Directional Options
(32413883)
Subscription terms. You can subscribe to this system for free.
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.
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 Cumulative Rate of Return is calculated
= (Ending_equity - Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.
All results are hypothetical.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | - | (0.4%) | +0.6% | (0.1%) | - | - | - | - | +0.1% | ||||
| 2009 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2010 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2011 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2012 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2013 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2014 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2015 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2016 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2017 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2018 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2019 | - | - | - | - | - | - | - | - | - | - | - | 0.0 | |
| 2020 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2021 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2022 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2023 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2024 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2025 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2026 | - | - | - | - | - | 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.
| Started | $100,000 | |
| Buy Power | $100,550 | |
| Cash | $100,550 | |
| Equity | $0 | |
| Cumulative $ | $550 | |
| Total System Equity | $100,550 | |
| Margined | $0 | |
| Open P/L | $0 |
Trading Record
Statistics
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Strategy began5/24/2008
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Suggested Minimum Cap$100,000
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Strategy Age (days)6588.19
-
Age220 months ago
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What it tradesOptions
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# Trades4
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# Profitable2
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% Profitable50.00%
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Avg trade duration32.7 days
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Max peak-to-valley drawdown1.33%
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drawdown periodJune 18, 2008 - July 14, 2008
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Annual return (compounded)0.0%
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Avg win$780.00
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Avg loss$505.00
- Model Account Values (Raw)
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Cash$100,550
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Margin Used$0
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Buying Power$100,550
- Ratios
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W:L ratio1.54:1
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Sharpe Ratio-5.67
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Sortino Ratio-7.68
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Calmar Ratio0.068
- CORRELATION STATISTICS
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Correlation to SP5000.00160
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Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-22.13%
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Return Percent SP500 (cumu) during strategy life438.23%
- Return Statistics
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Ann Return (w trading costs)0.2%
- Instruments
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Percent Trades Options1.00%
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Percent Trades Futuresn/a
- Slump
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Current Slump, time of slump as pcnt of strategy life1.00%
- Instruments
-
Percent Trades Stocksn/a
- Slump
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Current Slump as Pcnt Equity0.20%
- Return Statistics
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Return Pcnt Since TOS Statusn/a
- Instruments
-
Percent Trades Forexn/a
- Return Statistics
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Ann Return (Compnd, No Fees)0.0%
- Risk of Ruin (Monte-Carlo)
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Chance of 10% account lossn/a
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Chance of 20% account lossn/a
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Chance of 30% account lossn/a
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Chance of 40% account lossn/a
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Chance of 60% account loss (Monte Carlo)n/a
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Chance of 70% account loss (Monte Carlo)n/a
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Chance of 80% account loss (Monte Carlo)n/a
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Chance of 90% account loss (Monte Carlo)n/a
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Chance of 100% account loss (Monte Carlo)n/a
- Automation
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Percentage Signals Automatedn/a
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account lossn/a
- Trading Style
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Any stock shorts? 0/10
- Trades-Own-System Certification
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Trades Own System?-
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TOS percentn/a
- Win / Loss
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Avg Win$780
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Avg Loss$505
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Sum Trade PL (losers)$1,010.000
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Sum Trade PL (winners)$1,560.000
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# Winners2
- Dividends
-
Dividends Received in Model Acct0
- Win / Loss
-
Num Months Winners1
- Age
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Num Months filled monthly returns table218
- Win / Loss
-
# Losers2
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% Winners50.0%
- Frequency
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Avg Position Time (mins)47114.60
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Avg Position Time (hrs)785.24
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Avg Trade Length32.7 days
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Last Trade Ago6503
- Regression
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Alpha-0.01
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Beta0.00
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Treynor Index-
- Maximum Adverse Excursion (MAE)
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MAE:PL (avg, all trades)-0.27
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MAE:Equity, average, all trades0.00
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Avg(MAE) / Avg(PL) - All trades3.391
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MAE:Equity, losing trades only, 95th Percentile Value for this strat-
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MAE:Equity, win trades only, 95th Percentile Value for this strat-
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MAE:PL - Losing Trades - this strat Percentile of All Strats4.56
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MAE:PL - Winning Trades - this strat Percentile of All Strats14.41
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MAE:Equity, 95th Percentile Value for this strat0.01
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MAE:PL (avg, winning trades)-
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MAE:PL - worst single value for strategy-
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MAE:Equity, average, winning trades0.00
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MAE:Equity, average, losing trades0.01
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MAE:PL (avg, losing trades)-
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Avg(MAE) / Avg(PL) - Winning trades0.516
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Avg(MAE) / Avg(PL) - Losing trades-1.050
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Hold-and-Hope Ratio0.295
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to linear regression on benchmark
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a (intercept, estimate of alpha)-0.02700
- Analysis based on DAILY values, last 6 months only
- Ratio statistics of excess log return rates
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VAR (95 Confidence Intrvl)0.00200
- DRAW DOWN STATISTICS
- Risk estimates based on draw downs (based on Extreme Value T
- assuming Pareto losses only (using partial moments from Sortino statistics)
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Max Equity Drawdown (num days)26
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Last 4 Months - Pcnt Negativen/a
Strategy Description
...
This system is discretionary (managed by an experienced trader) on stock options. The premise of our system is that on any given day there are opportunities in the market place available - some days with more probability than others.
This system attempts to exploit those opportunities through the use of directional option plays.
OBJECTIVE: We will initiate calls (or puts) on those underlying stocks that we believe may have a short term bullish (or bearish) directional bias (within the coming days / weeks). Our objective is to capture a 100% (double) on our initial investment. We reserve the right to close out a trade early. (ie. If time decay starts to work against us too close to an expiration date.)
TRADE RISK: The dollar risk / trade is typically 1/2 to 1% of the total C2 portfolio balance. ie, starting with a $100k C2 portfolio the risk on any one trade will be no more than between $500 - $1,000 (max). As the portfolio grows, we will scale the risk accordingly.
As a subscriber, the exact risk / trade will be made available to you when each trade is initiated through trade broadcast, as well as Instant Trade Messenger (ITM).
Trade Example:
BTO 3 contracts of June 08 67.5 calls of UNP stock underlying at 1.60 price on 5/13/08. ($480 max risk).
STC 3 contracts of June 08 67.5 calls of UNP stock underlying at 3.20 price on 5/16/08. (double $480 initial investment over 3 day period)
RISK DISCLOSURE: OPTIONS ARE RISKY. YOU CAN LOSE MONEY. NOT ALL TRADES WILL BE WINNERS. WHILE TRADING PROFITS ARE OUR OBJECTIVE, IT IS IMPORTANT TO NOTE THAT YOU CAN LOSE UP TO 100% OF THE CAPITAL PLACED IN ANY ONE TRADE. THUS *DO NOT* PLACE AT RISK MORE THAN YOU CAN AFFORD TO LOSE ON ANY ONE TRADE.
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 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.