Collective2 Collective2
For your consideration Orange Cat Management Followed by live capital $238,000 Hypothetical

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dgamma

By atticus

Options · Started Feb 2005

hypothetical · Annual Return (Compounded)
176.7%
Max Drawdown
—
Trades
317
Win Trades
54.3%
Profit Factor
1.20
Win Months
13.0%

About this strategy

Closed system.




















































Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200527.2-5.168.356.311.1-3.7-1.118.528.613.13.5499.4
20066.1-22.611.410.4-15.619.0-11.1-1.97.826.72.3-6.715.3
200710.0-6.4-3.66.25.36.6-3.21.313.331.5-7.713.480.9
20082.75.2-7.61.71.45.311.3-5.7-0.3-4.31.22.112.3
20091.92.4-13.60.00.00.00.0-0.80.00.00.00.0-10.6
20100.00.00.00.00.00.00.00.0-0.00.00.00.00.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.0-0.00.00.00.00.00.10.00.1
20150.00.00.00.00.00.00.00.00.00.00.00.00.1
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.0-0.00.00.00.00.0-0.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began2/2/2005
Suggested Minimum Capital$3,998
Age265 months
What it tradesOptions
# Trades317
# Profitable172
% Profitable54.3%
Avg trade duration9.4 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)12.6%
Avg win$1,543
Avg loss$1,491

Ratios

W:L ratio1.23
Sharpe Ratio0.55
Sortino Ratio0.88
Calmar Ratio0.08

CORRELATION STATISTICS

Correlation to SP5000.08
Return Percent SP500 (cumu) during strategy life518.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)1187.6%

Return Statistics

Ann Return (w trading costs)176.7%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)12.6%

Slump

Current Slump as Pcnt Equity26.0%
Current Slump, time of slump as pcnt of strategy life0.8%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.9%
Percent Trades Stocks0.1%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss46.3%
Chance of 20% account loss23.8%
Chance of 30% account loss16.3%
Chance of 40% account loss4.7%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,491
Avg Win$1,543
# Winners172
Sum Trade PL (losers)$216,124
Sum Trade PL (winners)$265,423
Num Months Winners39
# Losers145
% Winners54.3%

Dividends

Dividends Received in Model Acct-30

Age

Num Months filled monthly returns table262

Frequency

Avg Position Time (mins)13565.93
Avg Position Time (hrs)226.10
Avg Trade Length9.40
Last Trade Ago6437

Regression

Alpha0.03
Beta0.07
Treynor Index0.42

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.04
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-24.61
MAE:PL (avg, all trades)-0.49
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats51.83
MAE:PL - Winning Trades - this strat Percentile of All Strats25.98
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.45
Avg(MAE) / Avg(PL) - Losing trades-1.32
Hold-and-Hope Ratio-0.04

RATIO STATISTICS

a (intercept, estimate of alpha)0.72
VAR (95 Confidence Intrvl)0.14

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)62
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 72 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
SKFDW long20Mar 12, 2009Mar 20, 2009($13,828)
SKFCW short10Mar 12, 2009Mar 19, 2009$8,236
DZSDB short5Mar 10, 2009Mar 11, 2009$1,143
DZSPB short5Mar 10, 2009Mar 11, 2009($1,307)
QAADS long20Mar 4, 2009Mar 11, 2009($528)
QAACS short20Mar 4, 2009Mar 11, 2009$1,152
SKDDL short1Mar 10, 2009Mar 11, 2009$1,928
SKDPL short1Mar 10, 2009Mar 11, 2009($1,942)
ZQNCM short5Mar 6, 2009Mar 10, 2009($307)
ZQNOM short5Mar 6, 2009Mar 10, 2009$493
DZSOG short8Mar 6, 2009Mar 10, 2009($2,171)
DZSCG short8Mar 6, 2009Mar 10, 2009$3,189
VIXOV short20Mar 4, 2009Mar 9, 2009$922
VIXPV long20Mar 4, 2009Mar 9, 2009($1,428)
SKF long4Mar 3, 2009Mar 6, 2009$3,131
SKFCW short1Feb 26, 2009Mar 6, 2009($8,352)
NDUOZ short1Feb 25, 2009Mar 4, 2009($1,862)
NDUCZ short1Feb 25, 2009Mar 4, 2009$2,068
GGDCJ short2Feb 24, 2009Mar 4, 2009$2,217
GGDOJ short2Feb 24, 2009Mar 4, 2009($3,003)
@ES H9short1Mar 3, 2009Mar 4, 2009($508)
SKFOW short1Feb 26, 2009Mar 3, 2009$2,098
JSAOS short10Mar 2, 2009Mar 3, 2009($104)
JSACS short10Mar 2, 2009Mar 3, 2009$376
@ES M9short1Mar 2, 2009Mar 3, 2009$242
QAACS short10Feb 19, 2009Feb 25, 2009$756
SKDOS short1Feb 19, 2009Feb 25, 2009$28
SKFCD short1Feb 19, 2009Feb 25, 2009$168
ROQCZ short8Feb 23, 2009Feb 24, 2009($283)
ROQOZ short8Feb 23, 2009Feb 24, 2009$829

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.