +12.0%  +20.7%  +13.2%  +0.1%  +2.1%  +11.0%  +3.0%  +13.9%  +3.1%  +31.3%  (0.1%)  +13.0%  +211.5% 
2015  +6.0%  +1.2%  +6.0%  +4.3%  +3.3%  (14.7%)  +44.1%  +1.0%  +5.6%  +3.1%  +2.2%  +2.1%  +72.7% 
2016  +3.8%  (0.9%)  +5.0%  (0.3%)  +9.6%  (4.9%)  +14.5%  +1.6%  +3.4%  (2.3%)  +3.0%  +0.4%  +36.6% 
2017  +4.1%  +2.8%  +2.0%  +0.3%  +3.8%    +5.2%  +1.2%  +0.2%  +1.5%  +0.7%  +0.7%  +24.9% 
2018  +1.4%  (10.9%)    (9.7%) 
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.
Started  $100,000  
Buy Power  $1,876,060  
Cash  $1  
Equity  $1  
Cumulative $  $1,776,068  
Includes dividends and cashsettled expirations:  $11,728  Itemized 
Total System Equity  $1,876,068  
Margined  $1  
Open P/L  $0  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began1/9/2013

Suggested Minimum Cap$35,000

Strategy Age (days)1894.19

Age63 months ago

What it tradesOptions

# Trades350

# Profitable299

% Profitable85.40%

Avg trade duration10.4 days

Max peaktovalley drawdown41.7%

drawdown periodOct 08, 2014  Oct 16, 2014

Annual Return (Compounded)74.0%

Avg win$8,124

Avg loss$13,687
 Model Account Values (Raw)

Cash$1,876,060

Margin Used$0

Buying Power$1,876,060
 Ratios

W:L ratio3.50:1

Sharpe Ratio1.481

Sortino Ratio2.602

Calmar Ratio1.995
 CORRELATION STATISTICS

Correlation to SP5000.45100
 Return Statistics

Ann Return (w trading costs)74.0%

Ann Return (Compnd, No Fees)75.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss36.00%

Chance of 20% account loss13.00%

Chance of 30% account loss5.50%

Chance of 40% account loss3.00%

Chance of 50% account lossn/a
 Popularity

Popularity (Today)867

Popularity (Last 6 weeks)983

C2 Score99.5
 TradesOwnSystem Certification

Trades Own System?183804

TOS percent100%
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$13,687

Avg Win$8,125

# Winners299

# Losers51

% Winners85.4%
 Frequency

Avg Position Time (mins)15024.60

Avg Position Time (hrs)250.41

Avg Trade Length10.4 days

Last Trade Ago25
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.61497

SD0.35138

Sharpe ratio (Glass type estimate)1.75015

Sharpe ratio (Hedges UMVUE)1.72818

df60.00000

t3.94592

p0.00011

Lowerbound of 95% confidence interval for Sharpe Ratio0.81991

Upperbound of 95% confidence interval for Sharpe Ratio2.66744

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80552

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.65084
 Statistics related to Sortino ratio

Sortino ratio5.76621

Upside Potential Ratio6.60716

Upside part of mean0.70466

Downside part of mean0.08969

Upside SD0.37628

Downside SD0.10665

N nonnegative terms53.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations61.00000

Mean of predictor0.09882

Mean of criterion0.61497

SD of predictor0.10311

SD of criterion0.35138

Covariance0.01598

r0.44116

b (slope, estimate of beta)1.50334

a (intercept, estimate of alpha)0.46641

Mean Square Error0.10113

DF error59.00000

t(b)3.77591

p(b)0.00019

t(a)3.18519

p(a)0.00116

Lowerbound of 95% confidence interval for beta0.70666

Upperbound of 95% confidence interval for beta2.30001

Lowerbound of 95% confidence interval for alpha0.17340

Upperbound of 95% confidence interval for alpha0.75941

Treynor index (mean / b)0.40907

Jensen alpha (a)0.46641
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.55034

SD0.30395

Sharpe ratio (Glass type estimate)1.81064

Sharpe ratio (Hedges UMVUE)1.78791

df60.00000

t4.08231

p0.00007

Lowerbound of 95% confidence interval for Sharpe Ratio0.87654

Upperbound of 95% confidence interval for Sharpe Ratio2.73149

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86162

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.71421
 Statistics related to Sortino ratio

Sortino ratio4.77864

Upside Potential Ratio5.61021

Upside part of mean0.64611

Downside part of mean0.09577

Upside SD0.32070

Downside SD0.11517

N nonnegative terms53.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations61.00000

Mean of predictor0.09300

Mean of criterion0.55034

SD of predictor0.10312

SD of criterion0.30395

Covariance0.01393

r0.44445

b (slope, estimate of beta)1.31000

a (intercept, estimate of alpha)0.42851

Mean Square Error0.07539

DF error59.00000

t(b)3.81094

p(b)0.00017

t(a)3.40332

p(a)0.00060

Lowerbound of 95% confidence interval for beta0.62216

Upperbound of 95% confidence interval for beta1.99784

Lowerbound of 95% confidence interval for alpha0.17657

Upperbound of 95% confidence interval for alpha0.68045

Treynor index (mean / b)0.42011

Jensen alpha (a)0.42851
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09377

Expected Shortfall on VaR0.12594
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00484

Expected Shortfall on VaR0.01659
 ORDER STATISTICS
 Quartiles of return rates

Number of observations61.00000

Minimum0.82515

Quartile 11.01218

Median1.03175

Quartile 31.06649

Maximum1.61711

Mean of quarter 10.97708

Mean of quarter 21.02106

Mean of quarter 31.04988

Mean of quarter 41.17139

Inter Quartile Range0.05432

Number outliers low3.00000

Percentage of outliers low0.04918

Mean of outliers low0.86802

Number of outliers high6.00000

Percentage of outliers high0.09836

Mean of outliers high1.26550
 Risk estimates for a oneperiod 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)0.51824

VaR(95%) (regression method)0.02895

Expected Shortfall (regression method)0.11118
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00475

Quartile 10.01056

Median0.01621

Quartile 30.11055

Maximum0.17485

Mean of quarter 10.00614

Mean of quarter 20.01490

Mean of quarter 30.10055

Mean of quarter 40.14770

Inter Quartile Range0.09999

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)3.52228

Compounded annual return (geometric extrapolation)0.78291

Calmar ratio (compounded annual return / max draw down)4.47758

Compounded annual return / average of 25% largest draw downs5.30083

Compounded annual return / Expected Shortfall lognormal6.21671

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.62711

SD0.42307

Sharpe ratio (Glass type estimate)1.48228

Sharpe ratio (Hedges UMVUE)1.48146

df1348.00000

t3.36347

p0.45439

Lowerbound of 95% confidence interval for Sharpe Ratio0.61646

Upperbound of 95% confidence interval for Sharpe Ratio2.34760

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.61589

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.34703
 Statistics related to Sortino ratio

Sortino ratio2.60158

Upside Potential Ratio6.24647

Upside part of mean1.50572

Downside part of mean0.87860

Upside SD0.34965

Downside SD0.24105

N nonnegative terms601.00000

N negative terms748.00000
 Statistics related to linear regression on benchmark

N of observations1349.00000

Mean of predictor0.10259

Mean of criterion0.62711

SD of predictor0.12231

SD of criterion0.42307

Covariance0.02327

r0.44978

b (slope, estimate of beta)1.55581

a (intercept, estimate of alpha)0.46800

Mean Square Error0.14289

DF error1347.00000

t(b)18.48290

p(b)0.22363

t(a)2.80261

p(a)0.45157

Lowerbound of 95% confidence interval for beta1.39068

Upperbound of 95% confidence interval for beta1.72094

Lowerbound of 95% confidence interval for alpha0.14027

Upperbound of 95% confidence interval for alpha0.79474

Treynor index (mean / b)0.40308

Jensen alpha (a)0.46750
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.54153

SD0.40803

Sharpe ratio (Glass type estimate)1.32719

Sharpe ratio (Hedges UMVUE)1.32646

df1348.00000

t3.01155

p0.45913

Lowerbound of 95% confidence interval for Sharpe Ratio0.46175

Upperbound of 95% confidence interval for Sharpe Ratio2.19217

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.46125

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.19166
 Statistics related to Sortino ratio

Sortino ratio2.10915

Upside Potential Ratio5.65379

Upside part of mean1.45163

Downside part of mean0.91010

Upside SD0.31868

Downside SD0.25675

N nonnegative terms601.00000

N negative terms748.00000
 Statistics related to linear regression on benchmark

N of observations1349.00000

Mean of predictor0.09507

Mean of criterion0.54153

SD of predictor0.12252

SD of criterion0.40803

Covariance0.02304

r0.46084

b (slope, estimate of beta)1.53477

a (intercept, estimate of alpha)0.39562

Mean Square Error0.13123

DF error1347.00000

t(b)19.05770

p(b)0.21737

t(a)2.47527

p(a)0.45719

Lowerbound of 95% confidence interval for beta1.37679

Upperbound of 95% confidence interval for beta1.69275

Lowerbound of 95% confidence interval for alpha0.08208

Upperbound of 95% confidence interval for alpha0.70916

Treynor index (mean / b)0.35284

Jensen alpha (a)0.39562
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03863

Expected Shortfall on VaR0.04866
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00792

Expected Shortfall on VaR0.01839
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1349.00000

Minimum0.81471

Quartile 11.00000

Median1.00000

Quartile 31.00347

Maximum1.39997

Mean of quarter 10.98685

Mean of quarter 21.00000

Mean of quarter 31.00109

Mean of quarter 41.02211

Inter Quartile Range0.00347

Number outliers low160.00000

Percentage of outliers low0.11861

Mean of outliers low0.97403

Number of outliers high202.00000

Percentage of outliers high0.14974

Mean of outliers high1.03318
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.15349

VaR(95%) (moments method)0.00742

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.65427

VaR(95%) (regression method)0.00926

Expected Shortfall (regression method)0.03583
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations152.00000

Minimum0.00000

Quartile 10.00118

Median0.00554

Quartile 30.01797

Maximum0.38451

Mean of quarter 10.00054

Mean of quarter 20.00301

Mean of quarter 30.01198

Mean of quarter 40.07842

Inter Quartile Range0.01680

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high18.00000

Percentage of outliers high0.11842

Mean of outliers high0.13606
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.77048

VaR(95%) (moments method)0.07917

Expected Shortfall (moments method)0.36995

Extreme Value Index (regression method)0.60212

VaR(95%) (regression method)0.07125

Expected Shortfall (regression method)0.20107
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)3.45016

Compounded annual return (geometric extrapolation)0.76728

Calmar ratio (compounded annual return / max draw down)1.99548

Compounded annual return / average of 25% largest draw downs9.78430

Compounded annual return / Expected Shortfall lognormal15.76730

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

Mean0.11916

SD0.26137

Sharpe ratio (Glass type estimate)0.45591

Sharpe ratio (Hedges UMVUE)0.45327

df130.00000

t0.32238

p0.51413

Lowerbound of 95% confidence interval for Sharpe Ratio3.22743

Upperbound of 95% confidence interval for Sharpe Ratio2.31730

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.22563

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.31908
 Statistics related to Sortino ratio

Sortino ratio0.55451

Upside Potential Ratio2.70643

Upside part of mean0.58159

Downside part of mean0.70075

Upside SD0.14720

Downside SD0.21489

N nonnegative terms58.00000

N negative terms73.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.17480

Mean of criterion0.11916

SD of predictor0.12427

SD of criterion0.26137

Covariance0.00701

r0.21567

b (slope, estimate of beta)0.45359

a (intercept, estimate of alpha)0.19845

Mean Square Error0.06564

DF error129.00000

t(b)2.50857

p(b)0.36377

t(a)0.54563

p(a)0.53054

Lowerbound of 95% confidence interval for beta0.09584

Upperbound of 95% confidence interval for beta0.81134

Lowerbound of 95% confidence interval for alpha0.91805

Upperbound of 95% confidence interval for alpha0.52115

Treynor index (mean / b)0.26271

Jensen alpha (a)0.19845
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.15397

SD0.26660

Sharpe ratio (Glass type estimate)0.57754

Sharpe ratio (Hedges UMVUE)0.57420

df130.00000

t0.40838

p0.51790

Lowerbound of 95% confidence interval for Sharpe Ratio3.34915

Upperbound of 95% confidence interval for Sharpe Ratio2.19624

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.34688

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.19848
 Statistics related to Sortino ratio

Sortino ratio0.68710

Upside Potential Ratio2.54867

Upside part of mean0.57112

Downside part of mean0.72509

Upside SD0.14285

Downside SD0.22409

N nonnegative terms58.00000

N negative terms73.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.16699

Mean of criterion0.15397

SD of predictor0.12519

SD of criterion0.26660

Covariance0.00731

r0.21902

b (slope, estimate of beta)0.46639

a (intercept, estimate of alpha)0.23185

Mean Square Error0.06819

DF error129.00000

t(b)2.54948

p(b)0.36169

t(a)0.62569

p(a)0.53500

Lowerbound of 95% confidence interval for beta0.10445

Upperbound of 95% confidence interval for beta0.82834

Lowerbound of 95% confidence interval for alpha0.96501

Upperbound of 95% confidence interval for alpha0.50130

Treynor index (mean / b)0.33013

Jensen alpha (a)0.23185
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02730

Expected Shortfall on VaR0.03395
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00632

Expected Shortfall on VaR0.01481
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.90987

Quartile 11.00000

Median1.00002

Quartile 31.00089

Maximum1.08059

Mean of quarter 10.98961

Mean of quarter 21.00000

Mean of quarter 31.00035

Mean of quarter 41.00867

Inter Quartile Range0.00089

Number outliers low12.00000

Percentage of outliers low0.09160

Mean of outliers low0.97199

Number of outliers high20.00000

Percentage of outliers high0.15267

Mean of outliers high1.01341
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.62796

VaR(95%) (moments method)0.00396

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.78643

VaR(95%) (regression method)0.00551

Expected Shortfall (regression method)0.04110
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations15.00000

Minimum0.00000

Quartile 10.00010

Median0.00071

Quartile 30.00158

Maximum0.21152

Mean of quarter 10.00003

Mean of quarter 20.00030

Mean of quarter 30.00104

Mean of quarter 40.05571

Inter Quartile Range0.00148

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.13333

Mean of outliers high0.10931
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.98244

VaR(95%) (moments method)0.03123

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)4.86794

VaR(95%) (regression method)0.13779

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.12217

Compounded annual return (geometric extrapolation)0.11844

Calmar ratio (compounded annual return / max draw down)0.55994

Compounded annual return / average of 25% largest draw downs2.12620

Compounded annual return / Expected Shortfall lognormal3.48838
Strategy Description
The goal of "R Option" is to generate approximately 100% every three years.The Strategy is managed by Mario Randholm, CEO of Randholm & Co., an investment management company dedicated to managing capital for its clients and employees by adhering to mathematical and statistical methods.
The strategy have more than 10 years of track record with the original algorithm.
A similar strategy "R Option Mini" was created in Jan 2017 to facilitate scaling for smaller accounts.
Commentary:
http://www.mariorandholm.com/2017/01/01/roption/
Description and Performance of "R Option Mini":
https://randbots.com/details/109107515
Description and Performance of "R Lima":
https://randbots.com/details/109504095
Summary Statistics
Latest Activity
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.